Regulatory Alerts2023-12-13
Added · Updated
Commission Delegated Regulation (EU) 2024/920 on regulatory technical standards for performance-related triggers in securitisation
The European Commission adopts regulatory technical standards specifying the calibration of performance-related triggers for on-balance-sheet securitisations under Regulation (EU) 2017/2402. The regulation mandates that parties to credit protection agreements set backward-looking and forward-looking trigger thresholds based on specific criteria, including a granularity threshold where the effective number of exposures is less than 100. It requires testing trigger effectiveness in a back-loaded loss distribution scenario and defines the outstanding amount of the underlying portfolio for transactions with replenishment or build-up periods. A transitional regime allows outstanding Simple, Transparent and Standardised (STS) securitisations notified before 11 April 2024 to retain their designation without complying with these new Articles 1 to 5.