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.

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Source: European Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works