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2024-05-27

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Final report on Guidelines on STS criteria for on-balance-sheet securitisation

The European Banking Authority establishes guidelines providing a harmonized interpretation of the simplicity, standardization, and transparency criteria for on-balance-sheet securitization under Regulation (EU) 2017/2402. The document clarifies specific requirements regarding originator expertise, no double hedging, representations and warranties, and active portfolio management to ensure consistent application by originators, original lenders, SSPEs, investors, and competent authorities. It also introduces targeted amendments to existing guidelines on ABCP and non-ABCP securitization to align interpretations across all three frameworks. These guidelines are applied on a cross-sectoral basis throughout the Union to facilitate the preferential risk-weight treatment for senior tranches retained by originators.

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EBA/GL/2024/05
27 May 2024
Final Report
Guidelines on the STS criteria for on-balance-sheet securitisation and amending Guidelines EBA/GL/2018/08 and EBA/GL/2018/09 on the STS criteria for ABCP and non-ABCP securitisation

FINAL REPORT ON THE GUIDELINES ON THE STS CRITERIA FOR ON-BALANCE-SHEET SECURITISATION Contents

  1. Executive Summary 3
  2. Background and rationale 4
  3. Guidelines on the STS criteria for on-balance-sheet securitisation and amending Guidelines
    EBA/GL/2018/08 and EBA/GL/2018/09 on the STS criteria for ABCP and non-ABCP securitisation 1.Compliance and reporting obligations 34 2.Subject matter, scope and definitions 35 3.Implementation 36
  4. Criteria relating to simplicity 37
  5. Criteria relating to standardisation 48
  6. Criteria relating to transparency 53
  7. Criteria specific to on-balance-sheet securitisation 56
  8. Amendments to Guidelines EBA/GL/2018/08 and EBA/GL/2018/09 on the STS criteria for ABCP
    and non-ABCP securitisation 61
  9. Accompanying documents 70
    5.1 Draft cost-benefit analysis / impact assessment 70
    5.2 Feedback on the public consultation 74

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Lineage: In force

EBA/GL Guideline No. 8 of 2018not in RegAlertEBA/GL Guideline No. 9 of 2018not in RegAlertFinal report on Guidelines onSTS criteria for on-balance-s…2024-05-27 · this documentACPR Compliance with EBA Guidel…2024Recommendation 9/2026 (July 29)…2026Recommendation of the Magyar Ne…2026
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Source: European Banking Authority — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works

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