EBA consultation on Significant Risk Transfer (SRT) in Securitisation

Published: 02 October 2017

The European Banking Authority has recently issued a discussion paper and consultation on the Significant Risk Transfer (SRT) in Securitisation. SRT is granted by competent authorities on the basis of a transaction-by-transaction assessment, under the CRR framework and the 2014 EBA Guidelines.

As the recently approved STS regulation increases the importance of SRT, the end goal of the consultation is to further harmonise the overall SRT framework among EU member states. Three core areas are being reviewed: (i) the standardisation of the process of SRT assessment by competent authorities, (ii) strengthening the level-playing field when assessing specific structural features which can affect the sustainability of the SRT such as the use of excess spread and pro-rata amortisation schemes and (iii) proposals to harmonise identified limitations to the framework to measure SRT, and in particular the assessment of commensurate risk transfer.

The paper also provides an overview of the current market practices of transfer of non-perfoming loans. If you are interested in answering this consultation, please contact Nick Smith.