Europejski Urząd Nadzoru Bankowego, Raport końcowy RTS na temat ekspozycji bazowych w sekurytyzacji STS zgodnie z art. 20 ust. 14, art. 24 ust. 21 i art. 26b ust. 13 rozporządzenia (UE) 2017/2402 zmienionego rozporządzeniem (UE) 2021/557

EBA/RTS/2023/01

14 February 2023

Final Report

Draft Regulatory Technical Standards on the homogeneity of the

underlying exposures in STS securitisation under Articles 20(14),

24(21) and 26b(13) of Regulation (EU) 2017/2402, as amended by

Regulation (EU) 2021/557

1. Executive Summary

The Capital Markets Recovery Package amended the Securitisation Regulation to also include Simple, Transparent and Standardised (STS) requirements for on-balance-sheet securitisations, thereby extending the STS framework to synthetic securitisations. As part of this change, EBA is mandated to develop, in close cooperation with the European Securities and Market Authority (ESMA) and the European Insurance and Occupational Pensions Authority (EIOPA) draft regulatory technical standards (RTS) further specifying which underlying exposures are deemed to be homogeneous as part of the simplicity requirements. A similar mandate was also part of the original STS framework for non-ABCP and ABCP securitisation and the...