On 5 May, the European Systemic Risk Board (ESRB) published a report on the impact of STS on-balance-sheet securitisation on financial stability in the EU. The analysis indicates that the market is growing, with an increasing number of banks using synthetic STS securitisations to transfer credit risks. The ESRB concludes that the market is currently
Synthetic STS securitisations
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EBA publishes Guidelines for STS synthetic on-balance-sheet transactions
On 27 May 2024, the EBA has published its long-awaited Final Report in relation to the “Guidelines on the STS criteria for on-balance-sheet securitisation”. At the same time and in the same Final Report, EBA has published certain amendments to the existing EBA Guidelines on the STS criteria for ABCP and non-ABCP securitisation. The publication
RTS for the calibration of performance triggers comes into force
The Regulatory Technical Standard (“RTS”) on performance-related triggers for synthetic STS securitisations will enter into force on 11 April, following its publication in the official journal of the European Union on 22 March. This finalises the rules regarding the point at which synthetic securitisations must switch from pro-rata to sequential amortisation. These rules serve to