CSSF Circular 15/600 - Transposition of the EBA's Guidelines on significant risk transfer for traditional and synthetic securitisations
CSFF published on 7 January 2015 a Circular providing the transposition of the EBA’s Guidelines on significant risk transfer for traditional and synthetic securitisations relating to Articles 243 and 244 of Regulation 575/2013 on Capital requirements. Articles 243 and 244 of Regulation 575/2013 introduced the principle of significant risk transfer for traditional and synthetic securitisations. EBA’s Guidelines provides more details on the evaluation of the significant credit risk transfer.
Originator institutions should provide the competent authority with all requested information of the securitisations on which they intend to demonstrate a significant risk transfer, so that competent authorities can conduct the assessment of significant risk transfer to third parties. That’s why, originator institutions are requested to report their Excel « Reporting template for originator institutions on significant risk transfer » in due date to their NCAs.
Originator institutions should at least notify the relevant competent authority of any securitisation on which they intend to demonstrate a significant risk transfer, which is not similar in structure and portfolio composition to previous transactions notified by the institution.
These guidelines entered into force on 7 January 2015.