Response to consultation on draft Guidelines on the STS criteria for on-balance-sheet securitisations

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Q1. Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. For example, should additional interpretations of the term ‘no less stringent policies’ or ‘comparable exposures’ be provided and if yes, how are these terms understood in securitisation practice?

Yes

Q2. Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. Please substantiate your reasoning.

Yes

Q3. Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. Please substantiate your reasoning.

Yes

Q4. Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q5. Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. Please substantiate your reasoning.

Yes

Q6. Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q7. Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q8. Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q9. Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. Please substantiate your reasoning.

Yes

Q10. Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q11. Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

The historical information on the court decision/litigation about the insolvency of the borrower might not always be available for the originator and requires a manual data collection for the requested past 3 years, which might be difficult to fulfill.

Q12. Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q13: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q14: Do you agree with the interpretation provided? Should additional aspects be clarified? More specifically, is there a need to further clarify the term ‘appropriate mitigation’ of interest-rate and currency risks and further specify any mitigation measures? Please elaborate.

Yes

Q15: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q16: On reference rates: Is the interpretation on this term deemed helpful for the interpretation of this requirement? Please provide more information on the referenced interest payments used in relation to the transaction in your entity’s practice.

Yes

Q17: On complex formulae or derivatives: Is the guidance provided sufficient to clarify the requirement or should the guidance be extended? In case of the latter, please provide suggestions on how to define complex formulae and derivatives.

Yes

Q18: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q19: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

a reversion to pro-rata should be allowed if sequential trigger events are cured

Q20: Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. Please substantiate your reasoning.

Yes

Q21: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q22: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q23: Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. Please substantiate your reasoning.

Yes

Q24: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q25: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q26: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Scope of verification should not cover the check of the originator's database or IT systems against the transaction documentation. Please define "type II error"

Q27: In particular, do you agree with the interpretation of the scope of the verification, in particular with the specification on how the size of the representative sample should be determined? Should additional aspects/parameters for determining the sample be clarified? Please substantiate your reasoning.

Scope of verification should not cover the check of the originator's database or IT systems against the transaction documentation. Please define "type II error"

Q28: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q29: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q30: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q31: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q32: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q33: Do you agree with the interpretation of the determination of interim credit protection payments? Do you agree with the interpretation of the criterion with respect to the ‘higher of’ condition? Should the interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

No “higher of” condition, only a) impairment in financial statements

Q34: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q35: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q36: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q37: Do you consider necessary to provide interpretation of the term ‘breach by the investor of any material obligation'? Please provide information on such material breaches applied in securitisation practice.

Yes

Q38: Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. For example, do you consider it necessary to provide interpretation of the term ‘material breach’ of contractual obligations by the originator? Please substantiate your reasoning.

yes, please provide details/list of “material breach”

Q39: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q40: Do you agree that it is not necessary to further specify this criterion? If not, please provide reference to the aspects that require such further specification. Please substantiate your reasoning.

Yes

Q41: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q42: Do you agree with the interpretation provided? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Q43: Do you agree that no other requirements are necessary to be specified further? If not, please provide reference to the relevant provisions of the STS requirements and their aspects that require such further specification. Please substantiate your reasoning.

Yes

Q44: Do you agree with the proposed amendments to the Guidelines EBA/GL/2018/09? Should additional aspects be clarified? Please substantiate your reasoning.

Yes

Name of the organization

Austrian Federal Economic Chamber