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?

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

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.

Please refer to our consultation response which has been uploaded.

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

Please refer to our consultation response which has been uploaded.

Q45: Do you agree with the proposed amendments to the Guidelines EBA/GL/2018/08? Should additional aspects be clarified? Please substantiate your reasoning.

Please refer to our consultation response which has been uploaded.

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Name of the organization

Association for Financial Markets in Europe (AFME)