Response to draft Guidelines on the STS criteria for ABCP securitisation

Go back

Q5. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q6. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q7. Do you agree with the techniques of portfolio management that are allowed and disallowed, under the criterion of the active portfolio management? Should other techniques be included or excluded?

GLEIF will not provide a response to this question.

Q8. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q9. Do you agree with the interpretation of the criterion with respect to exposures to a credit impaired debtor or guarantor?

GLEIF will not provide a response to this question.

Q10. Do you agree with the interpretation of the criterion with respect to the exposures to credit-impaired debtors or guarantors that have undergone a debt-restructuring process?

GLEIF will not provide a response to this question.

Q11. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q12. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q13. Do you agree with the interpretation of the predominant dependence with reference to 30% of total initial exposure value of securitisation positions? Should different percentage be set dependent on different asset category securitised?

GLEIF will not provide a response to this question.

Q14. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q15. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q16. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q17. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q19. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q20. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q21. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q22. Do you agree with this balanced approach to the determination of the expertise of the seller? Do you believe that more rule-based set of requirements should be specified, or, instead, more principles-based criteria should be provided? Is the requirement of minimum of 5 years of professional experience appropriate and exercisable in practice?

GLEIF will not provide a response to this question.

Q23. Should alternative interpretation of the “similar exposures” be provided, such as, for example, referencing the eligibility criteria (per Article 24(7)) that are applied to select the underlying exposures? Similar exposure under Article 24(18) could thus be defined as an exposure that would qualify for the portfolio, based on the exposure level eligibility criteria (not portfolio level criteria) which has not been selected for the pool and which was originated at the time of the securitised exposure (e.g. an exposure that has repaid / prepaid by the time of securitisation). Similar interpretation could be used for the term “exposures of a similar nature” under Article 24(18), and “substantially similar exposures” under Article 24(14). The eligibility criteria considered should take into account the timing of the comparison. Please provide explanations which approach would be more appropriate in providing clear and objectively determined interpretation of the “similarity” of exposures.

GLEIF will not provide a response to this question.

Q24. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q25. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q26. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q27. Do you agree that the external verification should only cover the criteria referenced in paragraphs (9), (10) and (11) of Article 24, or should it cover all criteria mentioned in Article 24? Do you agree with the approach on determining the frequency of the external verification?

GLEIF will not provide a response to this question.

Q28. Concerning the sample, should a minimum sample size be prescribed (in absolute or relative terms)? Should a statistical method for evaluating the outcome of the external verification of the sample be specified? Do you agree that it should be representative covering all underlying exposures of all transactions? Do you see merit in further specifying that the sample should be representative by properly representing the various asset categories of the transactions; or that representativeness may be assumed when the sample is gathered via a random selection?

GLEIF will not provide a response to this question.

Q29. Do you agree with the interpretation of this requirement, and the aspects that the interpretation is focused on? Should other aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q30. Should the calculation of the weighted average life follow the concept of weighted cash flows or of weighted (residual) maturities? Should there be a facilitation for a simplified calculation of the WAL (e.g. to use the longest contractually possible remaining maturity of the exposures in a transaction as an upper bound)?

GLEIF will not provide a response to this question.

Q31. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q32. Are there any other market practices – apart from the ones being covered by the clarification provided in the guidance - which would also fall within the conditions of Article 26(4), while from an economical point of view those should not be treated as resecuritisations? Do you agree with the clarification which credit enhancement is to be considered as “establishing a second layer of tranching”?

GLEIF will not provide a response to this question.

Q33. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q34. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q35. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning. Should the “specified events” referred to in Article 26(7)(e) be specified in more detail e.g. as including triggers with regard to the creditworthiness of the sponsor?

GLEIF will not provide a response to this question.

Q36. Do you agree with the interpretation of this criterion, and the aspects that the interpretation is focused on? Should interpretation be amended, further clarified or additional aspects be covered? Please substantiate your reasoning.

GLEIF will not provide a response to this question.

Q37. 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 Regulation and their aspects that require such further specification.

The Global Legal Entity Identifier Foundation (GLEIF) is pleased to provide comments to the European Banking Authority Draft Guidelines on the STS criteria for ABCP securitisation Consultation Paper.

GLEIF will focus its comments on the use of the Legal Entity Identifier (LEI) in the consultation.

GLEIF recommends that required use of the LEI should be specified in the Guidelines.

The parties involved in ABCP programs are numerous. Starting with the legal entity formed for the program itself, the SSPE (Securitisation Special Purpose Entity), a typical program includes a sponsor, originator, seller, original lender, servicer, trustee, debtor, guarantor, national competent authorities, the ESAs (EBA, ESMA, EIPOA) and investors.

The consultation paper acknowledges the expectation that the implementation of the new EU securitization framework itself will be accompanied by considerable administrative, compliance and operational costs for both market participants and competent authorities. The Guidelines, as the subject of the consultation paper, should contribute to mitigation of such costs.

GLEIF views the drivers and benefits of using the LEI to identify parties to ABCP programs are similar to those relevant to the of the use of the LEI consistently to identify issuers, guarantors and offerors (with legal personality) in the EU Prospectus Regulation.

GLEIF proposes, starting with SSPEs of ABCP programs, that the LEI be used consistently to identify parties to ABCP programs and transactions. This vital information, the legal entities behind the roles of entities that are party to ABCP programs, will provide transparency and consistency during normal operation of ABCP programs but will prove invaluable during times of deterioration of credit quality, potential insolvency, identification of underlying exposures and actual default.

The EBA also could consider further parallels of standardization and digitization to the EU Prospectus Regulation for the launch of ABCP programs by requiring that each program/program tranche be assigned the ISIN (International Securities Identification Number) and that the terms of ABCP programs be captured digitally at formation. By considering this, the EBA further could contribute to mitigation of the implementation costs of the new EU securitization framework through the Guidelines.

Name of organisation

Global Legal Entity Identifier Foundation (GLEIF)