Simple, Transparent and Comparable Securitizations: Scope of and Conditions for Alternative Treatment
No: 44047144
Date(g): 27/12/2022 | Date(h): 4/6/1444
Status: In-Force
18.66
Only traditional securitizations including exposures to ABCP conduits and exposures to transactions financed by ABCP conduits fall within the scope of the simple, transparent and comparable (STC) framework. Exposures to securitizations that are STC-compliant can be subject to alternative capital treatment as determined by 19.20 to 19.22, 20.11 to 20.14 and 22.27 to 22.29.
18.67
For regulatory capital purposes, the following will be considered STC- compliant:
(1)
Exposures to non-ABCP, traditional securitizations that meet the criteria in 18.72 to 18.95; and
(2)
Exposures to ABCP conduits and/or transactions financed by ABCP conduits, where the conduit and/or transactions financed by it meet the criteria in 18.96 to 18.165.
18.68
The originator/sponsor must disclose to investors all necessary information at the transaction level to allow investors to determine whether the securitization is STC- compliant. Based on the information provided by the originator/sponsor, the investor must make its own assessment of the securitization’s STC compliance status as defined in 18.67 above, before applying the alternative capital treatment.
18.69
For retained positions where the originator has achieved significant risk transfer in accordance with 18.24, the determination shall be made only by the originator retaining the position.
18.70
STC criteria need to be met at all times. Checking the compliance with some of the criteria might only be necessary at origination (or at the time of initiating the exposure, in case of guarantees or liquidity facilities) to an STC securitization. Notwithstanding, investors and holders of the securitization positions are expected to take into account developments that may invalidate the previous compliance assessment, for example deficiencies in the frequency and content of the investor reports, in the alignment of interest, or changes in the transaction documentation at variance with relevant STC criteria.
18.71
In cases where the criteria refer to underlying assets – including, but not limited to 18.94 and 18.95 and the pool is dynamic, the compliance with the criteria will be subject to dynamic checks every time that assets are added to the pool.
