European Banking Authority proposes new structural and quantitative tests for significant risk transfer transactions

December 23, 2020

The EU Capital Requirements Regulation, which came into effect in January 2014, mandated the European Banking Authority to report by 2 January 2021 on the regulatory approach to granting capital relief for transactions involving the transfer of significant credit risk to third parties in traditional and synthetic securitisations. In the CRR, transactions that qualify for capital relief are referred to as significant risk transfer (“SRT”) transactions.

On 23 November 2020, the EBA published its final report  (the “SRT Report”) which sets out detailed recommendations for consideration by the European Commission for new delegated and primary legislation relating to:

  1. assessment of structural features of securitisation transactions;
  2. the content and application of SRT quantitative tests; and 
  3. the SRT assessment process in relation to individual transactions. 


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