EBU Single Rulebook Q&A 28 June 2022 2022_6499 Consideration of STS in synthetic securitisations

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European Union · · · 30-06-2023

When a synthetic securitisation fulfills STS criteria (Article 243(2) CRR), are all its tranches considered STS in the RWEA calculation and in COREP reporting, or only the senior tranche? The STS classification is a characteristic of the entire securitisation. As a fact, the conditions specified in Article 243(2) CRR refer to all the issue and its underlying assets (not just certain tranches).

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