Company: BCDRF
Filing Date: 2025-03-03
Form Type: 6-K
Source: 0000891478-25-000057
Chunk: 102

Company: Banco Santander, S.A.
Filing Date: 2025-03-03
Form: 6-K
Chunk 102
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 new regulatory requirements (the Dodd Frank Act in the US and Basel III internationally). In response to the failings in the securitisation intermediation chain, regulators attempted to realign incentives and address structural weaknesses as a way of reviving the securitisation markets. At a high level, these regulatory initiatives aimed to increase disclosure, mandate risk retention, restructure ratings agencies and impose capital requirements. In Europe this was complemented with securitisations labelled simple, transparent and standardised (STS) as part of a Capital Markets Union (CMU) Action Plan.

Regulation and adequate supervisory attention and capacity have been enabling factors for the growth of the SRT market. Since the introduction of the CRR and the various clarifications issued by the EBA and the SSM, banks can expect predictability when issuing transactions.

The EBA discussion paper on SRT, was taken by the Joint Supervisory Teams (JSTs) at the SSM responsible as the basis for their assessments and helped make the regulatory process for SRT clearer.

Banking supervisors assess SRT transactions to evaluate the degree of risk transfer from banks to investors, allowing institutions to achieve capital relief when this is considered sufficient. SRT transactions are assessed following a comprehensive review to ensure they comply with the CRR rules and authorities’ expectations.

Large European banks are expected to provide information on their SRT transactions to the competent authority as a condition of recognition. Entities should notify the ECB of their intentions at least three months in advance of the expected closing date of the transaction, in accordance with the ECB Public Guidance on the recognition of significant credit risk transfer.

Originator institutions should also provide the final version of the documentation no later than 15 days after the closing date of the transaction. Based on the documentation provided by the institution, the JST will assess the transaction and the credit risk that has been transferred to third parties. The JST may also ask the institution to provide any other information necessary to perform its assessment of the transaction, e.g. the specific features of an individual transaction. As the conditions for SRT have to be met on a continuous basis over the life of the securitisation transaction, the ECB also continuously reviews the securitization transactions to which originator institutions apply an SRT for the determination of their capital requirements.

| Table 71.SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments |     |                                                                                         |     |                               |     |         |