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Securitisation

Securitisation initiative – 30.09.2015

The Commission Securitisation initiative adopted on 30 September 2015 is a package of two legislative proposals:

  • A Securitisation Regulation that will apply to all securitisations and include due diligence, risk retention and transparency rules together with the criteria for Simple, Transparent and Standardised (“STS”) Securitisations;
  • A proposal to amend the Capital Requirements Regulation to make the capital treatment of securitisations for banks and investment firms more risk-sensitive and able to reflect properly the specific features of STS securitisations.  As the prudential treatment of securitisations for insurers is laid down in level 2 texts, future adjustments will come at a later moment. The same applies to banks and investment firms as regards the prudential treatment for liquidity purposes which is included in a Delegated Act that will be amended at a later stage.

On 2 December 2015 the Council of the European Union agreed on Commission proposal, which constitutes a good basis for further discussions with the European Parliament.

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Public consultation – 18.02.2015

A public consultation on a possible EU framework for simple, transparent and standardised securitisation was carried out between 18 February and 13 May 2015. 120 replies were received. On the whole, the consultation indicated that the priority should be to develop an EU-wide framework for simple, transparent and standardised securitisation.

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Background

At the global level, the Basel Committee on Banking Supervision (BCBS) and the International Organisation of Securities Commissions (IOSCO) have been jointly leading a cross-sectorial Task Force on the impediments to securitisation. Its main task has been to develop criteria to identify simple, transparent and comparable securitisation instruments. The group issued a set of global criteria on 23 July 2015.

In parallel to that workstream, in December 2014, the BCBS published revised standards concerning  the capital treatment of banks’ exposures of to securitisations.

At the EU level, following a request from the Commission in January 2014, the European Banking Authority (EBA) finalised on 7 July 2015 an advice to the Commission on a framework for qualifying securitisation. It proposes criteria for defining simple, standard and transparent securitisation transactions including a specific set of elements for short term securitisations, asset backed commercial paper (ABCP). The EBA also suggested a more risk-sensitive capital treatment for STS  securitisation instruments, on the basis of the framework proposed in 2014 by the Basel Committee.

The Commission proposal concerning the identification of the STS criteria and the capital treatment of securitisation exposures of banks takes into account the conclusions of the EBA report.