2015年-EBA欧洲银行管理局_EBA_report_on_qualifying_securitisation_134页_3mb

EBA Report on Qualifying Securitisation: Summary

Core Content

This report by the European Banking Authority (EBA) provides an analysis of the EU securitisation market and proposes a framework for identifying "qualifying" securitisations. It responds to the Commission's 2014 call for advice on long-term financing and outlines the rationale for regulatory reform, lessons learned from the financial crisis, and recommendations for improving the capital treatment of qualifying transactions.

Main Viewpoints

1. Securitisation as a Funding Tool

Securitisation is a mechanism that allows institutions to convert on-balance-sheet exposures into tradable securities, aiming to raise funds in the markets. It involves tranching credit risk, enabling risk transfer and capital relief. However, the complexity and opacity of some transactions contributed to the crisis.

2. Market Performance During the Crisis

The 2007–2009 financial crisis revealed significant differences in the performance of various securitisation products. High default rates were observed in US subprime RMBS and CDOs, while EU RMBS and ABS products had near-zero default rates. This disparity underscores the need for a more nuanced regulatory approach.

3. Regulatory Reforms Post-2009

Regulatory reforms at both international and EU levels have aimed to address the risks and shortcomings of the securitisation market. These reforms include enhancing transparency, imposing stricter capital requirements, and introducing new frameworks such as the BCBS 2014 securitisation framework.

4. Need for a Qualifying Framework

The EBA acknowledges that a one-size-fits-all regulatory approach may be overly conservative for simple, standard, and transparent transactions. It proposes a two-stage approach to identify qualifying securitisations: first, ensuring simplicity, standardisation, and transparency, and second, ensuring minimum credit quality of underlying exposures.

Key Information

1. EU Securitisation Market Overview

• The EU securitisation market peaked at over EUR 2 trillion in 2008–2009 but has since contracted.
• By the end of 2013, the outstanding amount was about EUR 1.5 trillion, roughly one fifth of the US market.
• RMBS dominated the market, accounting for 59% of total issuance, with SME ABSs as the second largest asset class.

2. Post-Crisis Changes in ABCP Market

• The EU ABCP market has shifted from arbitrage and hybrid conduits to multi-seller conduits, which are more closely tied to the real economy.
• Full liquidity support by sponsoring banks has increased significantly, from ~20% to ~80% of purchased assets.
• Multi-seller conduits are primarily used to finance real-economy-related exposures, such as trade receivables, auto loans, and consumer loans.

3. Regulatory Reforms

• The report summarizes key regulations introduced post-2009, including Basel Committee on Banking Supervision (BCBS) 2014 and EU Capital Requirements Regulation (CRR).
• The CRR introduced capital charges based on external ratings, with different approaches such as the Standardised Approach (SA) and Internal Ratings-Based Approach (IRB).

4. Qualifying Securitisation Framework

• The EBA proposes a two-stage framework to identify qualifying securitisations:
  • Stage 1: Ensure simplicity, standardisation, and transparency through specific criteria such as retention of economic interest, enforceable legal transfer, and disclosure requirements.
  • Stage 2: Ensure minimum credit quality of underlying exposures by setting maximum risk weights, granularity criteria, and regulatory underwriting standards.
• The framework does not apply to synthetic securitisation transactions, which require further analysis.

5. Capital Treatment of Qualifying Securitisations

• The BCBS 2014 framework is used as a baseline.
• The EBA proposes a re-calibration of capital requirements to reflect the risk-sensitivity of qualifying transactions:
  • A 50% haircut on the supervisory 'p' parameter.
  • Lowering of risk weights for qualifying transactions, with a floor of 10% for senior tranches (from 15% in BCBS 2014).
  • Maintaining the 1250% risk weight for particularly high-risk tranches.

6. Implementation and Recommendations

• The EBA recommends a systematic review of the entire regulatory framework for securitisations in comparison to other investment instruments such as covered bonds.
• The report emphasizes the importance of aligning the qualifying framework with the global Simple, Standard, and Comparable (STC) securitisation framework being developed by Basel and IOSCO.
• The implementation of the qualifying framework should be revisited based on the progress of these global initiatives.

Key Figures and Tables

• Figure 1: European securitisation outstanding peaked at over EUR 2 trillion in 2008–2009.
• Figure 2: Post-2008, most issuance was retained by issuers.
• Figure 3 & 4: US subprime RMBS and CDOs had the highest default rates in the AAA and BBB segments, respectively.
• Figure 5: EU RMBS and ABS had near-zero default rates compared to corporate ratings.
• Figure 6: US structured credit segment had the highest realised and expected losses.
• Figure 7: European ABCP issuance partially recovered from the 2009–2010 decline.
• Figure 8: The EMEA ABCP market shifted towards multi-seller conduits.
• Figure 9: Full liquidity support increased to ~80% of purchased assets.
• Table 1: Summarizes EU and international regulatory changes post-2009.
• Table 2: Capital charges under the Standardised Approach for different exposure classes.
• Table 3: Main constraints under the IRB approach.
• Table 4: Comparison of capital charges for securitisation and covered bonds.
• Table 5: Capital charges for different asset classes and jurisdictions.
• Table 6: Recalibration proposals for qualifying securitisations.
• Table 7: Considerations on excluding the SEC-ERBA approach from the hierarchy.
• Table 8–12: Proposed recalibration of risk weights for qualifying transactions.
• Table 13: Asset split by type in multi-seller portfolios.

Conclusion

The EBA report advocates for a more differentiated and risk-sensitive regulatory approach to securitisation, particularly for qualifying transactions. It emphasizes the importance of transparency, simplicity, and credit quality in the securitisation process to enhance market confidence and ensure prudential soundness. The proposed framework is aligned with global STC criteria and supported by empirical and quantitative impact study (QIS) analysis. The EBA remains open to assisting in the development of a synthetic securitisation framework.