2014年-EBA欧洲银行管理局_Securitisation_Risk_Retention_Report_47页_707kb

EBA Report on Securitisation Risk Retention, Due Diligence and Disclosure Summary

Core Content

The European Banking Authority (EBA) has conducted a comprehensive review of the securitisation risk retention, due diligence, and disclosure requirements under the Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD II), in response to the European Commission's call for advice in December 2013. The report outlines the implementation and compliance status of these rules across the European Economic Area (EEA) and provides recommendations for their future application.

Main Views and Key Information

1. Securitisation Risk Retention Framework

• The CRR Part Five Titles II and III, effective from July 2014, replaced the earlier CRD II Article 122a and its guidelines, introducing mandatory risk retention rules for securitisation transactions.
• The "indirect" approach requires investor institutions to ensure that the originator, sponsor, or original lender retains a minimum net economic interest of 5% in the securitisation.
• This approach is seen as effective in aligning the interests of investors and securitisers, and the EBA recommends maintaining it.
• A complementary "direct" approach is suggested to increase certainty and transparency for investors, although the EBA does not recommend replacing the current framework with it.

2. Implementation and Compliance by Competent Authorities

• The EBA conducted two compliance studies: one in 2012 for compliance in 2011 and another in 2014 for compliance in 2013.
• 27 national competent authorities (NCAs) responded to the 2012 study, all claiming full compliance with Article 122a and its guidelines.
• 19 Member States had implemented the guidelines by June 2012, while 8 had not due to lack of securitisation activity.
• In 2014, 24 NCAs responded to the EBA's questionnaire, and 11 Member States had fully implemented supervisory measures by that time.
• 12 Member States had not yet taken supervisory measures, citing either no securitisation activity or no substantial changes to their national frameworks.
• Three non-compliance cases were reported in 2013, all related to due diligence, but no additional risk weights were imposed.

3. Risk Retention Methods

• There are five permitted forms of risk retention, which are non-transferable during the term of the transaction.
• These methods are well-established and, based on stakeholder feedback, appear to be working effectively.
• The EBA does not recommend introducing any new forms of risk retention at this time.

4. Disclosure and Due Diligence Requirements

• The disclosure requirements under CRR Article 409 are considered appropriate and fit for purpose, supporting investor protection and financial stability.
• The due diligence requirements are also deemed sufficient and proper.
• The EBA emphasizes that proper due diligence is essential to ensure the quality of securitisation transactions.

5. Additional Risk Weights and Penalties

• Institutions that fail to meet the retention, due diligence, or disclosure requirements face additional risk weights.
• The EBA considers the current sanctions, including administrative penalties, to be adequate.

6. International Regulatory Context

• The EU approach aligns with international trends, including those from the US, which also imposes risk retention, due diligence, and transparency requirements.
• However, differences exist across jurisdictions, which could lead to market fragmentation and reduced competitiveness of the EU financial industry in the global securitisation market.

7. EBA Recommendations

• Maintain the "indirect" approach for risk retention to ensure alignment of interests between securitisers and investors.
• Implement a complementary "direct" approach to enhance investor certainty and transparency.
• Avoid expanding exemptions, as this could lead to abuse and exploitation of the rules.
• Ensure that the entity claiming to be the originator has real substance and holds economic capital for a minimum period.
• Increase dedicated resources and expertise among competent authorities to supervise securitisation effectively.
• Promote convergence in supervision across Member States to create a level playing field.

Conclusion

The EBA concludes that the current framework for securitisation risk retention, due diligence, and disclosure is effective and appropriate, with limited non-compliance reported in active securitisation markets. However, the low number of breaches may reflect limited enforcement resources rather than full compliance. The EBA urges competent authorities to allocate sufficient resources and specialized knowledge to ensure proper supervision of these rules, while also recommending international harmonization to prevent market fragmentation and enhance the competitiveness of the EU in the global securitisation sector.