2015年-EBA欧洲银行管理局_JC_2015_022_Final_JC_Report_on_securitisation_104页_1mb

Joint Committee Report on Securitisation Summary

I. Core Content

This report, published by the Joint Committee (JC) on 12 May 2015, provides a comprehensive analysis of the regulatory framework for structured finance instruments (SFIs) in the European Union (EU). It evaluates the current due diligence and disclosure requirements across several EU regulations and directives, including the Prospectus Directive, CRR/CRD IV, AIFMD, CRA Regulation, Solvency II, and central bank collateral frameworks. The goal is to ensure a consistent, transparent, and investor-friendly securitisation market in the EU.

The report highlights the need for harmonisation across different regulatory regimes and proposes recommendations to improve the framework, focusing on the alignment of due diligence and disclosure requirements, standardisation of investor reports, and enhancing investor protection.

II. Main Recommendations

Recommendation n°1: Harmonise Due Diligence Requirements

• Due diligence should be viewed as a dynamic process from the initial investment decision to the maturity or divestment of SFIs.
• Current requirements vary across CRR, Solvency II, and AIFMD depending on the investor type (e.g., banks, insurers, AIFMs).
• A more coherent conceptual framework should be developed to align due diligence needs with the nature of SFIs and investor practices.

Recommendation n°2: Due Diligence Should Drive Disclosure Requirements

• Disclosure requirements must be tailored to meet the due diligence needs of investors.
• The CRA 3 RTS should be amended to provide loan-level data (e.g., prepayment amounts, defaults, delinquencies, and credit scores).
• Credit enhancement elements, trigger mechanisms, and performance metrics should be made available to investors.
• Legal Entity Identifiers (LEIs) or alternative identifiers should be included for all legal entities in transaction documentation to avoid naming inconsistencies.

Recommendation n°3: Standardised Investor Reports Should Be Stored in a Centralised Public Space

• The SFI website should serve as a central hub for all relevant data.
• Investor reports, prospectuses, and transaction documents should be stored in a public space to ensure transparency.
• Data should be dynamic and allow tailored extraction to meet the specific needs of investors.
• Standardised templates should be developed to avoid redundancy and ensure consistency.

Recommendation n°4: Allow Data Providers to Fulfil Disclosure Requirements

• The data owner (issuer, sponsor, originator) remains responsible for data quality.
• Flexibility should be granted to data providers to submit information for disclosure purposes, provided the data owner ensures accuracy.

Recommendation n°5: Loan-by-Loan Data Should Be Provided to Investors

• Loan-level data should be made available to all EU investors.
• Aggregated or stratified data can be used only if loan-by-loan data is also accessible.
• The CRA 3 RTS should serve as the common basis for loan-level data disclosure.
• Additional fields in loan-level reporting templates (e.g., prepayment details) should be mandatory, especially for RMBS.

Recommendation n°6: Enable All Investors to Conduct Effective Stress Tests

• Independent validation of cash flow models should be required, either by third parties or vendors.
• Models should be reviewed continuously to ensure accuracy.
• A technical standard should be developed to ensure all investors have access to liability cash flow models before purchasing SFIs.
• The model should include key outputs such as WAL, Discount Margin, and loss on collateral pool.

Recommendation n°7: Review and Clarify Definitions in EU Legislation

• A comprehensive review of definitions and key terms across EU legislation is necessary to avoid discrepancies.
• A glossary of terms should be developed to enhance clarity and reduce uncertainty.
• A harmonised approach should be adopted for private and bilateral SFIs.

Recommendation n°8: Enhance Investor Protection through Mandatory Disclosure

• Disclosure requirements should be mandatory for all SFIs admitted to trading on EU regulated markets or offered to the public.
• These requirements should be enforced by national authorities responsible for prospectus supervision.
• For SFIs traded OTC or on non-EU markets, supervisory challenges may arise, especially if the issuer, originator, or sponsor is not based in the EU.

Recommendation n°9: Develop a Comprehensive Supervision and Enforcement Framework

• A comprehensive supervision regime should be established alongside the due diligence and disclosure framework.
• Capital requirements, liquidity rules, and collateral frameworks should be linked to disclosure compliance.
• A different supervisory approach may be needed for private and bilateral SFIs, which are not typically admitted to trading.

III. Key Issues and Analysis

Due Diligence Requirements

• Apply to investors such as credit institutions, insurance undertakings, and AIFMs.
• Require comprehensive understanding of the transaction structure and underlying assets.
• The CRR and AIFMD set different standards for due diligence, leading to inconsistencies.

Disclosure Requirements

• Cover issuers, originators, and sponsors of SFIs.
• Include loan-level data, performance metrics, and credit enhancement details.
• The CRA 3 RTS mandates disclosure on the SFI website for SFIs issued or outstanding from 1 January 2017.

Transversal Issues

• Inconsistent definitions of securitisation across EU legislation.
• Geographic scope of application varies, with some requirements applying only to EU-based entities.
• Enforceability of disclosure and due diligence obligations is a concern, particularly for non-EU traded SFIs.

IV. Conclusion

The report underscores the importance of transparency and consistency in the EU securitisation market. It calls for a harmonised framework that supports effective investor due diligence, accurate disclosure, and robust supervision. The recommendations aim to align regulatory requirements, reduce operational risks, and enhance investor protection, ensuring that the securitisation market is safe, transparent, and efficient. These recommendations should be implemented across all comparable market segments and not in isolation.

V. Annexes Overview

• Annex 1: Lists key EU regulations/directives related to securitisation.
• Annex 3: Compares disclosure and due diligence requirements across EU legislations.
• Annex 4: Details the information included in the Prospectus Directive and Regulation.
• Annex 5: Provides a reference for the definition of securitisation in EU legislation.
• Annex 6: Compiles sectoral regulations related to disclosure, due diligence, and reporting.