EBA欧洲银行-EBA-OP-2014-142820Securitisation-Risk-Retention-Opinion29_7页_233kb

EBA Opinion on Securitisation Retention, Due Diligence and Disclosure Requirements (EBA/OP/2014/14)

Introduction and Legal Basis

This opinion, issued by the European Banking Authority (EBA) on 22 December 2014, is based on Article 34(1) of Regulation (EU) No 1093/2010. It responds to a call for advice from the European Commission regarding the application and effectiveness of the securitisation provisions in Part Five of the Capital Requirements Regulation (CRR), specifically Articles 405–409. The EBA's analysis is supported by its 'Report on Securitisation retention, due diligence and disclosure requirements', which is annexed to this opinion.

Core Content and Main Recommendations

The EBA provides ten recommendations aimed at improving the effectiveness, consistency, and transparency of securitisation retention, due diligence, and disclosure requirements in the EU. These recommendations are structured around the following key areas:

1. Indirect Approach with Complementary Direct Approach

• The EBA recommends maintaining the indirect approach for now, as it encourages investor due diligence and enhances transparency.
• A complementary direct approach is proposed, requiring originators, sponsors, and original lenders to publicly disclose their retention positions in a standardised format to ensure clarity and alignment of interests.

2. Forms of Retentions

• The EBA supports the five existing forms of risk retention and does not recommend introducing new forms.
• Additional forms may increase complexity and reduce the effectiveness of aligning interests between originators and investors.

3. Alternative Mechanisms for Interest Alignment

• The EBA does not recommend using alternative mechanisms as a substitute for risk retention requirements.
• These mechanisms are considered complementary, but not equivalent to the current retention options.

4. Retention on a Consolidated Basis

• The EBA advocates for consolidated supervision of the retention entity to ensure transparency and enforceability of disclosure requirements.
• Expansion of the scope of consolidation is not recommended.

5. Exemptions and Exceptions to Article 405 of the CRR

• The EBA does not recommend introducing new exemptions or exceptions to the retention rules.
• However, it suggests further assessment of an 'exceptional circumstances' provision that allows for changes in retention during specific events (e.g., insolvency).

6. Narrowing the Definition of 'Originator'

• The EBA recommends narrowing the definition of 'originator' in Article 4(13) of the CRR to prevent legal loopholes and ensure real alignment of interests.
• The entity claiming to be the originator should have substance and hold economic capital for a minimum period.

7. Disclosure Requirements

• The EBA considers the current disclosure requirements (CRR Article 409 and corresponding RTS) as appropriate and fit for purpose.
• Disclosure should include loan-by-loan information on credit quality and performance, though aggregate data may be acceptable in certain cases.

8. Due Diligence Requirements

• The EBA supports the current due diligence requirements (CRR Article 406 and corresponding RTS) as sufficient for enabling investors to assess risks.
• These requirements are more stringent than those for other investment products due to the complexity of securitisation.

9. Adequacy of Additional Risk Weights and Sanctions

• The EBA believes that additional risk weights and administrative penalties are adequate to deter non-compliance.
• The low number of non-compliant cases supports the effectiveness of the current sanctions.

10. Convergence of Regulatory Frameworks

• The EBA supports the convergence of retention rules across jurisdictions.
• It endorses the IOSCO peer review initiative to promote global consistency and reduce fragmentation in securitisation markets.

Key Information

• The EBA's recommendations aim to enhance transparency, enforceability, and investor protection.
• The indirect approach is seen as beneficial for investor due diligence, while the direct approach offers potential cost and legal benefits.
• The EBA does not advocate for new exemptions or alternative mechanisms to replace risk retention.
• Consolidated supervision and narrowing the originator definition are critical to prevent regulatory arbitrage and ensure alignment of interests.
• The EBA supports current disclosure and due diligence requirements and believes they are sufficient.
• The convergence of frameworks is essential for maintaining the competitiveness of the EU in global securitisation markets.

Conclusion

The EBA's opinion emphasizes the importance of maintaining and enhancing the current securitisation framework to ensure financial stability, investor protection, and market integrity. It calls for a balanced approach that preserves the effectiveness of the existing rules while promoting cross-border consistency and transparency.