EBA欧洲银行-Securitisation-Risk-Retention-Report_47页_709kb

EBA Report on Securitisation Risk Retention, Due Diligence and Disclosure

Core Content

This report provides an analysis of the EU legal framework and supervisory measures regarding securitisation risk retention, due diligence, and disclosure, as well as the EBA's response to the Commission's call for advice on Article 512 of Regulation No 575/2013/EU. It outlines the current regulatory approach, assesses its effectiveness, and offers recommendations for improvement.

Main Viewpoints

• Securitisation Incentive Misalignment: Misaligned incentives and conflicts of interest in the securitisation chain have historically contributed to market inefficiencies and the 2008 financial crisis. These issues are exacerbated by the "originate to distribute" model, where originators may not have long-term interest in the assets they securitise.

• G20 and IOSCO Influence: The G20 Pittsburgh Summit (2009) and IOSCO recommendations (2009 and 2012) influenced the EU to implement risk retention rules. These rules aim to align the interests of originators, sponsors, and original lenders with those of investors.

• EU Regulatory Framework: The Capital Requirements Regulation (CRR) introduced risk retention provisions in January 2014, replacing the earlier CRD II Article 122a. These rules require investor institutions to ensure that the originator, sponsor, or original lender retains a material net economic interest of at least 5% in the securitisation transaction.

• Supervisory Measures: The EBA has conducted multiple studies and surveys to assess the implementation and compliance with the CRR's risk retention, disclosure, and due diligence requirements. These include implementation and compliance studies (2012 and 2014) and an enforcement study (March 2014).

• Compliance Status: Most EU jurisdictions have implemented the requirements, with a low number of breaches reported. However, the limited number of breaches may be due to insufficient resources or lack of activity in securitisation markets.

• Indirect vs. Direct Approach: The current EU framework adopts an "indirect" approach, placing the obligation on investor institutions to ensure that the originator, sponsor, or original lender retains a net economic interest. This approach ensures enforceability and transparency but may create legal uncertainty for investors. A "direct" approach, which would impose the obligation on originators, could enhance investor certainty but raises legal and enforcement challenges, especially for non-EU entities.

• Retention Methods: Five permitted methods of risk retention are in place and are considered effective. The EBA does not recommend introducing additional forms at this time.

• Disclosure and Due Diligence: The EBA considers the disclosure and due diligence requirements appropriate and sufficient for investor protection and financial stability.

• Additional Risk Weights and Penalties: The current sanctions, including additional risk weights and administrative penalties, are deemed adequate to enforce compliance.

• International Comparisons: While the EU approach is similar to international regulations, differences in implementation and enforcement could create barriers to global market integration and reduce the competitiveness of the EU financial industry.

Key Information

• Regulatory Background: The CRR and its associated RTS and ITS are the continuation of the CRD II Article 122a and CEBS Guidelines.

• Implementation Studies:

  • In 2012, the EBA conducted an implementation and compliance study, receiving 27 responses from EU NCAs.
  • In 2014, a compliance study was carried out, with 24 responses from EU NCAs, indicating that most jurisdictions had implemented the rules.

• Non-Compliance Cases:

  • In 2013, three cases of non-compliance were reported, all related to due diligence requirements.
  • No compliance study was conducted for 2014 yet.

• Recommendations:

  • The current "indirect" approach should be retained.
  • A complementary "direct" approach should be implemented to increase transparency and investor certainty.
  • The scope of consolidation should remain restricted to the supervision scope.
  • Exemptions should not be expanded to prevent potential abuse.
  • Originators must be entities with real substance and economic capital.

Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS)

• The RTS and ITS were published in December 2013 and adopted by the Commission in March 2014.
• The final RTS and ITS were published in the Official Journal in June 2014 and came into force 20 days later.

Conclusion

The EBA believes that the current framework is effective and that the "indirect" approach has a positive impact on EU markets. However, the low number of reported breaches may indicate a lack of resources or supervision prioritisation. The EBA recommends that competent authorities ensure sufficient dedicated resources and expertise to supervise securitisation activities effectively. The report also highlights the importance of harmonising EU regulations with international standards to maintain competitiveness in global securitisation markets.