EBA欧洲银行-EBA-technical-advice-on-qualifying-securitisationPublic-Hearing-Event-June-26-2015-28final29_15页_1mb

EBA Technical Advice on Qualifying Securitisations Summary

Core Content

The European Banking Authority (EBA) issued technical advice on the regulation of qualifying securitisations in response to the European Commission's call for input in January 2014. The goal was to promote the development of safe and stable securitisation markets, which could unlock additional long-term financing. The EBA proposed a holistic regulatory review of securitisation markets and other investment products, emphasizing the need for a two-stage approach to define a "qualifying" securitisation framework.

Main Recommendations

Recommendation 1: Holistic Review of Regulatory Framework

• A comprehensive review of the regulatory framework for securitisations and related products (e.g., covered bonds, whole loan portfolios) is recommended.
• The review should consider the different objectives of existing regulations.
• Investors and issuers must weigh costs and benefits of regulatory requirements such as capital charges, liquidity rules, operational requirements, and reporting.
• The framework must maintain consistency with sector-specific regulations.

Recommendation 2: Two-Stage Qualifying Securitisation Framework

The EBA proposes a two-stage approach to qualifying securitisations, which includes:

• PILLAR I: Simple

  • No leverage
  • Legal true sale
  • Homogeneous assets
  • Self-liquidation

• PILLAR II: Standard

  • Retention rules
  • No acceleration or market liquidation triggers
  • Procedures for counterparty replacement
  • Identified person

• PILLAR III: Transparent

  • Initial disclosure (aligned with CRR)
  • Loan-by-loan data on underlying assets
  • Quarterly investor reporting

This approach aims to mitigate risks in the securitisation process.

Recommendation 3: Qualifying Term Securitisations

• The EBA recommends defining Simple, Standard, and Transparent (SST) term securitisations based on the EBA DP (October 2014), with adjustments from stakeholder feedback.

• Key changes include:

  • Removal of EEA jurisdiction restrictions
  • Exemption from Prospectus Directive compliance
  • Removal of voting rights requirement
  • Modified asset performance history disclosure (5 years for retail, 7 years for other)
  • Introduction of "to the knowledge of securitiser" in credit impairment criteria
  • Sufficient expertise requirement for originators
  • Allowing third-party cash-flow modeling
  • Explanatory boxes for terminology clarification

• Credit risk criteria remain almost unchanged.

Recommendation 4: Qualifying ABCP Securitisations

• A separate framework is proposed for Asset-Backed Commercial Paper (ABCP) securitisations, recognizing their unique features.
• Key elements include:
  • Transaction-level and programme-level exposures
  • Multi-seller programmes and liquidity support
  • Capped maturity of liabilities
  • No re-tranching or re-securitisation at programme level

Recalibration Proposal

Risk-Weight Adjustments

The EBA suggests a re-calibration of the BCBS 2014 securitisation framework to provide regulatory recognition for qualifying securitisations. The recalibration introduces a "qualifying" dimension to the risk-sensitivity approach.

Long-term Ratings

Short-term Ratings

Impact of Recalibration

• Capital charges are lowered within the prudential surcharge perimeter.
• The recalibration reduces the risk-weight floor for senior qualifying tranches (from 15% to 10%) and for non-senior tranches (from 20% to 15% for 5-year maturity).
• The non-neutrality of capital charges is reduced, and the framework becomes more risk-sensitive.

Global Considerations

• The EBA recommends that the European Commission monitor global developments, particularly those from the Basel Committee and IOSCO, regarding the definition of Simple, Transparent, and Comparable (STC) securitisations.
• If a global STC framework is established, the recalibration of the BCBS 2014 framework could be aligned with it.

Synthetic Securitisations

• The EBA does not propose a framework for synthetic securitisations at this stage, as further analysis and market assessment are required.
• It acknowledges the complex nature of synthetic transactions and the variety of market practices.

Implementation and Compliance

• The EBA does not provide concrete recommendations on implementing the qualifying framework.
• However, it highlights the importance of due diligence and compliance assessment by investors and originators.
• It suggests that third-party involvement could support the collection and processing of data, but ultimate responsibility for compliance remains with the issuers and investors.

Key Issues to Discuss

• Qualifying term securitisation
• Qualifying ABCP securitisation
• Calibration of risk weights
• Compliance assessment and other implementation-related issues