EBA欧洲银行-EBA-RTS-2013-03-Draft-RTS-on-Gain-on-Sale_15页_432kb

EBA Draft Regulatory Technical Standards on Gain on Sale and Future Margin Income

Core Content

The European Banking Authority (EBA) has drafted Regulatory Technical Standards (RTS) on the concept of "Gain on Sale" associated with future margin income in the context of securitisation under Article 32(2) of the Capital Requirements Regulation (CRR). These RTS aim to harmonise the interpretation of this concept across European institutions and align it with international practices, such as those set by the Basel Committee.

The RTS are intended to be merged with EBA-RTS-2013-01 and EBA-RTS-2013-02, forming a unified legal text. The core principle is that institutions must exclude increases in equity resulting from the sale of securitised assets from their own funds.

Main Views

The concept of "gain on sale" is tied to the derecognition of financial assets in a securitisation transaction. According to the IFRS, if derecognition occurs, the institution may book a gain on sale, which is then associated with future margin income. This future margin income refers to the expected future excess spread, as defined in Article 242(1) of the CRR.

The gain on sale is calculated as the difference between the net value of the assets received and the carrying amount of the securitised assets. It is excluded from own funds if it is associated with future margin income, as this gain may not be permanent and could be revocable.

The exclusion of such gains is not a new requirement but has been part of the Basel framework and the previous European regulatory framework, such as Directive 2006/48. The EBA is ensuring consistency in interpretation and application across Europe.

Key Information

• Scope: The RTS apply to the concept of gain on sale associated with future margin income in the context of securitisation transactions.
• Definition of Future Margin Income: It refers to the expected future excess spread from securitised assets.
• Derecognition vs. Continuing Involvement:
  • If derecognition occurs, the institution may recognise a gain on sale.
  • If the institution retains involvement, such as through a retained tranche or entitlement to ongoing excess spread, the gain is not recognised.
• Exclusion from Own Funds: The gain on sale resulting from future margin income must be excluded from own funds to ensure regulatory capital reflects the actual ability to absorb losses.
• Alignment with IFRS and Basel III: The treatment of gain on sale is aligned with international accounting standards and Basel III principles.
• Prudential Filters: The RTS clarify the prudential filters for determining whether a gain on sale should be included in own funds.
• Feedback and Adjustments: The EBA received positive feedback during the public consultation and made minor adjustments to the draft RTS, including clarifying the definition of "gain on sale" and considering the inclusion of examples.

Structure of the RTS

The RTS are structured as follows:

1. Executive Summary: Outlines the purpose and scope of the RTS.
2. Background and Rationale: Explains the regulatory context and alignment with international standards.
3. Regulatory Technical Standards: Details the definition and calculation of gain on sale associated with future margin income.
4. Accompanying Documents: Includes cost-benefit analysis and feedback from public consultation.

Impact and Considerations

• The exclusion of future margin income from own funds is not a new requirement but a reinforcement of existing principles.
• The ambiguity in the term "future margin income" was addressed by clarifying it as equivalent to expected future excess spread.
• The EBA acknowledges that some institutions may retain involvement in securitisation, which may prevent derecognition and thus the recognition of gain on sale.
• The impact of the draft RTS is considered minimal, as the principles are already in place in the CRR and Directive 2006/48.

Conclusion

The EBA draft RTS provide clarity on the treatment of gain on sale in the context of securitisation transactions, ensuring that regulatory capital is not artificially inflated by potential or uncertain gains. The alignment with IFRS and Basel III is central to the harmonisation of prudential requirements across the EU.