The European Capital Markets Union’s securitisation flagship is on the home stretch

At the end of May agreement was reached on the key issues in the debate on the new securitisation regulation and the associated CRR amendments with a publication of the relevant drafts in June 2017.

With the revival of securitisation markets as its objective, the securitisation regulation introduced criteria, both for term- and for ABCP-securitisations, for simple, transparent and standardised securitisations (STS criteria). Definitions, risk retention requirements, due diligence requirements and disclosure requirements were also harmonised for various market players. Following the new discussion initiated last year on the increase in the level of risk retention, 5% was agreed on. Based on the EMIR requirements for trade repositories data on securitisations (with the exception of private placements) must be provided to investors via securitisation registers. Furthermore, third parties have been permitted in the certification process for STS securitisations.

As a result of the securitisation regulation’s introduction, the capital requirements for securitisations have been reformed by amendments to the CRR, based on revisions to the Basel securitisation framework. In this respect, STS securitisations benefit from a lower risk weighting. In principle, the amendments are driven by the Basel regulations. However, after taking into account some exceptions, the SEC-ERBA approach was moved from the second to the third place in the hierarchy of evaluation approaches.

A final publication in the European Union’s official journal is expected in Q3/Q4 2017. Securitisations issued after the probable effective date of 1 January 2019 are affected by the new regulations; transitional provisions will be defined for outstanding securitisations to date.

We will keep you informed on further developments on our website.

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Andrea Flunker
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Ulrich Lotz
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