Securitisation and covered bonds

In line with the mandates laid down in the Capital Requirements Directive (CRDIV) and Capital Requirements Regulation (CRR), and the calls for advice from the European Commission, the EBA has developed a number of draft Technical Standards, Opinions, Guidelines and Reports covering the areas of securitisation and covered bonds.

In particular, the EBA has developed Technical Standards on securitisation retention rules, due diligence and disclosure requirements, as well as an Opinion and a detailed Report assessing the effectiveness and application of these rules across the EU. In addition, it has issued Technical Standards on close correspondence between the value of covered bonds and assets, and Guidelines on significant risk transfer for securitisation transactions. Finally, it has published various comprehensive reports, such as on capital treatment of covered bonds, on qualifying securitisation, and on synthetic securitisation.

The EBA also monitors market developments and analyses the range of practices across Member States in order to ensure a consistent implementation of the new regulations. The EBA closely cooperates with national supervisors on securitisation and covered bonds, and monitors negotiations at European level in the context of the Capital Markets Union, as well as at international level in the Basel Committee (BCBS) and International Organisation of Securities Commissions (IOSCO).

Technical Standards, Guidelines & Recommendations

  • ITS on Supervisory Reporting amendments with regards to COREP securitisation

    The proposed changes to the ITS amending Regulation (EU) No 680/2014 on Supervisory Reporting aim at aligning the reporting of securitisations with the new EU securitisation framework - the Securitisation Regulation (Regulation (EU) No 2017/2402) and the Regulation (EU) No 2017/2401 amending the CRR.

    Status: Under development

  • RTS on the calculation of Kirb in accordance with the purchased receivables approach

    These draft RTS aim at striking the right balance between the need to acknowledge the specific circumstances under which institutions calculate capital requirements in the context of a securitisation transaction and the need to maintain appropriately safe and prudent requirements on the internal modelling of capital requirements.

    Status: Under development

  • Guidelines on the STS criteria for ABCP and non-ABCP securitisation

    These Guidelines provide a harmonised interpretation of the criteria for the securitisation to be eligible as simple, transparent and standardised (STS). The Guidelines, which cover both non asset-backed commercial paper (ABCP) and ABCP securitisation, clarify and ensure a common understanding of all the STS criteria, including those related to the expertise of the originator and servicer, the underwriting of standards, exposures in default and credit impaired debtors, and predominant reliance on the sale of assets.

    Status: Under development

  • RTS on risk retention

    The RTS aim to provide clarity on the requirements relating to risk retention, thus reducing the risk of moral hazard and aligning interests.

    Status: Final draft adopted by the EBA and submitted to the European Commission

Opinions, Reports and other Publications

 

Opinions

 

Other Publications

Reports