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

  • Guidelines on implicit support for securitisation transactions

    The objective of these Guidelines is to provide clarity on what constitutes arm's length conditions and when a transaction is not structured to provide support for securitisations. The Guidelines have been developed pursuant to Article 248 of the CRR, which lays down restrictions on sponsor institutions and originator institutions providing support to securitisations beyond their contractual obligations.

    Status: Final (awaiting translation into the EU official languages)

  • Regulatory Technical Standards (RTS) on Own Funds

    These Regulatory Technical Standards (RTS) gather a number of mandates given to the EBA by the Capital Requirements Regulation (CRR) in relation to own funds. These RTS include provisions regarding: technical aspects in relation to Common Equity Tier 1, Additional Tier 1, deductions from Common Equity Tier 1 and from own funds in general, as well as transitional provisions on grandfathering; the treatment of gains on sale associated with future margin income in a securitisation context; the conditions under which competent authorities may determine that a type of undertaking is recognised under applicable national law as a mutual, cooperative society, savings institution or similar institution; the criteria to define broad market indices, the calculation of minority interest and the deduction of indirect and synthetic holdings.

    Status: Adopted and published in the Official Journal

  • Guidelines on significant risk transfer (SRT) for securitisation transactions

    These Guidelines aim to ensure harmonised assessment and treatment of significant risk transfer (SRT) across all EU Member States. They have been produced according to article 243 or article 244 of the Capital Requirements Regulation (CRR) and apply to both originator institutions and competent authorities.

    Status: Final and translated into the EU official languages

  • Regulatory Technical Standards (RTS) on close correspondence between the value of an institution’s covered bonds and the value of the institution’s assets relating to the institution’s own credit risk

    These RTS relate to prudential filters applied to own funds. In particular, they specify the criteria for defining the close correspondence between the fair value of the covered bonds and the fair value of the assets for the purpose of calculating capital requirements. These RTS will be part of the Single rulebook aimed at enhancing regulatory harmonisation in the EU.

    Status: Adopted and published in the Official Journal

Opinions, Reports and other Publications




Other Publications