Submission #2

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Association for Financial Markets in Europe

Question 1: Do you have any comments on this introductory section of the Discussion Paper? Please see attached AFME response letter

Question 2: Do you agree with the analysis on the market developments? Please provide any additional relevant information to complement the analysis. Please see attached AFME response letter

Question 3: Do you agree with the analysis of the historical performance? Please provide any additional relevant information to complement the analysis. Please see attached AFME response letter

Question 4: Do you agree with the analysis of the rationale for the creation of the STS synthetic instrument? How useful and necessary is synthetic securitisation for the originator and the investor? What are the possible hurdles for further development of the market? Please see attached AFME response letter

Question 5: Do you agree with the assessment of the reasons that could eventually support a preferential capital treatment? Please see attached AFME response letter

Question 6: Please provide any additional relevant information on potential impact of the creation of the STS synthetic securitisation on (STS) traditional securitisation, and any other information to complement the analysis. Please see attached AFME response letter

Question 7: Do you agree with the criteria on simplicity? Please provide comments on their technical applicability and relevance for synthetic securitisation. Please see attached AFME response letter

Question 8: Do you agree with the criteria on standardisation? Please provide comments on their technical applicability and relevance for synthetic securitisation. Please see attached AFME response letter

Question 9: Do you agree with the criteria on transparency? Please provide comments on their technical applicability and relevance for synthetic securitisation. Please see attached AFME response letter

Question 10: Do you agree with the specific criteria for synthetic securitisation? Please see attached AFME response letter

Question 11: Do you agree with the criterion 36 on eligible credit protection agreement, counterparties and collateral? Please provide any relevant information on the type of credit protection and different collateral arrangements used in market practice and their pros and cons for the protection of the originator and investor. Please see attached AFME response letter

Question 12: Please provide suggestions for any other specific criteria that should be introduced as part of the STS framework for simple, transparent and standardised securitisation. Please see attached AFME response letter

Question 13: Do you see a justification for possible introduction of a differentiated regulatory treatment of STS synthetic securitisation? If yes, what should be the scope of such treatment and how should it be structured - for example only for senior tranche retained by the originator bank, or more limited/wider? Please see attached AFME response letter

Question 14: What would be the impact if no differentiated regulatory treatment is introduced? In that case, is the introduction of the STS product without preferential treatment relevant for the market? Please see attached AFME response letter

Question 15: What would be the impact of potential differentiated regulatory treatment from level playing perspective with regard to third countries where STS framework has not been introduced? Please see attached AFME response letter

Question 16: Should a separate explicit recommendation be included in the Recommendations section on whether or not such treatment should be introduced? Please see attached AFME response letter

Upload files AFME response to EBA consultation on STS Framework for synthetic securitisation (Nov 2019).pdf

Name of organisation Association for Financial Markets in Europe