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 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: Under development

  • RTS on the homogeneity of the underlying exposures in securitisation

    The homogeneity requirement aims to facilitate the assessment of underlying risks by investors and to enable them to perform robust due diligence. Its application is, therefore, one of prerequisites for a more risk sensitive regulatory treatment of the securitisation. The RTS are applicable to both asset-backed commercial paper (ABCP) and non-ABCP securitisations.

    Status: Under development

  • Discussion Paper On the Significant Risk Transfer in Securitisation

    This work builds on the EBA’s monitoring activity of supervisory practices in the area of significant risk transfer, which the Authority started in 2014 with the publication of the EBA Guidelines on this topic . The discussion paper aims at seeking stakeholders’ views on how to further harmonise the regulation and supervision of the risk transfer through securitisation.

    Status: Under development

Opinions, Reports and other Publications

 

Opinions

 

Other Publications

Reports