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

  • 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

  • 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 and translated 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

  • Regulatory Technical Standards (RTS) on securitisation retention rules and Draft Implementing Technical Standards (ITS) to clarify the measures to be taken in the case of non-compliance with such obligations

    Both the RTS and the ITS aim at re-establishing securitisation on a sustainable basis mainly by encouraging market participants to develop a more transparent and uniform securitisation market and by enabling more convergence of supervisory practices across Europe with regards to the securitisation retention rules and related requirements.

    Status: Adopted and published in the Official Journal

  • CEBS Guidelines on the application of article 122a of the CRD

    These Guidelines set out the provisions for the application of Article 122a of the Capital Requirements Directive (CRD). In particular, They give guidance on the implementation of the retention clause by the originator, the sponsor or original lender and on the due diligence and risk management practices credit institutions are asked to carry out when investing in securitisation positions. Article 122a provides new requirements to be fulfilled by credit institutions when acting in a particular capacity, such as originator or sponsor, and also when investing in securitisations.

    Status: Final and translated into the EU official languages

Opinions, Reports and other Publications




Other Publications