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

Opinions, Reports and other Publications

 

Opinions

 

Other Publications

Reports