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The Association for Financial Markets in Europe (AFME) and Joint Trade Associations

Question 1: Do you agree with identified impediments to the securitisation market?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 2: Should synthetic securitisations be excluded from the framework for simple standard and transparent securitisations? If not, under which conditions/criteria could they be considered simple standard and transparent?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 3: Do you believe the default definition proposed under Criterion 5 (ii) above is appropriate? Would the default definition as per Article 178 of the CRR be more appropriate?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 4: Do you believe that, for the purposes of standardisation, there should be limits imposed on the type of jurisdiction (such as EEA only, EEA and non-EEA G10 countries, etc): i) the underlying assets are originated and/or ii) governing the acquisition process of the SSPE of the underlying assets is regulated and/or iii) where the originator or intermediary (if applicable) is established and/or iv) where the issuer/sponsor is established?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 5: Does the distribution of voting rights to the most senior tranches in the securitisation conflict with any national provision? Would this distribution deter investors in non-senior tranches and obstacle the structuring of transactions?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 6: Do you believe that, for the purposes of transparency, a specific timing of the disclosure of underlying transaction documentation should be required? Should this documentation be disclosed prior to issuance?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 7: Do you agree that granularity is a relevant factor determining the credit risk of the underlying? Does the threshold value proposed under Criterion B pose an obstacle to the structuring of securitisation transactions in any specific asset class? Would another threshold value be more appropriate?
Please see attached AFME and Joint Trades Comment Letter
Question 8: Do you agree with the proposed criteria defining simple standard and transparent securitisations? Do you agree with the proposed credit risk criteria? Should any other criteria be considered?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 9: Do you envisage any potential adverse market consequences of introducing a qualifying securitisation framework for regulatory purposes?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 10: How should capital requirements reflect the partition between qualifying and non-qualifying?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 11: What is a reasonable calibration across tranches and credit quality steps for qualifying securitisations? Would re-allocating across tranches the overall capital applicable to a given transaction by reducing the requirement for the more junior tranche and increasing it for the more senior tranches other than the most senior tranche be a feasible solution?
Please see attached AFME and Joint Trade Associations Comment Letter
Question 12: Considering that rating ceilings affect securitisations from certain countries, how should the calibration of capital requirements on qualifying and non-qualifying securitisations be undertaken, while also addressing this issue?
Please see attached AFME and Joint Trade Associations Comment Letter
Contact name
Anna Bak