Securitisation

The Securitisation Regulation is a cornerstone of the EU’s efforts to establish a Capital Markets Union. It applies to all securitisation products and includes due diligence, risk retention and transparency rules together with a clear set of criteria to identify simple, transparent and standardised (STS) securitisations.

Under the Securitisation Regulation, securitisation is a transaction or scheme where the credit risk associated with an exposure or a pool of exposures is tranched, and all of the following characteristics are met:

  1. Payments in the transaction or scheme are dependent upon the performance of the exposure or of the pool of exposures.
  2. The subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme.
  3. The transaction or scheme does not create specialised lending exposures.

The Securitisation Regulation confers a number of tasks upon ESMA.

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STS securitisation

According to Article 27(1) of the Securitisation Regulation, originators and sponsors must jointly notify ESMA by using the template that is provided in Article 27(7) where a securitisation meets the simple, transparent and standardised (STS) requirements. ESMA is responsible for the consistent application and enforcement of the STS criteria and for monitoring the Union securitisation markets.

For traditional securitisations, the STS requirements are set out under Articles 19 to 22 of the Securitisation Regulation, for ABCP transactions or ABCP programmes under Articles 23 to 26 and for on-balance sheet synthetic securitisations (hereafter “synthetic securitisations”) under Articles 26a to 26e.

In the case of an ABCP programme, only the sponsor is responsible for the notification of that programme.

In the case of synthetic securitisations, only the originator is responsible for the notification.

ESMA maintains on its website a list of all securitisations that considered to meet the STS requirements and for which the originators and sponsors have submitted a notification by using the relevant STS notification templates. ESMA adds each securitisation notified to that list immediately and updates the list where the securitisations are no longer considered to be STS following a decision of a competent authority or a notification by the originator or sponsor. Where the competent authority has imposed administrative sanctions in accordance with Article 32 of the Securitisation Regulation, it must notify ESMA immediately and ESMA immediately indicates on the list that a competent authority has imposed administrative sanctions in relation to the securitisation concerned.

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STS traditional securitisation

On 3 September 2020, the following two technical standards on STS notifications were published in the Official Journal of the European Union:

The two technical standards entered into force on 23 September 2020.

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STS synthetic securitisation

On 6 April 2021, the amended Regulation 2021/557 extended the STS framework to synthetic securitisations.

The following two technical standards on STS notifications were published in the Official Journal of the European Union on 26 July and 13 October 2022 respectively:

These technical standards amend Annexes I to III to the RTS 2020/1226 and ITS 2020/1227 specifying the information that is to be reported to ESMA for securitisations meeting the STS requirements for traditional securitisations.

These technical standards entered into force on 15 August 2022 (RTS) and on 2 November 2022 (ITS).

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STS Register

ESMA STS Register facilitates the notification of STS securitisations by reporting entities to ESMA.

The STS register replaces the previous STS list for traditional STS securitisations (non-ABCP securitisations, ABCP securitisations and ABCP programmes). The previous STS list for traditional STS securitisation will be disabled once all the STS traditional securitisations notified to ESMA before 2 February 2022 are migrated to the new STS register.

Since 2 February 2022, all notifications for traditional STS securitisations must be submitted to ESMA via ESMA’s STS Register.

Until further notice, originators and sponsors should continue to submit their STS notifications of synthetic STS securitisations, cancelled synthetic STS securitisations, master trust synthetic STS securitisations and synthetic STS securitisations no longer meeting the STS requirements to the STSnotifications@esma.europa.eu mailbox using ESMAs STS template for synthetic STS securitisations.

The following lists remain available on ESMAs website until further notice:

For more details on ESMAs STS Register, please refer to the ESMA guide on accessing the STS Register and submitting STS notifications. For any questions, please email stsregister_project@esma.europa.eu .

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Impact of Brexit on STS securitisations

ESMA keeps a separate list with those securitisations that are no longer eligible to the European STS status due to Brexit.

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Disclaimer

The list of securitisations is derived solely from the STS notifications notified to ESMA by the originators and sponsors as well as the notification of an administrative sanction to ESMA by a competent authority. Originators, sponsors and the securitisation special purpose entities (SSPE) remain responsible for the STS information, and the competent authority remains responsible for any administrative sanctions and remedial measures, and queries regarding that information should be addressed directly to each of them according to their responsibilities.

The information published in the STS Register and on the other STS lists derives exclusively from the information notified to ESMA. Therefore, ESMA does not accept any responsibility or liability for the accuracy of the information. ESMA shall not be liable for any loss of business or profits or any direct, indirect or consequential loss or damage resulting from any irregularity or inaccuracy of the information published by ESMA in the Register. ESMA aims to minimise disruption caused by technical errors. However, please note that ESMA cannot guarantee that its service will not be interrupted or otherwise affected by technical errors.

For further information, please see the Legal Notice.

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Technical standards on disclosure requirements

ESMA sets out disclosure requirements for all types of securitisations including details of the structure of the securitisation transaction, of the underlying exposures and of the performance of the transaction.

On 3 September 2020, the following two sets of technical standards on disclosure requirements were published in the Official Journal of the European Union:

These technical standards entered into force on 23 September 2020.

​The disclosure technical standards include 14 reporting templates. These are available below using a format that aims to assist stakeholders in their analysis of the technical standards. ESMA wishes to emphasise that the templates below are only provided for convenience and that the official versions of the templates are contained in the respective annexes available on the European Commission’s website (RTS and ITS).

The templates below include references to the European Central Bank (ECB) asset-backed securities loan-level data templates where available. These references have been produced on a best-effort basis, and do not form part of ESMA’s draft technical standards. ESMA therefore makes no claim or commitment as regards the accuracy of the mapping between the draft templates and the ECB’s templates.

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Reporting instructions, XML schema and validation

The XML schemas for these templates and accompanying technical reporting instructions and validation rules are available below. Since 1 September 2021, reporting entities should only use version 1 1.3.1.

Current Version: Version 1.3.1 published on 7 July 2021

Version 1.3.1 includes also standardised XML templates for the “end-of-day report” and the “rejection report” which a securitisation repository is required to make available in accordance with the RTS on operational standards:

Further guidance on how to understand and complete the disclosure templates is available in ESMA’s Q&A document on Securitisation Topics. 

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Securitisation repositories

Securitisation repositories (SRs)centrally collect and maintain the records of securitisation instruments and underlying assets.

SRs play a central role in enhancing the transparency of securitisation markets and thus of the financial system.

Under the Securitisation Regulation, ESMA is responsible for the registration and supervision of SRs (see chapter 3 of Regulation (EU) 2017/2402).

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Registration of securitisation repositories

In November 2018, ESMA published its Final Report on SRs technical standards and Final Technical Advice on SRs registration and supervisory fees - please see ESMA’s associated news item and statement for further background.

On 3 September 2020, the following three technical standards relating to the registration and operational standards of SRs were published in the Official Journal of the European Union:

The technical standards entered into force on 23 September 2020, from this date ESMA started to receive applications for registration from SRs. The duration of the application process is influenced by a number of factors, in particular the level of completeness of the application file submitted by the applicant(s).

If you are interested in applying for an SR registration, please refer to this guidance.

If you would like to receive further information on the registration process, please contact ESMA at SR-registration@esma.europa.eu.

Please note that ESMA may decide to reopen the completeness phase described in Article 10 of Regulation (EU) No 2017/2402 on the basis of the applicant’s submission of new information during the compliance phase referred to in Article 12 of that Regulation, provided that ESMA considers it appropriate and receives the written and unambiguous consent of the applicant.

On 25 June 2021 ESMA published a press release on the registration of the first two SRs with ESMA. The registration decisions took effect on 30 June 2021. As of that date, a reporting entity, i.e. the originator, sponsor or securitisation special purpose entity (SSPE), of a securitisation must make its reports available through one of the registered SRs.

In accordance with Article 13(3) of the Securitisation Regulation, ESMA publishes a list of registered SRs, which is updated within five working days following the adoption of a registration decision. You can find below the list of ESMA registered SRs:

▸ List of SRs registered in accordance with the Securitisation Regulation

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Channels of communication for reporting data quality and accessibility issues

As part of ESMAs supervision of SRs, ESMA’s objective is to ensure that the securitisation data collected and maintained by SRs is of high quality and that SRs provide direct and immediate access free of charge to the entities listed in Article 17 of the Securitisation Regulation.

Feedback and queries from reporting entities and users of securitisation data should be communicated via the following channels:

  1. For queries relating to the Securitisation Regulation (e.g. technical questions relating to the application of the Regulation, ESMA Guidelines or opinions, queries related to the interpretation of a specific reporting field or reporting requirement), please consult the Q&A Document on Securitisation Topics. If you do not find the answer you are looking for, please submit your question through ESMA’s Q&A tool available here.
  2. For specific queries relating to accessibility issues of SR websites and access to disclosure information, as well as queries relating to data quality issues of the disclosure templates submitted to SRs (e.g. errors or incorrect reporting of the data, incomplete, inaccurate and inconsistent data), please contact the relevant SR. Should your queries submitted to an SR not be resolved or not resolved in a timely manner and you wish to provide feedback to ESMA or to make a complaint about an SR to ESMA, please complete this form and e-mail the form to the following e-mail address: securitisation@esma.europa.eu . In the subject of your e-mail, please state “Complaint about securitisation repository”. For further information about ESMA’s handling of complaints please visit the dedicated website section. If you wish to remain anonymous, please indicate this to ESMA.
  3. If you are an employee or a former employee of an SR and wish to submit a report relating to infringements of SRs, please visit the Whistleblowers section.
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Guidelines on data completeness and consistency thresholds

On 10 July 2020, ESMA published its Final Report on the Guidelines on securitisation repository data completeness and consistency thresholds. The purpose of the Guidelines is to provide clarity for market participants and SRs on the accepted levels of ‘No-Data’ options contained in the data submitted by securitisation parties to SRs.

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Guidelines on portability of information between securitisation repositories

On 5 October 2020, ESMA published its Final Report on the Guidelines on portability of information between securitisation repositories under the Securitisation Regulation. The purpose of the Guidelines is to set out common provisions that an SR should follow when transferring securitisation information to another SR. The Guidelines also contain two detailed annexes that cover the specific provisions that an SR should follow in the event of a request by a reporting entity to transfer securitisation information from one SR to another, or in the event of a withdrawal of an SRs registration with ESMA.

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Cooperation on supervision

On 8 January 2019, ESMA published a Final Report containing technical standards relating to how competent authorities and the ESAs should cooperate with each other in the supervision of securitisation transactions.

Securitisation transactions’ parties (investors, originators, sponsors, original lenders and Securitisation Special Purpose Entity (SSPE)) can be established in different Member States and supervised by different CAs. The technical standards setting out the general cooperation obligations, the information to be exchanged and the common notifications procedures in the event of infringements of the Securitisation Regulation were adopted by the European Commission and published at the Official Journal on 30 August 2021.

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List of competent authorities

▸ List of EU competent authorities under the Securitisation Regulation

Competent authorities are responsible for supervising compliance of institutional investors, originators, SSPEs, original lenders and third parties with their obligations under the Securitisation Regulation in particular:

  • Due diligence requirements (Article 5),
  • Risk retention requirements (Article 6),
  • Transparency requirements (Article 7),
  • Ban on resecuritisation (Article 8),
  • Criteria for credit-granting (Article 9),
  • STS criteria (Articles 18 to 27)
  • Third parties verifying (TPV)’ requirement (Article 28).

This list is updated by ESMA as necessary.

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Joint Committee Securitisation Committee

In accordance with Article 36(3) of the Securitisation Regulation, a specific securitisation committee, the Joint Committee Securitisation Committee (JCSC), has been established within the framework of the Joint Committee of the European Supervisory Authorities to help competent authorities cooperate in order to carry out their duties. This committee, inter alia, analyses securitisation issues of a cross-sectoral nature and publishes JCSC Q&As.

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Questions and answers

Queries related to ESMA’s work on securitisation should be submitted via Q&A tool.

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