ESMA regulates securitisation activities, principally by setting out reporting requirements, laying down the contents of the STS notification and maintaining a list of STS securitisations, supervision of securitisation repositories and facilitating cooperation in supervision between competent authorities. The Securitisation Regulation is the main piece of EU legislation in this area.
The Securitisation Regulation refers to transactions 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:
- payments in the transaction or scheme are dependent upon the performance of the exposure or of the pool of exposures;
- the subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme;
- the transaction or scheme does not create specialised lending exposures (i.e. those possessing all of the characteristics listed in Article 147(8) of Regulation (EU) No 575/2013).
SECURITISATION REGULATION OVERVIEW
The Securitisation Regulation establishes a general framework for securitisation and creates a specific framework for simple, transparent and standardised (STS) securitisation. The Regulation was published in the Official Journal of the European Union on 28 December 2017 and is a cornerstone of the EU’s efforts to establish a capital markets union, by creating a single market for investment services and activities and to ensure a high degree of harmonised protection for investors in financial instruments.
The Securitisation Regulation confers a number of tasks upon ESMA, including to design reporting requirements for a number of features of securitisations, such as details of their underlying exposures, of the securitisation instrument structure, and of the performance of the transaction. In addition, securitisations seeking to be considered as STS must fulfil additional criteria and notify ESMA of their fulfilment of these criteria on the basis of notification templates established by ESMA for non-ABCP transactions, ABCP transactions and ABCP programmes.
From 1 January 2019, ESMA must maintain a list of securitisations meeting these STS criteria on its website, in addition to providing the STS notifications. Elsewhere, ESMA has been designated as the supervisor of securitisation repositories, in a similar manner to its supervision of trade repositories under EMIR and SFTR. In close cooperation with EBA and EIOPA, ESMA is also tasked with the responsibility of specifying the general cooperation obligation and information to be exchanged between competent authorities and the European Supervisory Authorities (EBA, EIOPA, ESMA).
DISCLOSURE REQUIREMENTS AND TEMPLATES
On 3 September 2020, the following two technical standards on disclosure requirements under the Securitisation Regulation were published in the Official Journal of the European Union:
· Commission delegated regulation supplementing Regulation (EU) 2017/2402 with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (hereinafter: the disclosure RTS); and
· Commission implementing regulation laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE (hereinafter: the disclosure ITS).
These technical standards entered into force on 23 September 2020. As of that date, the transitional provision allowing for the use of the so-called “CRA 3” reporting templates will cease to apply (see Article 43(8) of the Securitisation Regulation).
The disclosure technical standards include 15 reporting templates. These are available below using a format that may, in ESMA’s view, assist stakeholders in their analysis of the technical standards. To further facilitate stakeholders’ analyses, the templates include references to the European Central Bank (ECB) asset-backed securities loan-level data template fields, 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 final accuracy of such mapping between the draft templates and the ECB’s templates. In addition, ESMA wishes to emphasise that the templates below have been provided only for convenience and that the official versions of the templates are contained in the respective annexes available on the European Commission's website.
REPORTING INSTRUCTIONS, XML SCHEMA AND VALIDATION
The XML schema for these templates and accompanying technical reporting instructions and validation rules are available below. Reporting entities may choose to use either version 1.2.0 or version 1.3.1 of the XML schema and validation rules until 1 September 2021. As of that date, only version 1.3.1 will be admissible.
In the latest version 1.3.1, published on 7 July 2021, certain validation rules set out in the spreadsheets are relaxed. Version 1.3.1 does not introduce any changes to the XML schema compared to version 1.3.0.
Current Version: Version 1.3.1 published on 7 July 2021
- XML schema and validation rules on disclosure templates
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:
- XML Schema and technical guidance on end of day report and rejection report
Further guidance on how to understand and complete the disclosure templates is available in:
- ESMA's Q&A document on Securitisation Topics
Previous major versions of the XML Schema and validation rules:
Version 1.0.0 of the XML schema and validation rules was published on 17 July 2019
For a traditional securitisation to be considered STS, it must fulfil the STS requirements set out in Articles 19 to 22 or Articles 23 to 26 of the Regulation (EU) 2017/2402. In addition, ESMA needs to be notified of how a securitisation transaction fulfils these STS requirements by using the different STS notification templates (non-ABCP transactions, ABCP transactions or ABCP programmes) established in the technical standards.
On 3 September 2020, the following two technical standards on STS notifications were published in the Official Journal of the European Union
· Commission delegated regulation supplementing Regulation (EU) 2017/2402 of 12 December 2017 and laying down regulatory technical standards specifying the information to be provided in accordance with the STS notification requirements (hereinafter: the RTS on STS notifications); and
· Commission implementing regulation laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements with associated Annexes (hereinafter: the ITS
The two technical standards entered into force on 23 September 2020. Information on how STS traditional notification templates should be submitted to ESMA can be found in the guide for the STS notification of traditional securitisations . STS traditional notification templates should be used to notify ESMA on how a traditional securitisation complies with Article 19 to 22 or Article 23 to 26.
On 6 April 2021, the amended Regulation 2021/557, which includes amendments to extend the STS framework to on-balance sheet synthetic securitisations (hereafter “synthetic securitisations”), was published in the Official Journal of the European Union. For a synthetic securitisation to be considered STS, it must fulfil the STS requirements set out in Articles 26b to 26e of the amended Regulation 2021/557.
For synthetic securitisations, until the date of the application of the regulatory technical standards specifying the content and format of the STS notification, originators may make the necessary information available to ESMA in writing. With the view of ensuring consistency across all of the STS notifications, ESMA makes available interim STS synthetic notification templates to be used on a voluntary and temporary basis by the originators, which have been updated following the publication on 12 October 2021 of the Final report on the STS notification for synthetic Securitisations.
Information on how interim STS synthetic notification templates should be submitted to ESMA can be found in the guide for the STS notification of synthetic securitisations.
The originator, sponsor or SSPE of a securitisation seeking STS status for traditional and synthetic securitisations may use the service of a third party authorised under Article 28 of the Regulation (EU) 2017/2402, as amended by Regulation (EU) 2021/557 (SECR) to check whether a securitisation complies with the relevant requirements. However, the use of such a service shall not, under any circumstances, affect the liability of the originator, sponsor or SSPE in respect of their legal obligations under SECR. A third-party verifying STS compliance must be authorised by a national competent authority. The list of national competent authorities that authorise and supervise third-party verifiers is available in the section entitled “LIST OF COMPETENT AUTHORITIES” below
On 29 May 2019, the Commission Delegated Regulation (EU) 2019/885 of 5 February 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying information to be provided to a competent authority in an application for authorisation of a third party assessing STS compliance (hereinafter: “the TPV RTS”) was published in the Official Journal of the European Union. The TPV RTS is based on a draft submitted to the European Commission by ESMA on 16 July 2018.
On 3 September 2020, the following three technical standards relating to the registration and operational standards of securitisation repositories were published in the Official Journal of the European Union:
· Commission delegated regulation supplementing Regulation (EU) 2017/2402 with regard to regulatory technical standards on securitisation repository operational standards for data collection, aggregation, comparison, access and verification of completeness and consistency (hereinafter: the RTS on operational standards);
· Commission implementing regulation laying down implementing technical standards with regard to the format of applications for registration as a securitisation repository or for extension of a registration of a trade repository pursuant to Regulation (EU) 2017/2402 (hereinafter: the ITS on registration); and
· Commission delegated regulation supplementing Regulation (EU) 2017/2402 with regard to regulatory technical standards specifying the details of the application for registration of a securitisation repository and the details of the simplified application for an extension of registration of a trade repository (hereinafter: the RTS on registration).
The technical standards entered into force on 23 September 2020. As of that date, ESMA will begin receiving and assessing applications for registration as a securitisation repository. Parties interested in understanding the application process are invited to consult ESMA’s guidance on registering securitisation repositories and regularly consult the dedicated page on ESMA’s website.
GUIDELINES ON DATA COMPLETENESS AND CONSISTENCY THRESHOLDS
On 10 July 2020, following a public consultation, 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 securitisation repositories (SRs) on the accepted levels of ‘No-Data’ options contained in the data submitted by securitisation parties to SRs. The final report provides an overview of the feedback received during the open public consultation as well as ESMA’s response to the feedback, together with the final version of the Guidelines.
GUIDELINES ON PORTABILITY OF INFORMATION BETWEEN SECURITISATION REPOSITORIES
On 5 October 2020, following a public consultation, 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 a securitisation repository (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. The final report provides an overview of the feedback received during the open public consultation as well as ESMA’s response to the feedback, together with the Final Guidelines.
COOPERATION ON SUPERVISION
As further explained in the new items (9 January 2019), ESMA published a Final Report containing technical standards relating to how CAs 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. ESMA’s draft technical standards set out the general cooperation obligations, the information to be exchanged and the common notifications procedures in the event of infringements of the Securitisation Regulation.
LIST OF COMPETENT AUTHORITIES
The list of the competent authorities under the Securitisation Regulation is available here.
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 where necessary.
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 to be able to closely cooperate in order to carry out their duties. This committee, inter alia, analyses securitisation issues of a cross-sectoral nature.