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Securitisation

Securitisation

ESMA contributes to 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. 

BACKGROUND

The Securitisation Regulation refers to transactions 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 (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 for non-ABCP, ABCP transaction and ABCP programme established by ESMA.

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).  

ESMA CONSULTATIONS

As set out in the applicable news item (23 March 2018), ESMA sought stakeholders’ views (until 23 May 2018) on: 

- The application requirements for firms seeking to register with ESMA as securitisation repositories. This consultation paper also includes draft Guidelines on the transfer of data between securitisation repositories.

- Technical advice to the European Commission on securitisation repository fees: the type of supervisory fees, the matters for which fees are due, the amount of the fees and the manner in which they are to be paid.

The final reports on these items, as well as on the above-mentioned operational standards and access conditions for providing securitisation information to and obtaining information from securitisation repositories shall be published in the coming months.

ESMA FINAL REPORTS

As further explained in the applicable news item (16 July 2018), ESMA published Final Reports containing technical standards relating to:

- The information and format that the originators and sponsors of securitisation products must adhere to when notifying ESMA that a securitisation transaction meets the STS criteria (‘STS notification’);

- The information to be provided to the competent authorities in the application for the authorisation of a third party assessing the compliance of securitisations with the STS criteria.

In addition, as further explained in the news item (22 August 2018), ESMA published a Final Report on technical standards relating to disclosure requirements for securitisations, including a number of disclosure templates discussed below.

DISCLOSURE TEMPLATES

On 22 August 2018, ESMA published is Final Report on securitisation disclosure technical standards (RTS/ ITS). In addition, ESMA also issued 17 reporting templates, available here below.  

The versions provided below use a format that may, in ESMA’s view, assist stakeholders in their analysis of ESMA’s draft technical standards. Nevertheless, ESMA wishes to emphasize that the templates below have been provided only for convenience and that the official versions of the templates are contained in the respective annexes to the Final Report. To further facilitate stakeholders’ analyses, the templates include references to the European Central Bank (ECB) loan-level asset-backed securities 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.

The XML schema for these templates shall be made available in the coming months.

Draft reporting templates (numbering corresponds to the order in the Final Report)

Annex 2: Underlying exposures - residential real estate

Annex 3: Underlying exposures - commercial real estate

Annex 4: Underlying exposures - corporate

Annex 5: Underlying exposures - automobile

Annex 6: Underlying exposures - consumer

Annex 7: Underlying exposures - credit cards

Annex 8: Underlying exposures - leasing

Annex 9: Underlying exposures - esoteric

Annex 10: Underlying exposures - add-on non-performing exposures

Annex 11: Underlying exposures - ABCP

Annex 12: Investor report - Non-ABCP securitisation

Annex 13: Investor reports - ABCP securitisation

Annex 14: Inside information - Non-ABCP securitisation

Annex 15: Inside information - ABCP securitisation

Annex 16: Significant event - information non-ABCP securitisation

Annex 17: Significant event - information ABCP securitisation

STS NOTIFICATION TEMPLATES

Further information on how STS notification templates should be submitted to ESMA shall be provided in the coming months. 

COOPERATION ON SUPERVISION

Further information on how the cooperation between competent authorities and the ESAs should be organised as well as the list of the designated competent authorities shall be provided by ESMA in the coming months. 

QUESTIONS AND ANSWERS

Queries relating to securitisation topics should be addressed to the following email address: securitisation@esma.europa.eu