ESMA contributes to securitisation activities, principally as setting out reporting requirements, maintaining a list of STS securitisations, and supervision of securitisation repositories. The Securitisation Regulation is the main piece of EU legislation in this area.
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:
- 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 is expected to be published in the Official Journal of the European Union at the end of 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, including details of their underlying exposures, details of the securitisation structure itself, and information on the securitisation cash flows. In addition, securitisations seeking to be considered as STS must fulfil additional criteria and notify ESMA of their fulfilment of these criteria. ESMA must then 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.
As set out in the applicable press release (ESMA71-99-916, 19 December 2017), ESMA sought stakeholders’ views (until 19 March 2018) on, among other items, the contents and format of securitisation underlying exposure and investor report templates.
The links below contain the detailed reporting templates for these items, which are further contained, discussed, and referred to in the applicable consultation paper. The versions provided below use a format that may, in ESMA’s view, assist stakeholders in their analysis of ESMA’s proposals and their subsequent responses to the consultations. s.
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 consultation papers. To further facilitate stakeholders’ analyses, the templates include illustrative (non-exhaustive) examples for completing each field. In addition, some of the templates below include references to the European Central Bank (ECB) loan-level asset-backed securities template fields, where available. These references are only indicative and do not form part of ESMA’s proposed 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, as set out in the applicable news item (23 March 2018), ESMA is currently consulting on several technical proposals for securitisation repositories
DRAFT REPORTING TEMPLATES
Numbering corresponds to the order in the consultation paper: