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 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, ABCP transactions and ABCP programme.
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 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.
Elsewhere, as further explained in the news item of 13 November 2018, ESMA published a Final Report on securitisation repository technical standards (application requirements and operational standards and access conditions), as well as Final Technical Advice to the European Commission on ESMA’s fees for registering and supervising securitisation repositories.
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)
STS NOTIFICATION TEMPLATES
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.