Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL laying down common rules on securitisation and creating a European framework for simple, transparent and standardised securitisation and amending Directives 2009/65/EC, 2009/138/EC, 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012
Date: 2015-09-30
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: EU law, EU programme, banking, capital market, credit, economic stabilisation, financial institution, financial legislation, financial market, investment

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   EUROPEAN COMMISSION  Brussels, 30.9.2015  COM(2015) 472 final 2015/0226 (COD)   Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL laying down common rules on securitisation and creating a European framework for simple, transparent and standardised securitisation and amending Directives 2009/65/EC, 2009/138/EC, 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (Text with EEA relevance) {SWD(2015) 185 final} {SWD(2015) 186 final}  
 
 
EXPLANATORY MEMORANDUM 

CONTEXT OF THE PROPOSAL 

Reasons for and objectives of the proposal 

The development of a simple, transparent and standardised securitisation market constitutes a 
building  block  of  the  Capital  Markets  Union  (CMU)  and  contributes  to  the  Commission's 
priority objective to support job creation and a return to sustainable growth1. A high-quality 
framework  for  EU  securitisation  can  promote  integration  of  EU  financial  markets,  help 
diversify  funding  sources  and  unlock  capital,  making  it  easier  for  credit  institutions  and 
lenders to lend to households and businesses.  
In its Work Programme for 20152, the European Commission set out focused actions with 10 
priorities and announced as part of the priority to develop a deeper and fairer Internal Market 
with  a  strengthened  industrial  base  that  it  would  put  in  place  an  EU  framework  for  simple, 
transparent  and  standardised  securitisation.  In  the  Investment  Plan  for  Europe  presented  by 
the  Commission  on  26  November  2014,  creating  a  sustainable  market  for  securitisation, 
without repeating the mistakes made before the crisis, was identified as one of the five areas 
where short-term action was needed3. 

Securitisation  refers  to  transactions  that  enable  a  lender  or  other  originator  of  assets  – 
typically a credit institution – to refinance a set of loans or assets (e.g. mortgages, auto leases, 
consumer  loans,  credit  cards)  by  converting  them  into  securities.  The  lender  or  originator 
organises  a  portfolio  of  its  loans  into  different  risk  categories,  tailored  to  the  risk/reward 
appetite of investors. Returns to investors are generated from the cash flows of the underlying 
loans. These markets are not aimed at retail investors. 

Securitisation is an important element of well-functioning capital markets. Soundly structured 
securitisation can be an important channel for diversifying funding sources and allocating risk 
more  efficiently  within  the  EU  financial  system.  It  allows  for  a  broader  distribution  of 
financial  sector  risk  and  can  help  to  free  up  credit  institutions'  balance  sheets  to  allow  for 
further  lending  to  the  economy.  Overall,  it  can  improve  efficiencies  in  the  financial  system 
and  provide  additional  investment  opportunities.  Securitisation  can  create  a  bridge  between 
credit  institutions  and  capital  markets  with  an  indirect  benefit  for  businesses  and  citizens 
(through, for example, less expensive loans and business finance mortgages and credit cards) 
and provide relevant investors with exposure to asset classes decoupled from the credit risk of 
the originator. 

Following  the  US  subprime  crisis  in  2007-08,  public  authorities  took  a  number  of  steps  to 
make  securitisation  transactions  safer  and  simpler,  and  to  ensure  that  appropriate  incentives 
are in place to manage risk – including through higher capital requirements, due diligence and 
conduct  of  business  requirements  as  well  as  and  mandatory  risk  retention  requirements  to 
ensure that securitised products are not being created solely for the purpose of distribution to 
investors, as was prevalent in the run-up to the 2008 financial crisis (a so-called 'originate to 
distribute' model).4 These reforms were necessary to ensure financial stability. As a result of 
these reforms, all securitisations in the EU are now strictly regulated. 

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4 

See President Juncker's political guidelines, available at http://ec.europa.eu/priorities/docs/pg_en.pdf 
COM(2014) 910 final. 
COM/2014/0903 final. 
Since 2011, EU credit institutions and investment firms acting as investors have been obliged to check 
that  originating  banks  or  sponsors  of  securitisations  have  retained  an  economic  interest  in  the 

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Since  the  beginning  of  the  financial  crisis,  European  securitisation  markets  have  remained 
subdued.  This  is in  contrast to  markets in the US which  have recovered. This  is  despite the 
fact  that  unlike  the  US,  EU  securitisation  markets  withstood  the  crisis  relatively  well,  with 
realised losses on instruments originated in the EU having been very low compared to the US. 
For  example,  AAA-rated  US  securitisation  instruments  backed  by  residential  mortgages 
(RMBS) reached default rates of 16% (subprime) and 3% (prime). By contrast, default rates 
of EU RMBS never rose above 0.1%. The divergence is even bigger for BBB-rated products 
where  US RMBS' default rates  peaked at 62% and 46%  (subprime and prime, respectively) 
while EU products' default rates peaked at 0.2%. 

While securitisation markets in the US have  different characteristics to those in the EU and 
the individual national constituent markets, which each have varying degrees of fragmentation 
and efficiency, their stronger recovery is at least in part due to the role of public sponsorship. 
Almost 80% of securitisation instruments in the US benefit from public guarantees from the 
US Government Sponsored Enterprises (e.g. Fannie Mae and Freddy Mac). Banks investing 
in  these  products  consequently  also  benefit  from  lower  capital  charges  under  the  US 
regulatory regime. 

This proposal is based on what has been put in place in the EU to address the risks inherent in 
highly  complex,  opaque  and  risky  securitisation.  Focusing  on  better  differentiation  and  the 
development  of  transparent,  simple  and  standardised  securitisation  is  a  natural  next  step  to 
build a sustainable EU market for securitisation, supporting both  EU investment and proper 
risk management. Thus this legislative proposal aims to: 

(1) 

(2) 

(3) 

restart  markets  on  a  more  sustainable  basis,  so  that  simple,  transparent  and 
standardised  securitisation  can  act  as  an  effective  funding  channel  to  the 
economy; 

allow  for  efficient  and  effective  risk  transfers  to  a  broad  set  of  institutional 
investors as well as banks; 

allow  securitisation  to  function  as  an  effective  funding  mechanism  for  some 
longer term investors as well as banks; 

(4)  protect  investors  and  manage  systemic  risk  by  avoiding  a  recurrence    of  the 

flawed "originate to distribute" models. 

In terms of building a market for simple, transparent and standardised securitisation, the first 
step is to identify sound instruments based on clear eligibility criteria. The second step is to 
adjust the regulatory framework to allow a more risk-sensitive approach. 

There  is  no  intention  to  undo  what  has  been  put  in  place  in  the  EU  to  address  the  risks 
inherent in highly complex, opaque and risky securitisation. However, this proposal will help 
to  better  differentiate  simple,  transparent  and  standardised products.  This  framework  should 
provide confidence  to investors and a high standard  for the EU, to  help parties evaluate the 
risks  relating  to  securitisation  (both  within  and  across  products).  However,  a  new  EU 
framework does not replace the need for investors to conduct thorough due diligence. It also 
does  not  control  for  credit  risk  in  the  securitised  loans  –  investors  have  the  full  range  of 
investment possibilities to suit their risk-reward preferences available to them. The concept of 
'simple, transparent and standardised' (STS) refers to the process by which the securitisation is 
structured  and  not  the  underlying  credit  quality  of  the  assets  involved.  It  therefore  does  not 

transaction equivalent to at least 5% of the securitised assets. This approach was subsequently extended 
to the insurance sector and part of the asset management sectors. 

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mean  that  some  non  STS  securitisations,  for  instance  implying  less  simple  structures,  could 
not be formed of underlying exposures with appropriate credit quality features.  

In  its  conclusions  of  its  meeting  of  25  and  26  June  2015,  the  European  Council  noted  that 
securitisation  can  provide  an  effective  mechanism  to  transfer  risk  from  credit  institutions to 
non- credit institutions, thus increasing the former's capacity to lend, but also to channel non- 
credit institution financing towards the working capital of companies. The European Council 
called  on  the  Commission  to  propose  a  framework  for  STS  securitisation,  building  on  the 
numerous  ongoing  initiatives  at  European  and international  levels, as  a  matter  of  priority  at 
the latest by the end of 2015. 

In  its  July  2015  Resolution  on  CMU  of  the  European  economy,  the  European  Parliament 
noted  that  the  development  of  simple,  transparent  and  standardised  securitisation  should  be 
exploited  better  and  welcomed  the  initiative  to  establish  a  sustainable,  transparent 
securitisation market by developing a specific regulatory framework with a uniform definition 
of  high-quality  securitisation,  combined  with  effective  methods  for  monitoring,  measuring 
and managing risk. This proposed Regulation distinguishes between provisions applicable to 
STS securitisations and those applicable to STS and non-STS securitisations. 

Consistency with existing policy provisions in the policy area 

Currently, the framework for EU securitisation is determined by a large number of EU legal 
acts.  These  include  the  Capital  Requirements  Regulation  for  banks5,  the  Solvency  II 
Directive6  for  insurers,  and  the  UCITS7  and  AIFMD8  directives  for  asset  managers.  Legal 
provisions,  notably  on  information  disclosure  and  transparency,  are  also  laid  down  in  the 
Credit Rating Agency Regulation9 (CRAIII) and in the Prospectus Directive10. There are also 
elements  related  to  the  prudential  treatment  of  securitisation  in  Commission  legislative 
proposals currently under negotiation (Bank Structural Reform and Money Markets Funds). 

Provisions  are  also  included  in  delegated  acts.  The  EU  has  already  taken  steps  to  create  a 
differentiated regulatory treatment in two delegated acts covering the prudential requirements 
for  insurers  (under  the  Solvency  II  Directive11),  and  the  liquidity  of  credit  institutions 
(through  the  Liquidity  Coverage  Ratio  Regulation12).  This  approach  helps  to  better 
differentiate  simple,  transparent  and  standardised  products  from  the  more  opaque  and 

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Regulation  (EU)  No 575/2013  of  the  European  Parliament  and  of  the  Council  of  26 June  2013  on 
prudential  requirements  for  credit  institutions  and  investment  firms  and  amending  Regulation  (EU) 
No 648/2012 (OJ L 176, 27.6.2013, p. 1). 
Directive 2009/138/EC) of the European Parliament and of the Council of 25 November 2009 on the 
taking-up  and  pursuit  of  the  business  of  Insurance  and  Reinsurance  (Solvency  II)  (OJ  L  335, 
17.12.2009, p. 1). 
Directive  2009/65/EC  of  the  European  Parliament  and  of  the  Council  of  13  July  2009  on  the 
coordination  of  laws,  regulations  and  administrative  provisions  relating  to  undertakings  for  collective 
investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32). 
Directive  2011/61/EU  of  the  European  Parliament  and  of  the  Council  of  8 June  2011  on  Alternative 
Investment  Fund  Managers  and  amending  Directives  2003/41/EC  and  2009/65/EC  and  Regulations 
(EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1). 
Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 
on credit rating agencies, (OJ L 302, 9 17.11.2009, p. 1). 
Directive  2003/71/EC  of  the  European  Parliament  and  of  the  Council  of  4  November  2003  on  the 
prospectus  to  be  published  when  securities  are  offered  to  the  public  or  admitted  to  trading  and 
amending Directive 2001/34/EC (OJ L 345, 31.12.2003, p. 64–89 ). 
Commission  Delegated  Regulation  (EU)  2015/35  of  10  October  2014  supplementing  Directive 
2009/138/EC  of  the  European  Parliament  and  of  the  Council  on  the  taking-up  and  pursuit  of  the 
business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17.1.2015, p. 1). 
Commission Delegated Regulation of 10 October 2014 to supplement Regulation (EU) 575/2013 with 
regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p; 1). 

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complex.  This  can  make  some  securitisations  more  attractive  by  lowering  barriers  to  the 
securitisation  process  and  by  improving  liquidity  and  market  depth.  However,  this 
differentiation  does  not  replace  the  need  for  investors'  due  diligence.  The  adoption  of  these 
delegated acts in 2014 were preliminary steps that now need to be complemented by further 
action,  building  on  the  range  of  EU  and  international  initiatives  towards  convergence  of 
regulatory standards. 

A substantial amount of policy work has recently been devoted to securitisation by a number 
of international and European public authorities. This proposal builds on those initiatives. 

At  the  global  level,  the  Basel  Committee  on  Banking  Supervision  (BCBS)  and  the 
International  Organisation  of  Securities  Commissions  (IOSCO)  have  been  jointly  leading  a 
cross-sectorial  Task  Force  on  the  impediments  to  securitisation.  Its  main  task  has  been  to 
develop criteria to identify simple, transparent and comparable securitisation instruments. The 
group issued a set of global criteria on 23 July 201513. 

In December 2014, the BCBS published revised standards related to the capital treatment of 
banks investing in securitisation. The Committee will also consider in the coming months if 
and  how  to  incorporate  the  criteria  being  developed  by  the  BCBS-IOSCO  Task  Force  for 
simple and transparent securitisation into the securitisation capital framework. 

At  the  EU  level,  in  response  to  the  slow  recovery  of  securitisation  markets,  a  number  of 
public  authorities  have  been  looking  at  the  issue.  For  example,  the  European  Central  Bank 
(ECB)  and  the  Bank  of  England  (BoE)  launched  a  public  consultation  in  May  2014  on  the 
case for a better functioning securitisation market in the European Union. 

Following a request from the Commission in January 2014, the European Banking Authority 
(EBA) finalised on 7 July 2015 an advice to the Commission on a framework for qualifying 
securitisation. It proposes criteria for defining simple, standard and transparent securitisation 
transactions  including  a  specific  set  of  elements  for  short  term  securitisations,  asset  backed 
commercial  paper  (ABCP).  The  EBA  also  suggested  a  more  risk-sensitive  prudential 
treatment for long-term securitisation instruments, as well as for ABCP adjusting the capital 
charges proposed in the 2014 Basel securitisation framework to recognise the relative lower 
riskiness  of  STS  securitisation,  while  keeping  regulatory  capital  within  the  perimeter  of  a 
prudential surcharge. 

Finally, the Joint Committee of the European Supervisory Authorities looked at the existing 
EU  framework  with  respect  to  disclosure  requirements  and  obligations  relating  to  due 
diligence,  supervisory  reporting  and  risk  retention.  The  Joint  Committee  also  examined 
possible inconsistencies in the current framework. A detailed report was published on 12 May 
2015. 

Consistency with other Union policies 

This proposed Securitisation Regulation supports the Investment Plan for Europe put forward 
by  the  Commission  in  2014  and  to  address  the  main  obstacles  to  investment.  This  new 
approach would help address the current shortage of real economy financing in the EU.  

This  initiative  is  part  of  the  CMU  action  plan  adopted  by  the  European  Commission  today. 
The CMU is one of the Commission's priorities to ensure that the financial system supports 

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Available at http://www.bis.org/bcbs/publ/d332.htm 

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jobs  and  growth  and  helps  with  the  demographic  challenges  that  Europe  faces.  It  aims  at 
better  link  savings  with  growth  and  provide  more  options  and  better  returns  for  savers  and 
investors.  It  intends  to  offer  businesses  more  funding  choices  at  different  stages  of  their 
development and to channel investment to where it can be used most productively, increasing 
the opportunities for Europe's companies and infrastructure projects. 

The Commission published a Green Paper on Building the CMU consulting from 18 February 
to 13 May 2015. The feedback of the majority of respondents confirmed the areas identified 
in the Green Paper for boosting Europe’s capital markets.14 Developing an EU framework to 
promote simple and transparent securitisation was also endorsed by stakeholders and detailed 
views were put forward as part of a separate consultation. 

Aside  from  the  Investment  Plan  for  Europe  and  financial  regulatory  initiatives,  several  EU 
institutions  and  bodies  have  taken  initiatives  to  restart  securitisation  markets  and  increase 
confidence from a market functioning perspective. The Commission, in association with the 
European  Investment  Bank  and  the  European  Investment  Fund,  is  working  to  help  finance 
SMEs, for example under the COSME programme and the joint Commission-EIB initiatives 
through the use of securitisation vehicles. 

In  the  second  half  of  2014,  the  ECB  launched  an  Asset-Backed  Securities  Purchase 
Programme (ABSPP) that aims to further enhance the transmission of monetary policy. Taken 
together  with  other  monetary  measures  (Targeted  Longer-Term  Refinancing  Operations 
(TLTRO),  Covered  Bond  Purchasing  Programme  (CBPP),  the  Public  Sector  Purchase 
Programme  (PSPP)  intends  to  facilitate  credit  provision  to  the  euro  area  economy.  The 
operational details of the programme, adopted on 2 October 2014, set out what ABS the ECB 
can  buy. The criteria mainly  reflect the ECB's  existing collateral framework for  refinancing 
operations. They are broadly consistent with the current criteria of the Commission delegated 
acts, and with this proposal. 

2. 

LEGAL BASIS, SUBSIDIARITY AND PROPORTIONALITY 

Legal basis 

This proposal is based on Article 114 of the Treaty on the Functioning of the European Union 
(TFEU) which is the legal basis for measures for the approximation of provisions laid down 
by  law,  regulation  or  administrative  action  in  Member  States  which  have  their  object  the 
establishment and functioning of the internal market. 

This  legal  basis  has  also  been  used  by  the  EU  legislator  for  the  adoption  of  the  Capital 
Requirements Regulation (CRR) (Regulation (EU) No 575/2013), the Credit Rating Agencies 
Regulation (CRAIII) (Regulation (EU) 1060/2009), and Regulation (EU) 648/2012 (on OTC 
derivatives, central counterparties and trade repositories), the provisions of which are included 
in or amended by this Regulation. 

This  proposal  also  amends  certain  provisions  of  the  Solvency  II  Directive  and  repeals 
provisions of the UCITS and the AIFM Directives. These Directives are based on Article 53 
in combination with Article 62 of the Treaty. Although the legal basis of these provisions is 
not, as for this proposal, Article 114 of the Treaty, if the provisions at stake would have been 
adopted separate from these Directive, their legal basis would have been Article 114 TFEU. 
Their main object is the etablishment and functioning of the internal market, in particular by 

14 

See [link to feedback statement to be inserted]. 

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ensuring  a  level  playing  field  in  the  internal  market  for  investors  and  issuers  dealing  with 
securitisation. 

Subsidiarity (for non-exclusive competence) 

The objective of this proposal is to restart a sustainable securitisation market that will improve 
the financing of the EU economy, while ensuring financial stability and investor protection. 
To do this the market the proposal aims to provide a regulatory platform upon which investor 
confidence can be built, to create more consistency and standardisation in the market and to 
put in place a more risk-sensitive regulatory framework (via amendment of the CRR and the 
Solvency II delegated act). 

Securitisation  products  are  part  of  EU  financial  markets  that  are  open  and  integrated. 
Securitisation  links  financial  institutions  from  different  Member  States  and  non-Member 
States: often banks originate the loans that are securitised, while financial institutions such as 
insurers  and  investment  funds  invest  in  these  products  and  they  do  so  across  European 
borders, but also globally. The securitisation market is therefore international in nature. 

Member  States  cannot  by  themselves  take  action  sufficient  to  restart  securitisation  markets. 
The EU has advocated for standards at international level to identify simple, transparent and 
standardised (STS) securitisation. Such standards will help investors to identify categories of 
securitisations whose underlying risks can more easily and transparently be analysed. 

Implementation  of  these  international  standards  by  Member  States  could  lead  to  divergent 
approaches,  creating  a  de  facto  barrier  for  cross-border  investors  and  undermine  investor 
confidence  in  the  STS  standard.  Moreover,  a  more  risk-sensitive  prudential  framework  for 
STS  securitisation  requires  the  EU  to  define  what  STS  securitisation  is,  since  otherwise  the 
more risk sensitive regulatory treatment for banks and insurance companies could be available 
for  different  types  of  securitisations  in  different  Member  States.  This  would  lead  to  an  un-
level  playing  field  and  to  regulatory  arbitrage.  As  regards  the  lack  of  consistency  and 
standardisation  EU  law  has  already  harmonised  a  number  of  elements  on  securitisation,  in 
particular  definitions,  rules  on  disclosure,  due  diligence,  risk  retention  and  prudential 
treatment  for  regulated  entities  investing  in  these  products.  Those  provisions  have  been 
developed  in  the  framework  of  different  legal  acts  (CRR,  Solvency  II,  UCITS,  CRA 
Regulation, and AIFMD) which has led to certain discrepancies in the requirements that apply 
to  different  investors.  Increasing  their  consistency  and  further  standardisation  of  these 
provisions can only be achieved at Union level. 

The action sends  a clear and consistent signal throughout the EU that certain securitisations 
performed  well  even  during  the  financial  crisis,  that  they  can  be  useful  investments  for 
different types of professional investors for which regulatory barriers (lack of an appropriate 
prudential  treatment,  inconsistent  treatment  across  financial  sectors)  should  be  removed. 
Action  at  national  level  cannot  effectively  create  a  more  risk-sensitive  treatment  for 
securitisations,  since  the  prudential  treatment  is  already  laid  down  in  EU  law,  nor  can  it 
ensure  consistency  and  standardisation  of  those  provisions  that  are  currently  covered  by 
different EU legal acts such as those regarding disclosure, due diligence and risk retention. 

Proportionality 

The policy options chosen are the introduction of criteria for STS securitisation that apply to 
long  and  short  term  (including  ABCP)  securitisation.  The  responsibility  for  ensuring 
compliance with these criteria lies primarily with originators and sponsors who should ensure 
that an STS securitisation meets the STS criteria notified to ESMA. Investors should perform 

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appropriate due diligence before investing in STS securitisations, placing appropriate reliance 
on  the  STS notification and  on  the  information  disclosed  by  the  originator,  sponsor and  the 
Securitisation  Special  Purpose  Entity  (SSPE).  The  approach  is  reinforced  by  supervisory 
oversight,  cross  border  supervisory  coordination  and  a  sanctioning  mechanism.  The  EU 
framework will provide rules on transparency, due diligence and risk retention rules. 

At  the  same  time,  market  participants  are  not  obliged  to  issue  and  invest  in  STS 
securitisations:  originators  can  still  create  non-STS  securitisations  or  securitisations  that  are 
more  simple,  transparent  and  standardised then the  STS  criteria  require.  The  drafting  of  the 
STS criteria has sought to align them with the existing criteria in the Liquidity Coverage Ratio 
(LCR) and the Solvency II delegated acts15 and that of the BCBS/IOSCO and EBA. 

As regards compliance with the STS requirements the most suitable mechanism identified is 
to  ensure  responsibility  rests  with  originators  and  investors,  kept  in  check  by  supervisory 
oversight.  The  latter  are  able  to  monitor  market  developments  and  check  that  a  transaction 
fulfils  all  STS  requirements  and  impose  sanctions,  where  needed.  On  the  one  hand  the 
financial crisis has shown that in the past investors have relied too much on third parties, such 
as  credit  rating  agencies.  This  overreliance  on  third  parties  weakened  due  diligence  by 
investors.  This  was  also  partially  the  result  of  regulatory  reference  to  third  parties 
(‘hardwiring’), which should therefore be avoided. In this proposal, although third parties can 
on  a  voluntary  basis  still  play  an  important  role,  the  onus  of  due  diligence  remains  on 
originators and investors. On the other hand, an ex-ante regulatory involvement of supervisors 
stating  that  a  securitisation  meets  the  STS  requirements  would  shift  the  responsibility  to 
public  authorities  leading  to  moral  hazard  risks,  whereas  originators,  sponsors  and  SSPEs 
should take the responsibility. 

Finally,  the  EU  securitisation  framework  is  drafted  where  relevant  in  line  with  the  existing 
definitions and provisions in Union law on disclosure, due diligence and risk retention. This 
will  ensure  that  the  market  can  continue  to  function  on  the  basis  of  the  existing  legal 
framework where that framework is not amended, so to not unnecessarily increase costs and 
create  regulatory  disruption.  It  will  also  continue  to  ensure  investor  protection,  financial 
stability,  while  contributing  to  the  maximum  extent  possible  to  the  financing  of  the  EU 
economy. Where necessary for the purpose of creating a harmonised EU framework changes 
have been made. 

The harmonisation of the existing legal framework at EU level cannot by itself standardise all 
processes  and  practises  in  securitisation  markets.  For  that  reason  the  proposal  calls  upon 
market participants to work on further standardisation of market practices. For example, the 
public  consultation  revealed  that  further  standardisation  of  documentation  of  securitisations 
by  market  participants  themselves,  as  for  instance  done  by  the  Dutch  Securitisation 
Association  (DSA),  is  promising.  This  approach  could  be  extended  to  other  Member  States 
and asset classes in order to further standardise securitisation practices and thus decrease costs 
for all market participants as well as facilitate investments in securitisations. The Commission 
calls  on  market  participants  and  their  professional  associations  to  start  work  on  further 
standardisation and it will monitor and provide assistance where necessary. 

In the Impact assessment proportionality is further discussed in particular in section 4.4. 

15 

See note 16 and 17 

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Choice of the instrument 

This  proposal  aims  at  creating  a  sustainable  market  for  STS  securitisation.  To  this  end  the 
proposal  stipulates  the  criteria  to  be  met  by  securitisations  and  provides  the  necessary 
supervisory framework and brings together the existing provisions in EU law on securitisation 
related to risk retention, disclosure and due diligence. 

The STS criteria should be uniform across the EU. Comparable criteria with a more limited 
scope  are  currently  in  place  in  two  delegated  regulations  adopted  by  the  Commission  (the 
LCR  and  Solvency  II  delegated  acts).  In  addition,  the  substantial  rules  on  disclosure,  risk 
retention  and  due  diligence  are  laid  down  in  a  number  of  different  EU  regulations  (CRR, 
Solvency  II  delegated  act,  the  CRA  delegated  Regulation  and  the  AIFM  delegated 
Regulation). 

Article  114(1)  TFEU  provides  the  legal  basis  for  a  Regulation  creating  uniform  provisions 
aimed at improving the functioning of the internal market. The criteria for STS securitisation 
and  the  harmonisation  of  the  existing  provisions  in  EU  law  on  securitisation  related  to  risk 
retention, disclosure and due diligence  will underpin the correct and safe functioning of the 
internal  market.  A  directive  would  not  lead  to  the  same  results,  as  implementation  of  a 
Directive might lead to divergent measures being adopted at national level, which could lead 
to distortion of competition and regulatory arbitrage. Moreover, the majority of EU provisions 
already in place in this area have been adopted in the form of Regulations. 

The creation of this legal framework requires the adoption of a number of legal acts. First, a 
Securitisation  Regulation  that  creates  uniform  definitions  and  rules  across  financial  sectors, 
harmonising  rules  on  risk  retention,  due  diligence  and  disclosure.  The  same  regulation 
stipulates the criteria for STS securitisation for all financial sectors, eligible asset classes and 
transaction  structures  as  well  as  relevant  market  participants  across  sectors.  This  regulation 
should also repeal provisions in sectoral legislation that will become superfluous. Secondly, 
legal acts for a more risk-sensitive prudential treatment of securitisation for credit institutions 
are  also  proposed.  For  credit  institutions  the  current  prudential  framework  is  laid  down  in 
CRR and for insurers in the Solvency II delegated act. A proposal for amending CRR should 
thus be adopted, while the Solvency II delegated act should also be amended once the legal 
framework for securitisation is adopted. 

As regards the timing of these instruments, the different legal acts constitute one interlinked 
package, since for STS securitisation there will be a specific tailor-made prudential treatment. 
It is thus important that the Commission produces a comprehensive package that contains all 
relevant elements.  

In  order  to  ensure  that  the  insurance  regulatory  framework  for  securitisation  is  compatible 
with the contents of this Regulation, a number of amendments to the Commission Delegated 
Regulation  (EU)  2015/35  (Solvency  II  delegated  act)  are  necessary.  Firstly,  its  definitions 
regarding  securitisation  would  have  to  be  aligned  with  those  in  the  present  proposal. 
Secondly,  due  to  the  direct  applicability  of  the  risk  retention  and  the  due  diligence 
requirements  in  the  present  proposal  for  a  Regulation,  the  similar  requirements  from  the 
Solvency  II  Delegated  Regulation  can  be  repealed  after  entry  into  force  of  this  proposal. 
Finally,  considering  the  broad  support  in  the  public  consultation  on  the  CMU  Green  Paper 
that the non-senior tranches of STS securitisation should also benefit from an adapted capital 
charge under Solvency II, with improved risk-sensitivity, the Commission will develop a new 
calibration.  The  methodology  would  follow  a  look-through  approach  based  on  the  capital 
charge for the underlying exposures, increased by a non-neutrality factor to capture the model 

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risk of the securitisation. The capital charges of the underlying exposures would be based on 
the current calibrations in the Commission delegated act (EU) 2015/35 and the non-neutrality 
factor would be aligned with the average factors contained in advice given by EBA on 7 July 
201516. The methodology would result in a significant reduction of the capital charge for non-
senior  tranches  of  STS  securitisation.  Technical  improvements  will  also  be  made  to  the 
methodology  of calculation of the calibrations for the senior  tranches. These  changes to  the 
calibrations  will  take  the  form  of  an  amendment  to  the  Commission  delegated  act  (EU) 
2015/35. 

The  Commission  is  empowered  to  already  adopt  at  this  moment  these  changes  to  the 
Solvency II Delegated Regulation. However, since the new calibrations will have to refer to 
this  proposal  and  in  particular  the  STS  requirements,  the  necessary  changes  can  only  be 
adopted  after  adoption  of  this  proposal.  The  Commission  intends  to  ensure  that  the  new 
calibrations in the insurance and banking sectors will apply as from the same data. 

Finally, the current proposal will be followed at a later stage by a proposal to amend the LCR 
delegated act in order to align it with this Regulation. In particular the eligibility criteria for 
securitisations as Level 2B assets in Article 13 of that delegated act will be amended to make 
it  consistent  with  the  general  STS  criteria  as  laid  down  in  this  Regulation.  Amendments  of 
these  delegated  acts  are  not  proposed  at  this  stage.  They  follow  a  different  procedure  and 
depend on the outcome of the legislative negotiations on this package. 

3. 

RESULTS  OF  STAKEHOLDER  CONSULTATIONS  AND 
ASSESSMENTS 

IMPACT 

Stakeholder consultations 

A  public  consultation  on  a  possible  EU  framework  for  simple,  transparent  and  standardised 
securitisation  was  carried  out  between  18  February  and  13  May  2015.  120  replies  were 
received17. On the whole, the consultation indicated that the priority should be to develop an 
EU-wide framework for simple, transparent and standardised securitisation (see summary of 
replies in Annex 10 of the Impact Assessment referred to below). 

Respondents  generally  agreed  that  the  much  stronger  performance  of  EU  securitisations 
during the crisis compared to US ones needs to be recognised and that the current regulatory 
framework needs modification. This would help the recovery of the European  securitisation 
market in a sustainable way providing an additional channel of financing for the EU economy 
while ensuring financial stability. 

The  input  from  stakeholders  was  taken  into  account.  A  number  of  market  participants 
expressed a preference for the establishment of private bodies to act as "certifiers" or "control 
bodies" for STS securitisations. They argued that the mandatory recourse to external parties 
could  contribute  to  overcome  the  current  stigma  attached  to  securitisations  and  to  build 
investors' confidence in STS securitisations. The optional involvement of third parties with an 
expertise in STS securitisation in helping to check compliance of a securitisation with the STS 
requirements may help both investors and originators in forming their opinion. However, as 
underlined by the majority of supervisory authorities in the public consultation, it is essential 
that investors continue to perform their own assessment as they are eventually responsible for 
their investment decisions. The Commission also believes that the more beneficial prudential 

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Available 
14+Opinion+on+qualifying+securitisation.pdf 
Available at: http://ec.europa.eu/finance/consultations/2015/securitisation/index_en.htm 

www.eba.europa.eu/documents/10180/983359/EBA-Op-2015-

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treatment in banking and insurance will give investors sufficient incentives to invest in STS 
securitisations. 

Collection and use of expertise 

The Commission has gained valuable insights through its participation in the discussions and 
exchange of views informing the BCBS-IOSCO joint task force on securitisation markets and 
through  its  involvement  in  the  BCBS  work  on  the  review  of  the  capital  treatment.  The 
Commission has also followed the work relating to key aspects of securitisation carried out by 
the  Joint  Committee  of  the  European  Supervisory  Authorities  (ESAs)  as  well  as  by  its 
members separately (EBA, ESMA, EIOPA). Three public consultations, carried out in 2014 
by  ECB-BoE,  BCBS-IOSCO  and  EBA  respectively,  have  gathered  valuable  information  on 
stakeholders' views on securitisation markets. In its own public consultation, the Commission 
has built on these, focusing on gathering further details on key issues. The Commission has 
met with public authorities, central banks, private sector representatives and the IMF. On the 
whole, 
the 
Commission’s own consultation, and provide some additional feedback on the relative merits 
of some of the proposed policy options. 

level  consultations  confirm 

the  views  expressed 

international 

these 

in 

Impact assessment 

For the preparation of this proposal an Impact Assessment was prepared and discussed 
with  an  Interservice  Steering  Group.  The  Impact  Assessment  report  was 
submitted  to  the  Regulatory  Scrutiny  Board  on  17  June  2015.  The  board 
meeting  took  place  on  15  July  2015.  The  Board  gave  a  positive  opinion  and 
called for changes and additional input in the following areas: current state of 
the securitisation market in the different Member States and likely effects of the 
initiative  at  this  level;  description  of  the  link  between  identified  problems  and 
objectives of the initiative as well as its targets that can be realistically achieved; 
and  overview  of  pros  and  cons  in  options'  impact  analysis.  These  issues  have 
been addressed and incorporated in the final version which is available on the 
Commission website.Regulatory fitness and simplification 

This  proposal  simplifies  and  harmonises  the  existing  legal  provisions  applying  to 
securitisations.  It  is  not  easy  to  provide  reliable  estimates  on  the  additional  financing  an 
increase  in  securitisation  markets  could  provide  since  it  depends  on  a  multitude  of  factors 
such  as  macroeconomic  conditions  and  monetary  policy,  aggregated  demand  for  credit,  or 
developments in alternative funding channels. All of these are likely to change through time, 
affecting the final outcome. As an example, if the securitisation market would return to pre-
crisis average issuance levels and new issuance would be used by credit institutions to provide 
new credit, these would be able to provide an additional amount of credit to the private sector 
ranging between €100-150bn. This would represent a 1.6% increase in credit to EU firms and 
households.  

These financial instruments are not appropriate for retail investors due to the level of risks and 
inherent  complexity.  The  policy  options  taken  in  this  proposal  should  have  several  positive 
effects on SME financing (see annex 6 of the Impact Assessment report). First of all, it should 
help  SME  financing  through  two  specific  channels:  SME  lending,  through  SME  ABS,  and 
short-term  lending,  through  simple  and  transparent  ABCP  conduits.  Secondly,  the  initiative 
should  provide  banks  with  a  tool  for  transferring  risk  off  their  balance  sheets.  This  in  turn 
means  that  banks  should  free  up  more  capital  that  can  then  be  used  to  grant  new  credit 
including SMEs. Finally, by introducing a single and consistent EU securitisation framework 
and  encouraging  market  participants  to  develop  further  standardisation, the  initiative  should 

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reduce operational costs for securitisations. Since these costs are higher than average for the 
securitisation of SME loans, this decrease should have an especially beneficial effect on the 
cost of credit to SMEs. 

Fundamental rights 

Only the protection of personal data (Article 8), the freedom to conduct a business (Art. 16) 
and  consumer  protection  (Art.  38)  of  the  EU  Charter  of  Fundamental  Rights  are  to  some 
extent relevant for this proposal. Limitations on these rights and freedoms are allowed under 
Article 52 of the Charter.  

For  this  proposal,  the  general  interest  objective  which  justifies  certain  limitations  of 
fundamental  rights  is  the  objective  of  ensuring  market  integrity  and  financial  stability.  The 
freedom  to  conduct  a  business  may  be  impacted  by  the  necessity  to  follow  certain  risk 
retention  and  due  diligence  requirements  in  order  to  ensure  an  alignment  of  interest  in  the 
investment  chain  and  to  ensure  that  potential  investors  act  in  a  prudent  manner.  As  regards 
protection of personal data the disclosure of certain loan level information may be necessary 
to ensure that investors are able to conduct their due diligence. It is however noted that these 
provisions  are  currently  already  in  place  in  EU  law.  This  proposal  should  not  impact  on 
consumers,  since securitisations are not  intended for consumers. However, for all classes of 
investors  STS  securitisation  would  enable  better  analysis  of  the  risks  involved  which 
contributes to investor protection. 

4. 

BUDGETARY IMPLICATIONS 

This  legislative  proposal  would  have  limited  consequences  on  the  EU  budget.  It  will  imply 
further policy development within the Commission and in the three ESAs. In addition specific 
coordination tasks with be assigned to  the ESAs in  ensuring a consistent  implementation  of 
the STS framework in the EU. A financial fiche is provided as an annex hereto. 

5. 

• 

OTHER ELEMENTS 

Implementation plans and monitoring, evaluation and reporting arrangements 

Since the instrument proposed is a Regulation that is based to a significant extent on existing 
EU law, there is no need to prepare an implementation plan. 

The  Regulation  includes  monitoring  and  evaluation  by  the  ESAs  and  by  the  Commission. 
First,  EBA,  in  close  cooperation  with  ESMA  and  EIOPA  should  publish  a  report  on  the 
implementation of the STS requirements, on the actions that supervisors have undertaken and 
on  the  material  risks  and  new  vulnerabilities  which  may  have  materialised  during 
implementation  and  finally  on  the  initiatives  taken  by  market  participants  to  foster 
standardisation in the EU securitisation market. In addition ESMA, in close cooperation with 
the  two  other  ESAs,  shall  three  years  after  the  entry  into  force  of  this  Regulation  publish  a 
report on the functioning of the transparency requirements and the level of transparency of the 
securitisation market in the EU. 

Secondly, the Commission will review and report on the functioning of this Regulation four 
years after its entry into force and shall submit that report to the European Parliament and the 
Council together with a legislative proposal, where appropriate. 

The Regulation will thus be subject to a complete evaluation in order to assess, among other 
things, how effective and efficient it has been in terms of achieving its objectives. 

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The  degree  of  achievement  of  the  first  objective  (Differentiate  simple,  transparent  and 
standardised securitisation products from other types of securitisation) will be measured as a 
function of STS products prices and levels of issuance. An increase in both, relative to non-
STS products, will be a sign of differentiation and thus of achievement of the first objective. 

The  second  objective  (Foster  the  spread  of  standardisation  of  processes  and  practises  in 
securitisation  markets,  tackle  regulatory  inconsistencies)  will  be  measured  against  three 
criteria: 1) STS products' price and issuance growth (e.g. since a decline in operational costs 
should translate into higher levels of issuance), 2) The degree of standardisation of marketing 
and reporting material and finally 3) feedback from market practitioners on operational costs' 
evolution (hard data on this may not be publicly available). 

Detailed explanation of the specific provisions of the proposal 

This  proposal  contains  two  main  parts.  The  first  part  is  devoted  to  rules  that  apply  to  all 
securitisation, whilst the second part focuses only on STS Securitisation. 

The first part provides a common core of rules that apply to all securitisations, including STS 
securitisation. Whereas existing EU law provides in the credit institutions, asset management 
and insurance sector already for certain rules, these are scattered amongst different legal acts 
and  they  are  not  always  consistent. The  first  part  of  the  proposal  therefore  puts  the  rules  in 
one  legal  act,  thus  ensuring  consistency  and  convergence  across  sectors,  while  streamlining 
and  simplifying  the  existing  rules.  As  a  consequence  the  sector-specific  provisions  on  the 
same topic would be repealed. 

The  second  part  contains  the  criteria  that  define  STS  securitisation.  In  the  LCR  Regulation 
and the Solvency II Regulation the Commission has already laid down, for specific purposes, 
criteria similar to those in this proposal, but the Securitisation Regulation will create a general 
and cross-sectoral regime. The revision of the CRR Regulation and the future amendment of 
the  Solvency  II  delegated  act  will  provide  for a  more  risk-sensitive  prudential treatment  for 
banks  and  insurers  investing  in  STS  securitisation.  The  LCR  delegated  act  will  also  be 
amended  to  refer  to  this  legislative  act  and  in  particular  to  the  set  of  STS  criteria.  Specific 
criteria  related  to  liquidity  features  of  securitisation  will  be  specified  in  the  amended 
delegated act. 

Definitions (Article 2) 

The definitions in the proposal are to a large extent taken over from CRR and ensure that the 
same definitions apply across financial sectors, including those not covered by the CRR. 

Due diligence rules for investors (Article 3) 

Since securitisations are not always the simplest and most transparent financial products and 
can involve higher risks than other financial instruments, institutional investors are subject to 
due diligence rules. 

The  existing  rules  are  laid  down  in  the  CRR,  the  Solvency  II  delegated  act  and  the 
Commission  Delegated  Regulation  231/2013  (the  AIFM  Regulation).  These  rules  will  be 
repealed and replaced by a single Article that provides for all types of regulated institutional 
investors engaging in business in or through the EU identical and streamlined due diligence 
provisions.  For  UCITS  no  due  diligence  rules  apply  so  far:  the  Commission  is  however 
empowered to adopt such rules (Article 50a of the UCITS Directive). It has not done so yet, 
due  to  the  intention  to  cover  UCITS  in  this  initiative.  For  that  reason,  the  proposal  creates 

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requirements  for  UCITS.  In  the  proposal  IORP's  are  also  covered  by  the  due  diligence 
requirements. These have not been subject to these rules until now, but to do so it would fit 
well  with  the  objective  of  improving  risk  management  in  the  IORP2  proposal  and  the 
objective to create a harmonised framework for institutional investors. 

For STS securitisations, investors should also perform a due diligence on the compliance with 
STS  requirements.  As  the  STS  requirements  are  not  an  indicator  of  the  risk  features  of  the 
securitisation, investors remain responsible for assessing risks inherent to their exposure to the 
securitisation position and whether the securitisation is suitable and appropriate for the needs 
of the investor. 

Risk retention (Article 4) 

Risk retention by originators, sponsors or original lenders of securitisations ensures alignment 
of interest between such actors and investors. 

Existing  sector-specific  regulations  (CRR,  Solvency  II  Directive  and  AIFM  Regulation) 
already  establish  risk  retention  requirements,  but  use  the  so-called  "indirect  approach":  the 
originators, sponsors or original lenders are not directly subject to such requirements, but the 
investor should check whether the originator, sponsor or original lender has retained risk. This 
however  places  a  burden  on  the  investor,  which  has  no  direct  access  to  the  information 
necessary to perform such check. 

The  current  proposal  thus  imposes  a  direct  risk  retention  requirement  and  a  reporting 
obligation  on  the  originator,  sponsor  or  the  original  lenders.  Investors  will  thus  in  a  simple 
manner be able to check whether these entities have retained risk. For securitisations notably 
in situations where the originator, sponsor nor original lender is not established in the EU the 
indirect approach will continue to fully apply. This existing approach ensures a level-playing 
field at global level. In accordance with existing EU law, certain exceptions should be made 
for cases when securitised exposures are fully, unconditionally and irrevocably guaranteed by 
in particular public authorities. In case support from public resources provided in the form of 
guarantees or by other means, any provisions in this Regulation are without prejudice to State 
aid rules. 

This proposal also takes into account the EBA recommendation to close a potential loophole 
in  the  implementation  of  the  risk  retention  regime  whereby  the  requirements  could  be 
circumvented  by  an  extensive  interpretation  of  the  originator  definition.  To  this  aim,  it  is 
specified that for the purposes of Article 4 an entity established as a dedicated shelf for the 
sole  purpose  of  securitising  exposures  and  without  a  broad  business  purpose  cannot  be 
considered  as  an  originator.  For  instance,  the  entity  retaining  the  economic  interest  has  to 
have  the  capacity  to  meet  a  payment  obligation  from  resources  not  related to  the exposures 
being securitised. 

Transparency rules (Article 5) 

Transparency  requirements  on  securitisations  and  underlying  exposures  allows  investors  to 
understand,  assess  and  compare  securitisation  transactions  and  not  to  rely  solely  on  third 
parties, such as credit rating agencies. They allow investors to act as prudent investors and do 
their due diligence. 

This proposal ensures that investors will have all the relevant information on securitisations at 
their  disposal.  It  covers  all  types  of  securitisations  and  applies  across  sectors.  To  facilitate 
both the use of the information by investors and the disclosure by originators, sponsors and 

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SSPEs the proposal assumes the existing acquis, including standardised disclosure templates. 
As the latter do not currently cover all securitisation segments, the development of additional 
templates  is  necessary  (e.g.  for  ABCP).  In  doing  so,  there  is  a  need  to  find  a  right  balance 
between the level of details and the proportionality of the disclosure requirements. 

Originators, sponsors and SSPE's should  make freely available the information  to  investors, 
via  standardised  templates,  on  a  website  that  meets  certain  criteria  such  as  control  of  data 
quality and business continuity. In practice this could allow reporting of this information to a 
data  repository  such  as  the  "European  Datawarehouse",  where  much  of  this  type  of 
information is already collected for eligibility purposes in Eurosystem refinancing operations. 
Reporting  of  the  information  will  be  done  via  standardised  templates,  which  could  also  be 
used for reporting under this Regulation and, pending completion thereof, to the SFI website, 
under Article 8b of the CRAIII Regulation. In any case, competent authorities will have the 
responsibility to ensure that information is properly provided to investors and that the website 
responds to the required characteristics. ESMA, in close cooperation with EBA and EIOPA, 
should specify in a draft regulatory technical standards specifying the requirements to be met 
by the website on which the information shall be made available to holders of securitisation 
positions.  In  particular,  these  requirements  will  cover  the  governance  structure  including 
independence of the website, the modalities to access information, the internal procedures to 
ensure  the  well-functioning,  operational  robustness  and  integrity  of  the  website  and  the 
procedures in place in order to ensure quality and accuracy of the information. 

STS securitisation (Article 6 to 13) 

Articles  6  to  13  contain  the  requirements  for  Simple,  Transparent  and  Standardised 
("STS") Securitisation. 

The "STS standard" does not mean that the securitisation concerned is free of risks, but means 
that the product respects a number of criteria and that a prudent and diligent investor will be 
able to analyse the risk involved. 

There  will  be  two  types  of  STS  requirements:  one  for  long-term  securitisations  and  one  for 
short-term  securitisations  (ABCP).  To  a  large  extent  the  requirements  are  however  similar. 
The  requirements  are  developed  on  the  basis  of  existing  requirements  in  the  Liquidity 
Coverage Ratio and Solvency II delegated acts, on the EBA advice and on the BCBS-IOSCO 
standard. The requirements will be applicable for all financial sectors. 

This proposal only allows 'true sale' securitisation to become STS. In a true sale securitisation 
the  ownership  of  the  underlying  exposures  is  transferred  or  effectively  assigned  to  a 
securitisation special purpose entity. In synthetic securitisations the underlying exposures are 
not  transferred  to  such  an  entity,  but  the  credit  risk  related  to  the  underlying  exposures  is 
transferred  by  means  of  a  guarantee  or  derivative  contract.  This  introduces  an  additional 
counterparty  credit  risk  and  potential  complexity  related  in  particular  to  the  content  of  the 
contract. Until now neither on an international level (BCBS-IOSCO), nor on a European level 
(EBA),  have  STS  criteria  been  developed  for  synthetic  securitisation.  Thus  at  this  moment 
there is insufficient clarity on which synthetic securitisations should be considered STS and 
under which conditions. The Commission will further consider this issue and follow the work 
of  international  and  European  bodies  on  this  topic.  It  will  assess  whether  some  synthetic 
securitisations  that  have  performed  well  during  the  financial  crisis  and  that  are  simple, 
transparent and standardised should be able to meet the STS requirements. Future input from 
in particular the EBA could inform the Commission in its future policy proposals. However, a 

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specific  category  of  SME  transactions  undertaken  alongside  public  authorities  or  public 
guarantee  schemes  (i.e.  ‘tranched  cover’)  has  been  singled  out  and  will  be  granted  the  STS 
prudential treatment in the CRR under specific conditions. 

STS notification and disclosure (Article 14) 

Originators,  sponsors  and  SSPE's  should  be  jointly  responsible  for  the  compliance  with  the 
STS requirements and for the notification to ESMA which will publish it on its website. This 
will  ensure  that  originators,  sponsors  and  SSPE's  take  responsibility  for  their  claim  that  the 
securitisation  is  STS  and  that  there is  transparency  on  the market.  Originators  and  sponsors 
shall  be  liable  for  any  loss  or  damage  resulting  from  incorrect  or  misleading  notifications 
under the conditions stipulated by national law. Investors will however still have to perform 
due diligence, but may place appropriate reliance on the STS notification and the information 
disclosed by the originator, sponsor and SSPE on STS compliance. To facilitate the process 
for  investors  and  originators,  sponsors  and  SSPE's,  a  template  will  be  developed  by  the 
European Supervisory Authorities for the STS assessment. 

Supervision (Article 15-22) 
To safeguard financial stability, ensure investors' confidence and promote liquidity, a proper 
and  effective  supervision  of  securitisation  markets  is  essential.  To  this  aim,  the  proposal 
requires  Member  States  to  designate  competent  authorities  in  accordance  with  existing  EU 
legal acts in the area of financial services. As is currently the case under existing provisions of 
EU  law,  for  the  supervision  of  compliance  with  the  article on  due  diligence  Member  States 
should designate the competent authority of the relevant institutional investor. This supervisor 
should have the powers that are granted to it under the relevant financial services legislation. 
For the supervision of Articles 4 to 14 of the proposal, when the parties involved are regulated 
under the EU financial services legislation, the competent authority for the relevant regulated 
entity should be designated by Member States. For instance, when the entity concerned is a 
credit institution the relevant banking supervisor should be designated by Member States, In 
case  the  credit  institution  is  a  significant  credit  institution  under  Regulation  (EU)  No 
1024/2013  the  Single  Supervisory  Mechanism  should  be  designated.  Where  the  party 
concerned  is  not  a  regulated  entity  under  EU  financial  services  legislation,  for  instance  a 
SSPE, Member States may decide which authority should be the competent authority. In this 
manner the supervisory arrangements for this proposal are as much as possible aligned with 
the  existing  arrangements.  For  entities  that  are  currently  not  regulated  by  EU  law  Member 
States must designate one or more competent authorities. 

Member  States  should  provide  the  competent  authorities  with  the  supervisory,  investigatory 
and sanctioning powers that are normally available under EU financial services legislation. 

In view of the cross-border nature of the securitisation market cooperation between competent 
authorities  and  the  ESAs  is  crucial.  Information  exchange,  cooperation  in  supervisory 
activities and investigations and coordination of decision-taking is a basic requirement. 

To ensure a consistent interpretation and common understanding of the STS requirements by 
competent  authorities,  EBA,  ESMA  and  EIOPA  should  coordinate  the  work  of  competent 
authorities across financial sectors and assess practical issues which may arise with regards to 
STS  securitisations.  They  may  in  particular  coordinate  their  work  in  the  framework  of  the 
joint-committee of the European Supervisory Authorities. A Q&A process could facilitate the 
implementation of this Regulation by market participants and competent authorities. 

In view of the impact of the STS classification on, for instance, the capital treatment of such 
products,  some  specific  rules  are  necessary.  For  instance,  two  insurers  from  two  different 

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Member States could invest in the same STS securitisation from another Member State. The 
competent authority with oversight on the first insurer could come to the conclusion that the 
securitisation instrument does not satisfy the STS requirements, while the competent authority 
with  oversight  on  the  second  insurer  might  conclude  it  does  satisfy  the  STS  requirements. 
Persistent  use  of  different  approaches  could  negatively  impact  the  credibility  of  the  STS 
approach and lead to regulatory arbitrage. 

To ensure a credible approach for STS securitisation, some specific rules have therefore been 
introduced  in  the  proposal.  Where  a  competent  authority  has  evidence  that  originators, 
sponsors  and  SSPE's  have  made  an  materially  incorrect  or  misleading  STS  notification,  it 
should  immediately  inform  ESMA,  EBA  or  EIOPA  and  the  competent  authorities  of  the 
Member States concerned to discuss its findings. Where they cannot come to an agreement, 
there should be binding mediation in accordance with the ESMA Regulation. 

Amendments to other legal acts (Article 23 to 27) 
Articles  24  to  27  amend  a  number  of  articles  of  other  legal  acts,  in  particular  the  UCITS 
Directive, the Solvency II Directive, the CRAIII Regulation, the AIFM Directive and EMIR. 
These changes are necessary to reflect the creation of a harmonised securitisation framework 
in this proposal. Therefore, a number of the provisions have to be repealed or amended. Until 
the (relevant provisions in the) delegated acts based on these Directives and Regulations are 
repealed  they  will  remain  applicable.  This  is  in  particular  the  case  for  the  provisions  of 
Commission Delegated Regulation (EU) No 625/201418, Articles 254 to 257 of the Solvency 
II  Delegated  Act,  Articles  50  to  56  of  the  AIFM  Regulation19  and  the  provisions  of 
Commission  Delegated  Regulation  (EU)  No  2015/3.20  The  Commission  will  adopt  the 
necessary  changes  to  these  delegated  acts  on  the  basis  of  the  adopted  Securitisation 
Regulation. 

The  amendments  to  EMIR  provide  that  OTC  derivative  contracts  entered  into  by  Covered 
Bond Entities and Securitisation Special Purpose Entities should not be subject to the clearing 
obligation provided that certain conditions are met. The exemption is justified by that fact that 
counterparties  to  OTC  derivative  contracts  are  secured  creditors  under  covered  bond  and 
securitisation  arrangements  and  adequate  protection  against  counterparty  credit  risk  may 
already be provided for. In such cases, an obligation to centrally clear could therefore imposes 
unnecessary duplication of risk mitigation techniques and would interfere with the structure of 
the  asset.  These  provisions  are  intended  to  allow  the  ESA's  to  provide,  for  issuers  of  STS 
securitisations, the situations and conditions justifying exclusions from the EMIR clearing and 
margining requirements. 

Third country dimension 

This  proposal  provides  essentially  for  a  system  that  is  open  to  third  country  securitisations. 
EU institutional investors can invest  in  non-EU securitisations and will have  to perform the 
same  due  diligence  as  for  EU  securitisations,  which  includes  a  check  whether  the  risk  is 

18 

19 

20 

Commission  Delegated  Regulation  (EU)  No  625/2014  of  13  March  2014  supplementing  Regulation 
(EU)  No  575/2013  of  the  European  Parliament  and  of  the  Council  by  way  of  regulatory  technical 
standards specifying the requirements for investor, sponsor, original lenders and originator institutions 
relating to exposures to transferred credit risk (OJ L 174, 13.6.2014, p. 16–25). 
Commission  Delegated  Regulation  (EU)  No 231/2013  of  19 December  2012  supplementing  Directive 
2011/61/EU  of  the  European  Parliament  and  of  the  Council  with  regard  to  exemptions,  general 
operating conditions, depositaries, leverage, transparency and supervision (OJ L 83, 22.3.2013, p. 1-95). 
Commission Delegated Regulation (EU) 2015/3 of 30 September 2014 supplementing Regulation (EC) 
No 1060/2009  of  the  European  Parliament  and  of  the  Council  with  regard  to  regulatory  technical 
standards on disclosure requirements for structured finance instruments, (OJ L 2, 6.1.2015, p. 57–119). 

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retained  and  whether  the  originator,  sponsor  and  SSPE  make  available  all  the  relevant 
information.  Moreover,  non-EU  securitisations  can  also  meet  the  STS  requirements  and  the 
originator,  sponsor  and  SSPE  may  also  submit  an  STS  notification  to  ESMA  pursuant  to 
Article 8. There is also no requirement that the underlying exposures are located in the EU. 

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2015/0226 (COD) 

Proposal for a 

REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL 

laying down common rules on securitisation and creating a European framework for 
simple, transparent and standardised securitisation and amending Directives 
2009/65/EC, 2009/138/EC, 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 
648/2012 

(Text with EEA relevance) 

THE EUROPEAN PARLIAMENT AND THE COUNCIL OF THE EUROPEAN UNION, 

Having  regard  to  the  Treaty  on  the  Functioning  of  the  European  Union,  and  in  particular 
Article 114 thereof, 

Having regard to the proposal from the European Commission, 

After transmission of the draft legislative act to the national parliaments, 
Having regard to the op inion of the European Economic and Social Committee21, 

Acting in accordance with the ordinary legislative procedure, 

Whereas: 

(1) 

(2) 

(3) 

Securitisation involves transactions that enable a lender – typically a credit institution 
– to refinance a set of loans or exposures such as loans for immovable property, auto 
leases, consumer loans or credit cards, by transforming them into tradable securities. 
The  lender  pools  and  repackages  a  portfolio  of  its  loans,  and  organises  them  into 
different  risk  categories  for  different  investors,  thus  giving  investors  access  to 
investments  in  loans  and  other  exposures  to  which  they  normally  would  not  have 
direct access. Returns to investors are generated from the cash flows of the underlying 
loans. 

In the Investment Plan for Europe presented on 26 November 2014, the Commission 
announced its intention to restart high quality securitisation markets, without repeating 
the  mistakes  made  before  the  2008  financial  crisis.  The  development  of  a  simple, 
transparent  and  standardised  securitisation  market  constitutes  a  building  block  of  the 
Capital Markets Union (CMU) and contributes to the Commission's priority objective 
to support job creation and a return to sustainable growth. 

The European Union does not intent to weaken the legislative framework implemented 
after  the  financial  crisis  to  address  the  risks  inherent  in  highly  complex,  opaque  and 
risky securitisation. It is essential to ensure that rules are adopted to better differentiate 
simple,  transparent  and  standardised  products  from  complex,  opaque  and  risky 
instruments and apply a more risk-sensitive prudential framework. 

(4) 

Securitisation is an important element of well-functioning financial markets. Soundly 
structured securitisation is an important channel for diversifying funding sources and 

21 

OJ C , , p. . 

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(5) 

(6) 

(7) 

(8) 

(9) 

(10) 

allocating  risk  more  efficiently  within  the  Union  financial  system.  It  allows  for  a 
broader distribution of financial sector risk and can help to free up originator's balance 
sheets to allow for further lending to the economy. Overall, it can improve efficiencies 
in the financial system and provide additional investment opportunities. Securitisation 
can  create  a  bridge  between  credit  institutions  and  capital  markets  with  an  indirect 
benefit  for  businesses  and  citizens  (through,  for  example,  less  expensive  loans  and 
business financing, credits for immovable property and credit cards). 

Establishing  a  more  risk-sensitive  prudential  framework  for  simple,  transparent  and 
standardised ("STS") securitisations requires that the Union clearly defines what a STS 
securitisation is, since otherwise the more risk-sensitive regulatory treatment for credit 
institutions  and  insurance  companies  would  be  available  for  different  types  of 
securitisations in different Member States. This would lead to an un-level playing field 
and to regulatory arbitrage. 

It  is  appropriate  to  provide,  in  line  with  the  existing  definitions  in  Union  sectoral 
legislation,  definitions  of  all  the  key  concepts  of  securitisation.  In  particular,  a  clear 
and encompassing definition of securitisation is needed to capture any transaction or 
scheme  whereby  the  credit  risk  associated  with  an  exposure  or  pool  of  exposures  is 
tranched.  An  exposure  that  creates  a  direct  payment  obligation  for  a  transaction  or 
scheme  used  to  finance  or  operate  physical  assets  should  not  be  considered  an 
exposure to a securitisation, even if the transaction or scheme has payment obligations 
of different seniority. 

At  both  the  international  and  European  level,  much  work  has  already  been  done  to 
identify STS securitisation and in Commission Delegated Regulations (EU) 2015/6122 
and  (EU)  2015/3523,  criteria  have  already  been  set  out  for  simple,  transparent  and 
standardised  securitisation  for  specific  purposes,  to  which  a  more  risk  sensitive 
prudential treatment is attached. 

Based on the existing criteria, on the BCBS-IOSCO criteria adopted on 23 July 2015 
for identifying simple, transparent and comparable securitisations and in particular the 
EBA  Advice  on  qualifying  securitisation  published  on  7  July  2015,  it  is  essential  to 
establish a general and cross-sectorally applicable definition of STS securitisation. 

Implementation  of  the  "STS  criteria  throughout  the  EU  should  not  lead  to  divergent 
approaches.  Those  approaches  would  create  potential  barriers  for  cross-border 
investors  by  constraining  them  to  enter  into  the  details  of  the  Member  State 
frameworks and thus undermining investor confidence in the STS criteria. 

It is essential that competent authorities work closely together to ensure a common and 
consistent understanding of the STS requirements throughout the Union and to address 
potential interpretation issues. In the light of this objective the three ESAs should, in 
the  framework  of  the  Joint  Committee  of  the  European  Supervisory  Authorities, 
coordinate  their  work  and  that  of  the  competent  authorities  to  ensure  cross-sectoral 
consistency  and  assess  practical  issues  which  may  arise  with  regards  to  STS 
securitisations. In doing so, the views of market participants should also be requested 
and taken into account to the extent possible. The outcome of these discussions should 

22 

23 

Commission  Delegated  Regulation  of  10  October  2014  to  supplement  Regulation  (EU)  No  575/2013 
with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p; 1). 
Commission  Delegated  Regulation  (EU)  2015/35  of  10  October  2014  supplementing  Directive 
2009/138/EC  of  the  European  Parliament  and  of  the  Council  on  the  taking-up  and  pursuit  of  the 
business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17.1.2015, p. 1). 

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(11) 

(12) 

be made public on the websites of the ESAs so as to help originators, sponsors, SSPEs 
and investors assess STS securitisations before issuing or investing in such positions. 
Such a coordination mechanism would be particularly important in the period leading 
to the implementation of this Regulation. 

Investments  in  or  exposures  to  securitisations  will  not  only  expose  the  investor  to 
credit  risks  of  the  underlying  loans  or  exposures,  but  the  structuring  process  of 
securitisations could also lead to other risks such as agency risks, model risk, legal and 
operational risk, counterparty risk, servicing risk, liquidity risk, concentration risk and 
risks  of  operational  nature.  Therefore,  it  is  essential  that  institutional  investors  are 
subject to proportionate due diligence requirements ensuring that they properly assess 
the risks arising from all types of securitisations, to the benefit of end investors. Due 
diligence  can  thus  also  enhance  confidence  in  the  market  and  between  individual 
originators,  sponsors  and  investors.  It  is  necessary  that  investors  also  exercise 
appropriate  due  diligence  with  regard  to  STS  securitisations..  They  can  inform 
themselves with the information disclosed by the securitising parties, in particular the 
STS  notification  and  the  related  information  disclosed  in  this  context,  which  should 
provide  investors  with  all  the  relevant  information  on  the  way  STS  criteria  are  met. 
Institutional  investors  should  be  able  to  place  appropriate  reliance  on  the  STS 
notification  and  the  information  disclosed  by  the  originator,  sponsor  and  SSPE  on 
whether a securitisation meets the STS requirements. 

It  is  important  that  the  interests  of  originators,  sponsors  and  original  lenders  that 
transform exposures into tradable securities and investors are aligned. To achieve this, 
the  originator,  sponsor  or  original  lender  should  retain  a  significant  interest  in  the 
underlying exposures of the securitisation. It is therefore important for the originators 
or the sponsors to retain a material net economic exposure to the underlying risks in 
question. More generally, securitisation transactions should not be structured in such a 
way  so  as  to  avoid  the  application  of  the  retention  requirement.  That  requirement 
should be applicable in all situations where the economic substance of a securitisation 
is applicable, whatever legal structures or instruments are used. There is no need for 
multiple  applications  of  the  retention  requirement.  For  any  given  securitisation,  it 
suffices  that  only  the  originator,  the  sponsor  or  the  original  lender  is  subject  to  the 
requirement.  Similarly,  where  securitisation  transactions  contain  other  securitisations 
positions as underlying exposures, the retention requirement should be applied only to 
the securitisation which is subject to the investment. The STS notification indicate to 
investors  that  originators  are  retaining  a  material  net  economic  exposure  to  the 
underlying  risks.  Certain  exceptions  should  be  made  for  cases  when  securitised 
exposures are fully, unconditionally and irrevocably guaranteed by in particular public 
authorities. In case support from public resources provided in the form of guarantees 
or by other means, any provisions in this Regulation are without prejudice to State aid 
rules. 

(13)  The  ability  of  investors  to  exercise  due  diligence  and  thus  make  an  informed 
assessment  of  the  creditworthiness  of  a  given  securitisation  instrument  depends  on 
their  access  to  information  on  those  instruments..  Based  on  the  existing  acquis,  it  is 
important to create a comprehensive system under which investors will have access to 
all  the  relevant  information  over  the  entire  life  of  the  transactions  and  to  reduce 
originators, sponsors and SSPEs reporting tasks and to facilitate investors' continuous; 
easy and free access to reliable information on securitisations. 

(14)  Originators,  sponsors  and  SSPE's  should  make  all  materially  relevant  data  on  the 
credit  quality  and  performance  of  underlying  exposures  available  in  the  investor 

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report, including data allowing investors to clearly identify delinquency and default of 
underlying  debtors,  debt  restructuring,  debt  forgiveness,  forbearance,  repurchases, 
payment  holidays,  losses,  charge  offs,  recoveries  and  other  asset  performance 
remedies  in  the  pool  of  underlying  exposures.  Data  on  the  cash  flows  generated  by 
underlying  exposures  and  by  the  liabilities  of  the  securitisation  issuance,  including 
separate  disclosure  of  the  securitisation  position’s  income  and  disbursements,  that  is 
scheduled  principal,  scheduled  interest,  prepaid  principal,  past  due  interest  and  fees 
and charges and any data relating to the breach of any triggers implying changes in the 
priority  of  payments  or  replacement  of  any  counterparties  as  well  as  data  on  the 
amount and form of credit enhancement available to each tranche should also be made 
available  in  the  investor  report.Although  securitisations  that  are  simple,  transparent 
and  standardised  have  in  the  past  performed  well,  the  satisfaction  of  any  STS 
requirements does not mean that the securitisation position is free of risks, nor does it 
indicate  anything  about  the  credit  quality  underlying  the  securitisation.  Instead,  it 
should  be  understood  to  indicate  that  a  prudent  and  diligent  investor  will  be  able  to 
analyse  the  risks  involved  in  the  securitisation.  There  should  be  two  types  of  STS 
requirements:  one for long-term securitisations and one for short-term securitisations 
(ABCP),  which  should  be  subject  to  a  large  extent  to  similar  requirements  with 
specific  adjustments  to  reflect  the  structural  features  of  these  two  market  segments. 
The  functioning  of  these  markets  are  different  with  ABCP  programmes  relying  on  a 
number  of  ABCP  transactions  consisting  of  short  term  exposures  which  need  to  be 
replaced once matured. In addition, STS criteria need also to reflect the specific role of 
the sponsor providing liquidity support to the ABCP conduits. 

(15)  This proposal only allows for 'true sale' securitisations to be designated as STS. In a 
true  sale  securitisation,  the  ownership  of  the  underlying  exposures  is  transferred  or 
effectively assigned to an issuer entity which is a securitisation special purpose entity 
(SSPE). The transfer of the underlying exposures to the SSPE should not be subject to 
severe  clawback  provisions  in  the  event  of  the  seller's  insolvency.  Such  severe 
clawback provisions include but should not be limited to provisions under which the 
sale  of  the  underlying  exposures  can  be  invalidated  by  the  liquidator  of  the  seller 
solely on the basis that it was concluded within a certain period before the declaration 
of the seller's insolvency or provisions where the SSPE can prevent such invalidation 
only if it can prove that it was not aware of the insolvency of the seller at the time of 
sale. 

(16) 

In securitisations which are not 'true sale', the underlying exposures are not transferred 
to such an issuer entity, but rather the credit risk related to the underlying exposures is 
transferred  by  means  of  a  derivative  contract  or  guarantees.  This  introduces  an 
additional counterparty credit risk and potential complexity related in particular to the 
content  of  the  derivative  contract.  To  date,  no  analysis  on  an  international  level  or 
Union level has been sufficient to identify STS criteria for those types of securitisation 
instruments. An assessment in the future of whether some synthetic securitisations that 
have  performed  well  during  the  financial  crisis  and  are  simple,  transparent  and 
standardised are therefore eligible to qualify as STS would be essential. On this basis, 
the Commission will assess whether securitisations which are not 'true sale' should be 
covered by the STS designation in a future proposal. 

(17)  The  underlying  exposures  transferred  from  the  seller  to  the  SSPE  should  meet 
predetermined  and  clearly  defined  eligibility  criteria  which  do  not  allow  for  active 
portfolio  management  of  those  exposures  on  a  discretionary  basis.  Substitution  of 

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exposures that are in breach of representations and warranties should in principle not 
be considered active portfolio management. 

(18)  To ensure that investors perform robust due diligence and to facilitate the assessment 
of underlying risks, it is important that securitisation transactions are backed by pools 
of  exposures  that  are  homogenous  in  asset  type,  such  as  pools  of  residential  loans, 
pools  of  commercial  loans,  leases  and  credit  facilities  to  undertakings  of  the  same 
category  to  finance  capital  expenditures  or  business  operations,  pools  of  auto  loans 
and leases to borrowers or lessees or loans and pools of credit facilities to individuals 
for personal, family or household consumption purposes. 

(19) 

It  is  essential  to  prevent  the  recurrence  of  purely  ‘originate  to  distribute’  models.  In 
those situations lenders grant credits applying poor and weak underwriting policies as 
they know in advance that related risks are eventually sold to third parties. Thus, the 
exposures  to  be  securitised  should  be  originated  in  the  ordinary  course  of  the 
originator’s  or  original  lender's  business  pursuant  to  underwriting  standards  that 
should  not  be  less  stringent  than  those  the  originator  or  original  lender  applies  to 
origination  of  similar  exposures  which  are  not  securitised.  Material  changes  in 
underwriting  standards  should  be  fully  disclosed  to  potential  investors.  The 
originator’s  or  original  lender  should  have  sufficient  experience  in  originating 
exposures  of  a  similar  nature  to  those  which  have  been  securitised.  In  the  case  of 
securitisations where the underlying exposures are residential loans, the pool of loans 
should not  include  any loan that  was  marketed and underwritten  on the premise that 
the  loan  applicant  or,  where  applicable  intermediaries,  were  made  aware  that  the 
information  provided  might  not  be  verified  by  the  lender.  The  assessment  of  the 
borrower's  creditworthiness  should  also  meet  where  applicable,  the  requirements  set 
out  in  Directives  2014/17/EU  or  2008/48/EC  of  the  European  Parliament  and  of  the 
Council or equivalent requirements in third countries. 

(20)  Where originators, sponsors and SSPE's would like their securitisations to use the STS 
designation,  they  should  notify  investors,  competent  authorities  and  ESMA  that  the 
securitisation  meets  the STS  requirements.  ESMA  should  then  publish  it  on  a list  of 
transactions made available on its website for information purposes. The inclusion of a 
securitisation issuance in ESMA’s list of notified STS securitisations does not imply 
that ESMA or other competent authorities have certified that the securitisation meets 
the STS requirements. The compliance with the STS requirements remains solely the 
responsibility of the originators, sponsors and SSPEs. This will ensure that originators, 
sponsors  and  SSPE's  take  responsibility  for  their  claim  that  the  securitisation  is  STS 
and that there is transparency on the market.  

(21)  Where a securitisation no longer meets the STS requirements, the originator, sponsor 
and SSPE should immediately notify ESMA. Moreover, where a competent authority 
has  imposed  administrative  sanctions  or  remedial  measures  with  regard  to  a 
securitisation  notified  as  being  STS,  that  competent  authority  should  immediately 
notify ESMA for its  indication on the STS notifications list  allowing  investors  to be 
informed  about  such  sanctions  and  about  the  reliability  of  STS  notifications.  It  is 
therefore in the interest of originators, sponsors and SSPE's to make well-considered 
notifications due to reputational consequences. 

(22) 

Investors should perform their own due diligence on investments commensurate with 
the risks involved but they should be able to rely on the STS notifications and on the 
information provided by the originator, sponsor and SSPE on STS  compliance. 

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(23)  The  involvement  of  third  parties  in  helping  to  check  compliance  of  a  securitisation 
with  the  STS  requirements  may  be  useful  for  investors,  originators,  sponsors  and 
SSPE's  and  could  contribute  to  increase  confidence  in  the  market  for  STS 
securitisations. However, it is essential that investors make their own assessment, take 
responsibility  for  their  investment  decisions  and  do  not  mechanistically rely  on  such 
third parties. 

(24)  Member  States  should    designate  competent  authorities  and  provide  them  with  the 
necessary supervisory, investigative and sanctioning powers. Administrative sanctions 
and remedial measures should, in principle, be published. Since investors, originators, 
sponsors,  original  lenders  and  SSPEs  can  be  established  in  different  Member  States 
and supervised by different sectoral competent authorities close cooperation between 
relevant  competent  authorities,  including  the  European  Central  Bank  (ECB)  in 
accordance with Council Regulation (EU) No 1024/201324, and with the ESAs should 
be  ensured  by  the  mutual  exchange  of  information  and  assistance  in  supervisory 
activities. 

(25)  Competent  authorities  should  closely  coordinate  their  supervision  and  ensure 
consistent  decisions,  especially  in  case  of  infringements  of  this  Regulation.  Where 
such an infringement concerns an incorrect or misleading notification, the competent 
authority  finding  that  infringement  should  also  inform  the  ESAs  and  the  relevant 
competent authorities of the Member States concerned ESMA, and, where appropriate, 
the  Joint-Committee  of  the  European  Supervisory  Authorities,  should  be  able  to 
exercise their binding mediation powers. 

(26)  This  Regulation  promotes  the  harmonisation  of  a  number  of  key  elements  in  the 
securitisation  market  without  prejudice 
to  further  complementary  market-led 
harmonisation of processes and practices in securitisation markets. For that reason, it 
is  essential  that  market  participants  and  their  professional  associations  continue 
working on further standardising market practices, and in particular the standardisation 
of documentation of securitisations. The Commission will carefully monitor and report 
on the standardisation efforts made by market participants. 

(27)  The  UCITS  Directive,  the  Solvency  II  Directive,  the  CRA  Regulation,  the  AIFM 
Directive  and  EMIR  are  amended  accordingly  to  ensure consistency  of  the  EU  legal 
framework with this Regulation on provisions related to securitisation the main object 
of which is the establishment and functioning of the internal market, in particular by 
ensuring a level playing field in the internal market for all institutional investors. 

(28)  As  regards  the  amendments  to  Regulation  (EU)  No  648/2012,  over-the-counter 
("OTC")  derivative  contracts  entered  into  by  securitisation  special  purpose  entities 
should  not  be  subject  to  the  clearing  obligation  provided  that  certain  conditions  are 
met.  This  is  because  counterparties  to  OTC  derivative  contracts  entered  into  with 
securitisation  special  purpose  vehicles  are  secured  creditors  under  the  securitisation 
arrangements  and  adequate  protection  against  counterparty  credit  risk  is  usually 
provided for. With respect to non-centrally cleared derivatives, the levels of collateral 
required  should  also  take  into  account  the  specific  structure  of  securitisation 
arrangements and the protections already provided for therein. 

24 

Council Regulation (EU) No 1024/2013 of 15 October 2013 conferring specific tasks on the European 
Central Bank concerning policies relating to the prudential supervision of credit institutions (OJ L 287, 
29.10.2013. p. 263). 

EN 

24 

   EN 

 
                                                 
(29)  There  is  a  degree  of  substitutability  between  covered  bonds  and  securitisations. 
Therefore, in order to prevent the possibility of distortion or arbitrage between the use 
of  securitisations  and  covered  bonds  because  of  the  different  treatment  of  OTC 
derivative  contracts  entered  into  by  covered  bond  entities  or  by  SSPEs,  Regulation 
(EU) No 648/2012 should also be amended to exempt covered bond entities from the 
clearing  obligation  and  to  ensure  that  covered  bond  entities  are  subject  to  the  same 
bilateral margins. 

(30) 

(31) 

(32) 

(33) 

In  order  to  specify  the  risk-retention  requirement,  the  power  to  adopt  acts  in 
accordance with Article 290 of the Treaty on the Functioning of the European Union 
should  be  delegated  to  the  Commission  in  respect  of  the  adoption  of  regulatory 
technical standards laying down the modalities of retaining risk, the measurement of 
the level of retention, certain prohibitions concerning the retained risk, the retention on 
a  consolidated  basis  and  the  exemption  for  certain  transactions.  In  view  of  the 
expertise of EBA, in defining the delegated acts, the Commission should make use of 
that  expertise  on  the  preparation  of  the  delegated  acts.  EBA  should  consult  closely 
with the other two European Supervisory Authorities. 

In order to facilitate investors continuous, easy and free access to reliable information 
on  securitisations,  the  same  power  to  adopt  acts  should  be  delegated  to  the 
Commission  in  respect  of  the  adoption  of  regulatory  technical  standards  for 
comparable information on underlying exposures and regular investor reports and for 
the requirements to be met by the website on which the information is made available 
to  holders  of  securitisation  positions.  In  view  of  the  expertise  of  ESMA,  in  defining 
the  delegated  acts,  the  Commission  should  make  use  of  that  expertise  on  the 
preparation  of  the  delegated  acts.  ESMA  should  consult  closely  with  the  other  two 
European Supervisory Authorities. 

In  order  to  facilitate  the  process  to  investors,  originators,  sponsors  and  SSPE's,  the 
same  power  to  adopt  acts  should  be  delegated  to  the  Commission  in  respect  of  the 
adoption of regulatory technical standards regarding the template for STS notifications 
that  will  provide  investors  and  competent  authorities  with  sufficient  information  for 
their assessment of compliance with the STS requirements. In view of the expertise of 
ESMA,  in  defining  the  delegated  acts,  the  Commission  should  make  use  of  that 
expertise on the preparation of the delegated acts. ESMA should consult closely with 
the other two European Supervisory Authorities. 

In  order  to  specify  the  terms  of  the  cooperation  and  exchange  of  information 
obligation of competent authorities, the same power to adopt acts should be delegated 
to the Commission in respect of the adoption of regulatory technical standards laying 
down  the  information  to  be  exchanged  and  the  content  and  scope  of  the  notification 
obligations.  In  view  of  the  expertise  of  ESMA,  in  defining  the  delegated  acts,  the 
Commission  should  make  use  of  that  expertise  on  the  preparation  of  the  delegated 
acts.  ESMA  should  consult  closely  with  the  other  two  European  Supervisory 
Authorities. 

(34)  The  Commission,  when  preparing  and  drawing  up  delegated  acts,  should  ensure  a 
simultaneous,  timely  and  appropriate  transmission  of  relevant  documents  to  the 
European Parliament and to the Council. 

(35)  Since the objectives of this Regulation cannot be sufficiently achieved by the Member 
States given that securitisation markets operate globally and that a level playing field 
in  the  internal  market  for  all  institutional  investors  and  entities  involved  in 
securitisation should be ensured but, by reason of their scale and effects, can be better 

EN 

25 

   EN 

 
achieved  at  Union  level,  the  Union  may  adopt  measures,  in  accordance  with  the 
principle  of  subsidiarity  as  set  out  in  Article  5  of  the  Treaty  on  European  Union.  In 
accordance  with  the  principle  of  proportionality,  as  set  out  in  that  Article,  this 
Regulation does not go beyond what is necessary in order to achieve those objectives. 

(36)  This Regulation should apply to securitisations the securities of which are issued on or 

after the entry into force of this Regulation. 

(37)  For  securitisation  positions  outstanding  as  of  the  date  of  entry  into  force  of  this 
Regulation, originators,  sponsors and SSPEs  may use  the designation 'STS' provided 
that  the  securitisation  complies  with  the  STS  requirements.  Therefore,  originators, 
sponsors and SSPEs should be able to submit an STS notification pursuant to Article 
14 (1) of this Regulation to ESMA. 

(38)  The due diligence requirements are essentially taken over from existing Union law and 
should  thus  apply  to  securitisations  issued  on  or  after  1  January  2011  and  to 
securitisations  issued  before  that  date,  where  new  underlying  exposures  have  been 
added  or  substituted  after  31  December  2014.  The  relevant  articles  of  Commission 
Delegated  Regulation (EU)  No  625/2014  that  specify  the  risk  retention requirements 
for  credit  institutions  and  investments  firms  as  defined  in  Article  4(1)  (1)  and  (2)  of 
Regulation  (EU)  No  2013/575  should  remain  applicable  until  the  moment  that  the 
regulatory technical standards on risk retention pursuant to this Regulation become of 
application.  For  reasons  of  legal  certainty,  credit  institutions  or  investment  firms, 
insurance  undertakings,  reinsurance  undertakings  and  alternative  investment  fund 
managers should, for securitisation positions outstanding as of the entry into force of 
this Regulation; continue to be subject to Article 405 of Regulation (EU) No 575/2013 
and to Chapter 1, 2 and 3 and Article 22 of Commission Delegated Regulation (EU) 
No  625/2014,  Articles  254  and  255  of  Commission  Delegated  Regulation  (EU) 
2015/35  and  Article  51  of  Commission  Delegated  Regulation  (EU)  No  231/2013 
respectively.  In  order  to  ensure  that  originators,  sponsors  and  SSPE's  comply  with 
their  transparency  obligations  ,  until  the  moment  that  the  regulatory  technical 
standards to be  adopted by the Commission pursuant  to this  Regulation apply, make  
the information mentioned by Annexes I to VIII of Delegated Regulation 2015/3/EU 
available to the website referred to in Article 5 (4) of this Regulation. 

HAVE ADOPTED THIS REGULATION: 

EN 

26 

   EN 

 
 
Chapter 1 

General provisions  

Article 1 

Subject-matter and scope 

1. 

2. 

This  Regulation  lays  down  a  general  framework  for  securitisation.  It  defines 
securitisation  and  establishes  due  diligence,  risk  retention  and  transparency 
requirements  for  parties  involved  in  securitisations,  such  as  institutional  investors, 
originators,  sponsors,  original  lenders  and  securitisation  special  purpose  entities.  It 
also  provides  a  framework  for  Simple,  Transparent  and  Standardised  or  '"STS' 
securitisation. 

This Regulation applies to institutional investors becoming exposed to securitisation 
and  to  originators,  original  lenders,  sponsors  and  securitisation  special  purpose 
entities. 

Article 2 

Definitions 

For the purposes of this Regulation, the following definitions shall apply: 

(1) 

'securitisation' means a transaction or scheme, whereby the credit risk associated with 
an  exposure  or  pool  of  exposures  is  tranched,  having  both  of  the  following 
characteristics: 

(2) 

(a)  payments in the transaction or scheme are dependent upon the performance of 

the exposures or pool of exposures; 

(b) 

the  subordination  of  tranches  determines  the  distribution  of  losses  during  the 
ongoing life of the transaction or scheme. 

'Securitisation Special Purpose Entity'  or 'SSPE' means a corporation, trust or other 
legal  entity,  other  than  an  originator  or  sponsor,  established  for  the  purpose  of 
carrying out one or more securitisations, the activities of which are limited to those 
appropriate  to  accomplishing  that  objective,  the  structure  of  which  is  intended  to 
isolate  the  obligations  of  the  SSPE  from  those  of  the  originator,  and  in  which  the 
holders of the beneficial interests have the right to pledge or exchange those interests 
without restriction; 

(3) 

'originator' means an entity which: 

(a) 

itself  or  through  related  entities,  directly  or  indirectly,  was  involved  in  the 
original agreement which created the obligations or potential obligations of the 
debtor or potential debtor giving rise to the exposures being securitised; or 

EN 

27 

   EN 

 
 
 
(4) 

(5) 

(6) 

(7) 

(8) 

(9) 

(10) 

(11) 

(12) 

(b)  purchases  a  third  party's  exposures  for  its  own  account  and  then  securitises 

them; 

're-securitisation' means securitisation where at least one of the underlying exposures 
is a securitisation position; 

'sponsor'  means  a  credit  institution  or  investment  firm  as  defined  in  Article  4(1) 
points  (1)  and  (2)  of  Regulation  (EU)  No  2013/575  other  than  an  originator  that 
establishes  and  manages  an  asset-backed  commercial  paper  programme  or  other 
securitisation  transaction  or  scheme  that  purchases  exposures  from  third-party 
entities; 

'tranche' means a contractually established segment of the credit risk associated with 
an exposure or a pool of exposures, where a position in the segment entails a risk of 
credit  loss  greater  than  or  less  than  a  position  of  the  same  amount  in  another 
segment,  without  taking  account  of  credit  protection  provided  by  third  parties 
directly to the holders of positions in the segment or in other segments; 

'asset-backed commercial paper (ABCP) programme' or ‘ABCP programme’ means 
a programme of securitisations the securities issued by which predominantly take the 
form of asset-backed commercial paper with an original maturity of one year or less; 

'asset-backed commercial paper (ABCP) transaction' or 'ABCP transaction’ means a 
securitisation within an ABCP programme; 

'traditional  securitisation'  means  a  securitisation  involving  the  economic  transfer  of 
the  exposures  being  securitised.  This  shall  be  accomplished  by  the  transfer  of 
ownership of the securitised exposures from the originator institution to an SSPE or 
through  sub-participation  by  an  SSPE.  The  securities  issued  do  not  represent 
payment obligations of the originator institution; 

'synthetic securitisation' means a securitisation where the transfer of risk is achieved 
by  the  use  of  credit  derivatives  or  guarantees,  and  the  exposures  being  securitised 
remain exposures of the originator; 

'investor' means a person holding securities resulting from a securitisation; 

'institutional investors' means insurance undertakings as defined in Article 13 (1) of 
Directive  2009/138/EC  of  the  European  Parliament  and  of  the  Council  of  25 
November  2009  on  the  taking-up  and  pursuit  of  the  business  of  Insurance  and 
Reinsurance  (Solvency  II);  reinsurance  undertakings  as  defined  in  Article  13  point 
(4)  of  Directive  2009/138/EC;  institutions  for  occupational  retirement  provision 
falling within the scope of Directive 2003/41/EC of the European Parliament and of 
the  Council25  in  accordance  with  Article  2  thereof,  unless  a  Member  States  has 
chosen  not  to  apply  that  Directive  in  whole  or  in  parts  to  that  institution  in 
accordance with Article 5 of that Directive; an alternative investment fund manager 
(AIFM)  as  defined  in  Article  4(1)(b)  of  Directive  2011/61/EU  of  the  European 
Parliament and of the Council26 that manage and/or market AIFs in the Union; or a 
UCITS management company as defined in Article 2(1)(b) of Directive 2009/65/EC 

25 

26 

Directive 2003/41/EC of the European Parliament and of the Council of 3 June 2003 on the activities 
and supervision of institutions for occupational retirement provision (OJ L 235, 23.9.2003, p. 10). 
Directive  2011/61/EU  of  the  European  Parliament  and  of  the  Council  of  8  June  202  on  Alternative 
Investment  Fund  Managers  and  amending  Directives  2003/41/EC  and  2009/65/EC  and  Regulations 
(EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1). 

EN 

28 

   EN 

 
                                                 
of the European Parliament and of the Council27; or an internally managed UCITS, 
which  is  an  investment  company  authorised  in  accordance  with  Directive 
2009/65/EC and which has not designated a management company authorised under 
that  Directive  for  its  management;  or  credit  institutions  or  investments  firms  as 
defined in Article 4(1) (1) and (2) of Regulation (EU) No 2013/575; 

'servicer'  means  an  entity  as  defined  in  Article  142(1)  point  (8)  of  Regulation  No 
2013/575/EU; 

'liquidity  facility'  means  the  securitisation  position  arising  from  a  contractual 
agreement to provide funding to ensure timeliness of cash flows to investors; 

'revolving exposure' means an exposure whereby customers' outstanding balances are 
permitted to fluctuate based on their decisions to borrow and repay, up to an agreed 
limit; 

'revolving  securitisation'  means  a  securitisation  where  the  securitisation  structure 
itself revolves by exposures being added to or removed from the pool of exposures 
irrespective of whether the exposures revolve or not; 

'early  amortisation  provision'  means  a  contractual  clause  in  a  securitisation  of 
revolving exposures or a revolving securitisation which requires, on the occurrence 
of  defined  events,  investors'  positions  to  be  redeemed  before  the  originally  stated 
maturity of the securities issued; 

'first loss tranche' means the most subordinated tranche in a securitisation that is the 
first tranche to bear losses incurred on the securitised exposures and thereby provides 
protection to the second loss and, where relevant, higher ranking tranches. 

(13) 

(14) 

(15) 

(16) 

(17) 

(18) 

Chapter 2 

Provisions applicable to all securitisation 

Article 3 

Due diligence requirements for institutional investors 

1. 

An  institutional  investor  shall  verify  before  becoming  exposed  to  a  securitisation 
that: 

(a)  where the originator or original lender is not a credit institution or investment 
firm  as  defined  in  Article  4(1),  points  (1)  and  (2)  of  Regulation  (EU)  No 
575/2013, the originator or original lender grants all its credits on the basis of 
sound and well-defined criteria and clearly established processes for approving, 
amending,  renewing  and  financing  those  credits  and  has  effective  systems  in 
place to apply these criteria and processes; 

(b) 

the  originator,  sponsor  or  original  lender  retains  a  material  net  economic 
interest in accordance with Article 4 of this Regulation and discloses it to the 
institutional investor in accordance with Article 5; 

27 

Directive  2009/65/EC  of  the  European  Parliament  and  of  the  Council  of  13  July  2009  on  the 
coordination  of  laws,  regulations  and  administrative  provisions  relating  to  undertakings  for  collective 
investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32). 

EN 

29 

   EN 

 
 
                                                 
(c) 

the  originator,  sponsor  and  SSPE  make  available  the  information  required  by 
Article  5  of  this  Regulation  in  accordance  with  the  frequency  and  modalities 
provided in that Article; 

2. 

Before  becoming  exposed  to  a  securitisation,  institutional  investors  shall  also  carry 
out  a  due  diligence  assessment  commensurate  with  the  risks  involved  including  at 
least the following aspects: 

(a) 

(b) 

the  risk  characteristics  of  the  individual  securitisation  position  and  of  the 
exposures underlying it; 

all  the  structural  features  of  the  securitisation  that  can  materially  impact  the 
performance of the securitisation position, such as the contractual priorities of 
payment  and  priority  of  payment-related  triggers,  credit  enhancements, 
transaction-specific 
liquidity  enhancements,  market  value 
definitions of default; 

triggers,  and 

(c)  with  regard  to  securitisations  designated  as  STS,  whether  the  securitisation 
meets the STS requirements laid down in Articles 7 to 10 or Articles 11 to 14. 
Institutional  investors  may  place  appropriate  reliance  on  the  STS  notification 
pursuant  to Article 14 (1) and  on the information  disclosed by the originator, 
sponsor and SSPE on the compliance with the STS requirements. 

3. 

Institutional investors that are exposed to a securitisation  shall at least: 

(a) 

establish  written  procedures  commensurate  with  the  risk  profile  of  the 
securitisation  position,  and  appropriate  to  their  trading  and  non-trading  book 
where  relevant,  to  monitor  compliance  with  paragraphs  1  and  2  and  the 
performance of the securitisation position and the underlying exposures on an 
ongoing  basis..  Where  appropriate,  those  written  procedures    shall  include 
monitoring of the exposure type, the percentage of loans more than 30, 60 and 
90 days past due, default rates, prepayment rates, loans in foreclosure, recovery 
rates,  repurchases,  loan  modifications,  payment  holidays,  collateral  type  and 
occupancy,  and  frequency  distribution  of  credit  scores  or  other  measures  of 
credit  worthiness  across  underlying  exposures,  industry  and  geographical 
diversification, frequency distribution of loan to value ratios with band widths 
that facilitate adequate sensitivity analysis. Where the underlying exposures are 
themselves  securitisations,  institutional  investors  shall  also  monitor  the 
exposures underlying those securitisations; 

(b) 

(c) 

regularly perform stress tests on the cash flows and collateral values supporting 
the  underlying  exposures  that  are  commensurate  with  the  nature,  scale  and 
complexity of the risk of the securitisation position; 

ensure that there is an adequate level of internal reporting to their management 
body so that they are aware of the material risk arising from the securitisation 
positions and that the risks from those investments are adequately managed; 

(d)  be  able  to  demonstrate,  upon  request,  to  their  competent  authorities  that  for 
each of their securitisation positions they have a comprehensive and thorough 
understanding of the position and its underlying exposures and that they have 
implemented  written  policies  and  procedures  for  their  risk  management  and 
recording of the relevant information. 

EN 

30 

   EN 

 
Article 4 

Risk retention 

1. 

The  originator,  sponsor  or  the  original  lender  of  a  securitisation  shall  retain  on  an 
ongoing  basis  a  material net economic interest in the securitisation of not  less than 
5 %.  Where  the  originator,  sponsor  or  the  original  lender  have  not  agreed  between 
them who will retain the material net economic interest, the originator shall retain the 
material  net  economic  interest.  There  shall  be  no  multiple  applications  of  the 
retention  requirements  for  any  given  securitisation.  The  material  net  economic 
interest shall be measured at the origination and shall be determined by the notional 
value  for  off-balance  sheet  items.  The  material  net  economic  interest  shall  not  be 
split  amongst  different  types  of  retainers  and  not  be  subject  to  any  credit  risk 
mitigation or hedging. 

For the purposes of this Article, an entity shall not be considered to be an originator 
where the entity has been established or operates for the sole purpose of securitising 
exposures. 

2. 

Only the following shall qualify as a retention of a material net economic interest of 
not less than 5% within the meaning of paragraph 1: 

(a) 

(b) 

(c) 

(d) 

the retention of no less than 5% of the nominal value of each of the tranches 
sold or transferred to investors; 

in  the  case  of  revolving  securitisations  or  securitisations  of  revolving 
exposures,  the  retention  of  the  originator's  interest  of  no  less  than  5%  of  the 
nominal value of each of the securitised exposures; 

the retention of randomly selected exposures, equivalent to no less than 5% of 
the  nominal  value  of  the  securitised  exposures,  where  such  non-securitised 
exposures would otherwise have been securitised in the securitisation, provided 
that  the  number  of  potentially  securitised  exposures  is  no  less  than  100  at 
origination; 

the retention of the first loss tranche and, where such retention does not amount 
to  5%  of  the  nominal  value  of  the  securitised  exposures,  if  necessary,  other 
tranches having the same or a more severe risk profile than those transferred or 
sold to investors and not maturing any earlier than those transferred or sold to 
investors,  so that the retention equals in total  no less than 5%  of the nominal 
value of the securitised exposures; 

(e) 

the  retention  of  a  first  loss  exposure  of  not  less  than  5%  of  every  securitised 
exposure in the securitisation. 

Where  a  mixed  financial  holding  company  established  in  the  Union  within  the 
meaning  of  Directive  No  2002/87/EC,  a  parent  credit  institution  or  a  financial 
holding  company  established  in  the  Union,  or  one  of  its  subsidiaries  within  the 
meaning of Regulation (EU) No 575/2013, as an originator or a sponsor, securitises 
exposures  from  one  or  more  credit  institutions,  investment  firms  or  other  financial 
institutions  which  are  included in  the  scope  of  supervision on  a  consolidated  basis, 
the  requirements  referred  to  in  paragraph  1  may  be  satisfied  on  the  basis  of  the 
consolidated  situation  of  the  related  parent  credit  institution,  financial  holding 
company, or mixed financial holding company established in the Union. 

The first subparagraph shall apply only where credit institutions, investment firms or 
financial  institutions  which  created  the  securitised  exposures  adhere  to  the 

3. 

EN 

31 

   EN 

 
requirements  set  out  in  Article  79  of  Directive  36/2013/EU  and  deliver  the 
information  needed  to  satisfy  the  requirements  laid  down  in  Article  5  of  this 
Regulation,  in  a  timely  manner,  to  the  originator  or  sponsor  and  to  the  EU  parent 
credit  institution,  financial  holding  company  or  mixed  financial  holding  company 
established in the Union. 

4. 

Paragraph  1  shall  not  apply  where  the  securitised  exposures  are  exposures  on  or 
exposures fully, unconditionally and irrevocably guaranteed by: 

(a) 

(b) 

(c) 

(d) 

central governments or central banks; 

regional  governments,  local  authorities  and  public  sector  entities  within  the 
meaning of Article 4 (1) point (8) of Regulation (EU) No 575/2013 of Member 
States; 

institutions  to  which  a  50%  risk  weight  or  less  is  assigned  under  Part  Three, 
Title II, Chapter 2 of Regulation (EU) No 575/2013; 

the multilateral development banks listed in Article 117 of Regulation (EU) No 
575/2013. 

5. 

6. 

Paragraph  1  shall  not  apply  to  transactions  based  on  a  clear,  transparent  and 
accessible  index,  where  the  underlying  reference  entities  are  identical  to  those  that 
make  up  an  index  of  entities  that  is  widely  traded,  or  are  other  tradable  securities 
other than securitisation positions. 

The  European  Banking  Authority  (EBA),  in  close  cooperation  with  the  European 
Securities  and  Market  Authority  (ESMA)  and  the  European  Insurance  and 
Occupational  Pensions  Authority  (EIOPA)  shall  develop  draft  regulatory  technical 
standards to specify in greater detail the risk retention requirement, in particular with 
regards to: 

(a) 

(b) 

(c) 

(d) 

(e) 

the  modalities  of  retaining  risk  pursuant  to  paragraph  2,  including  the 
fulfilment through a synthetic or contingent form of retention; 

the measurement of the level of retention referred to in paragraph 1; 

the prohibition of hedging or selling the retained interest; 

the  conditions  for  retention  on  a  consolidated  basis  in  accordance  with 
paragraph 3; 

the  conditions  for  exempting  transactions  based  on  a  clear,  transparent  and 
accessible index referred to in paragraph 5. 

EBA shall submit those draft regulatory technical standards to the Commission by [six 
months after entry into force of this Regulation]. 

Power  is  delegated  to  the  Commission  to  adopt  the  regulatory  technical  standards 
referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation 
(EU) No 1093/2010. 

Article 5 

Transparency requirements for originators, sponsors and SSPE's  

1. 

The  originator,  sponsor  and  SSPE  of  a  securitisation  shall,  in  accordance  with 
paragraph  2,  make  at  least  the  following  information  available  to  holders  of  a 

EN 

32 

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securitisation  position  and  to  the  competent  authorities  referred  to  in  Article  15  of 
this Regulation. 

(a) 

information on the exposures underlying the securitisation on a quarterly basis, 
or,  in  the  case  of  ABCP,  information  on  the  underlying  receivables  or  credit 
claims on a monthly basis; 

(b)  where applicable, the following documents, including a detailed description of 

the priority of payments of the securitisation: 

(i) 

(ii) 

(iii) 

(iv) 

(v) 

the  final  offering  document  or  the  prospectus  together  with  the  closing 
transaction documents, excluding legal opinions; 

for  traditional  securitisation  the  asset  sale  agreement,  assignment, 
novation or transfer agreement and any relevant declaration of trust; 

the  derivatives  and  guarantees  agreements  and  any  relevant  documents 
on  collateralisation  arrangements  where  the  exposures  being  securitised 
remain exposures of the originator; 

the  servicing,  back-up  servicing,  administration  and  cash  management 
agreements; 

the trust deed, security deed, agency agreement, account bank agreement, 
guaranteed  investment  contract,  incorporated  terms  or  master  trust 
framework or master definitions agreement or such legal documentation 
with equivalent legal value; 

(vi)  any  relevant 

inter-creditor  agreements,  derivatives  documentation, 
subordinated  loan  agreements,  start-up  loan  agreements  and  liquidity 
facility agreements; 

(vii)  any  other  underlying  documentation 

that 

is  essential 

for 

the 

understanding of the transaction; 

(c)  where  a  prospectus  has  not  been  drawn  up  in  compliance  with  Directive 
2003/71/EC  of  the  European  Parliament  and  of  the  Council28,  a  transaction 
summary  or  overview  of  the  main  features  of  the  securitisation,  including, 
where applicable: 

(i) 

details regarding the structure of the deal; 

(ii)  details  regarding 

the  exposure  characteristics,  cash  flows,  credit 

enhancement and liquidity support features; 

(iii)  details  regarding  the  voting  rights  of  the  holders  of  a  securitisation 

position and their relationship with other secured creditors; 

(iv)  a list of all triggers and events referred to in the documents provided to in 
accordance  with  point  (b)  that  could  have  a  material  impact  on  the 
performance of the securitisation instrument; 

(v) 

the structure diagrams containing an overview of the transaction, the cash 
flows and the ownership structure; 

28 

Directive  2003/71/EC  of  the  European  Parliament  and  of  the  Council  of  4  November  2003  on  the 
prospectus  to  be  published  when  securities  are  offered  to  the  public  or  admitted  to  trading  and 
amending Directive 2001/34/EC (OJ L 345, 31.12.2003, p. 64). 

EN 

33 

   EN 

 
                                                 
(d) 

in the case of STS securitisations, the STS notification referred to in Article 14 
(1) of this Regulation; 

(e)  quarterly  investor  reports,  or,  in  the  case  of  ABCP,  monthly  investor  reports, 

containing the following: 

(i) 

all  materially  relevant  data  on  the  credit  quality  and  performance  of 
underlying exposures; 

(ii)  data on the cash flows generated by the underlying exposures and by the 
liabilities of the securitisation, except for ABCP, and information on the 
breach  of  any  triggers  implying  changes  in  the  priority  of  payments  or 
replacement of any counterparties; 

(iii) 

information about the risk retained in accordance with Article 4 and the 
information required pursuant to paragraph 3. 

(f)  where  applicable,  information  pursuant  to  Article  17  of  Regulation  (EU)  No 
596/2014  of  the  European  Parliament  and  of  the  Council29  on  insider  dealing 
and market manipulation; 

(g)  where subparagraph (f) does not apply, any significant event such as: 

(i) 

a material breach of the obligations laid down in the documents provided 
in  accordance  with  subparagraph  (b),  including  any  remedy,  waiver  or 
consent subsequently provided in relation to such a breach; 

(ii) 

a  change  in  the  structural  features  that  can  materially  impact  the 
performance of the securitisation; 

(iii)  a significant change in the risk characteristics of the securitisation or of 

the underlying exposures; 

(iv) 

in the case of STS securitisations, where the securitisation ceases to meet 
the  STS  requirements  or  where  competent  authorities  have  taken 
remedial or administrative actions; 

(v) 

any material amendment to transaction documents. 

The  information  described  in  subparagraphs  (a),  (b),  (c)  and  (d)  shall  be  made 
available without delay after the closing of the transaction at the latest. 

The information described in subparagraphs (a) and (e) shall be made available at the 
same moment each quarter at the latest one month after the due date for the payment 
of  interest.  With  regard  to  ABCP  securitisations  the  information  described  in 
subparagraphs (a) and (e) shall be made available at the same moment each month, at 
the latest one month after the due date for the payment of interest. 

The  information  described  in  subparagraphs  (f)  and  (g)  shall  be  made  available 
without delay. 

The  originator,  sponsor  and  SSPE  of  a  securitisation  shall  designate  amongst 
themselves one entity to fulfil the information requirements pursuant to paragraph 1. 
The originator, sponsor and SSPE shall ensure that the information is available free 
of  charge  to  the  holder  of  a  securitisation  position  and  competent  authorities,  in  a 

Regulation  (EU)  No  596/2014  of  the  European  Parliament  and  of  the  Council  of  16  April  2014  on 
market abuse (market abuse regulation) and repealing Directive 2003/6/EC of the European Parliament 
and of the Council and Commission Directives 2003/124/EC, 2003/125/EC and 2004/72/EC (OJ L 173, 
12.6.2014, p. 1). 

2. 

29 

EN 

34 

   EN 

 
                                                 
timely and clear manner. The entity designated  to fulfil the requirements set out in 
paragraph 1 shall make the information available by means of a website which shall; 

(a) 

(b) 

(c) 

(d) 

(e) 

include a well-functioning data quality control system; 

respect  appropriate  governance  standards  and  ensure  the  maintenance  and 
operation  of  an  adequate  organisational  structure  to  ensure  continuity  and 
orderly functioning; 

set up appropriate systems, controls and procedures to ensure that the website 
can fulfil its function in a reliable and secure manner and to identify sources of 
operational risk; 

include  systems  to  ensure  the  protection  and  integrity  of  the  information 
received and the prompt recording of the information;  

ensure  that  the  information  will  be  available  for  at  least  5  years  after  the 
maturity date of the securitisation. 

The  entity  responsible  for  reporting  the  information  pursuant  to  this  Article,  and  the 
location  where  the  information  is  made  available  shall  be  indicated  in  the 
documentation regarding the securitisation. 

3. 

ESMA,  in  close  cooperation  with  EBA  and  EIOPA,  shall  develop  draft  regulatory 
technical standards to specify 

(a) 

(b) 

the  information  that  the  originator,  sponsor  and  SSPE  should  provide  to 
comply  with  their  obligations  under  paragraph  1(a)  and  (d)  and  the  format  
thereof by means of standardised templates; 

the requirements to be met by the website referred to in paragraph 2 on which 
the information shall be made available to holders of securitisation positions, in 
particular with regard to: 

– 

– 

– 

the  governance  structure  of  the  website  and  the  modalities  to  access 
information; 

the  internal  procedures  to  ensure  the  well-functioning,  operational 
robustness and integrity of the website and of the stored information; 

the  procedures  in  place  in  order  to  ensure  quality  and  accuracy  of  the 
information. 

ESMA shall submit those draft regulatory technical standards to the Commission by 
[one year after entry into force of this Regulation]. 
Power  is  delegated  to  the  Commission  to  adopt  the  regulatory  technical  standards 
referred to in this paragraph in accordance with the procedure laid down in Articles 
10 to 14 of Regulation (EU) No 1095/2010. 

EN 

35 

   EN 

 
Chapter 3 

Simple, transparent and standard securitisation 

Article 6 

Use of the designation 'simple, transparent and standardised securitisation' 

Originators, sponsors and SSPE's shall use the designation "STS" or a designation that refers 
directly or indirectly to these terms for their securitisation only where the securitisation meets 
all  the  requirements  of  Section  1  or  Section  2  of  this  Regulation,  and  they  have  notified 
ESMA pursuant to Article 14 (1). 

SECTION 1 

GENERAL REQUIREMENTS FOR STS SECURITISATION 

Article 7 

Simple, transparent and standardised securitisation 

Securitisations, except ABCP securitisations, that meet the requirements  in Articles 8, 9 and 
10 of this Regulation shall be considered 'STS'. 

Article 8 

Requirement relating to simplicity 

1. 

2. 

The  underlying  exposures  shall  be  acquired  by  a  SSPE  by  means  of  a  sale  or 
assignment in a manner that is enforceable against the seller or any other third party 
including  in  the  event  of  the  seller's  insolvency.  The  transfer  of  the  underlying 
exposures to the SSPE shall not be subject to any severe clawback provisions in the 
event  of  the  seller's  insolvency.  Where  the  transfer  of  the  underlying  exposures  is 
performed  by  means  of  an  assignment  and  perfected  at  a  later  stage  than  at  the 
closing  of  the  transaction,  the  triggers  to  effect  such  perfection  should,  at  a 
minimum, incorporate the following events:  

(a) 

(b) 

severe deterioration in the seller credit quality standing;  

seller default or insolvency; and 

(c)  unremedied breaches of contractual obligations by the seller. 

The  seller  shall  provide  representations  and  warranties  that,  to  the  best  of  its 
knowledge,  the  underlying  exposures  included  in  the  securitisation  are  not 
encumbered  or  otherwise  in  a  condition  that  can  be  foreseen  to  adversely  affect 
enforceability of the sale or assignment. 

EN 

36 

   EN 

 
 
 
3. 

4. 

5. 

6. 

The  underlying  exposures  transferred  from  the  seller  to  the  SSPE  shall  meet 
predetermined  and  clearly  defined  eligibility  criteria  which  do  not  allow  for  active 
portfolio management of those exposures on a discretionary basis. 

The  securitisation  shall  be  backed  by  a  pool  of  underlying  exposures  that  are 
homogeneous in terms of asset type. The underlying exposures shall be contractually 
binding  and  enforceable  obligations  with  full  recourse  to  debtors,  with  defined 
periodic payment streams relating to rental, principal, interest payments, or related to 
any  other  right  to  receive  income  from  assets  warranting  such  payments.  The 
underlying exposures shall not include transferable securities, as defined in Directive 
2014/65/EU. 

The underlying exposures shall not include securitisations. 

The  underlying  exposures  shall  be  originated  in  the  ordinary  course  of  the 
originator’s or the original lender's business pursuant to underwriting standards that 
are  no  less  stringent  than  those  that  the  originator  or  the  original  lender  applies  to 
origination  of  similar  exposures  that  are  not  securitised.  Material  changes  in 
underwriting standards shall be fully disclosed to potential investors. In the case of 
securitisations where the underlying exposures are residential loans, the pool of loans 
shall not include any loan that was marketed and underwritten on the premise that the 
loan  applicant  or,  where  applicable  intermediaries,  were  made  aware  that  the 
information  provided  might  not  be  verified  by  the  lender.  The  assessment  of  the 
borrower's creditworthiness shall meet the requirements set out in paragraphs 1 to 4, 
5(a), and 6 of Article 18 of Directive 2014/17/EU of the European Parliament and of 
the Council or of Article 8 of Directive 2008/48/EC of the European Parliament and 
of  the  Council  or  equivalent  requirements  in  third  countries.  The  originator  or 
original  lender  shall  have  expertise  in  originating  exposures  of  a  similar  nature  to 
those securitised. 

7. 

The  underlying  exposures,  at  the  time  of  transfer  to  the  SSPE,  shall  not  include 
exposures  in  default  within  the  meaning  of  Article  178(1)  of  Regulation  (EU)  No 
575/2013  or  exposures  to  a  credit-impaired  debtor  or  guarantor,  who,  to  the  best 
knowledge of the originator or original lender: 

(a)  has  declared  insolvency,  agreed  with  his  creditors  to  a  debt  dismissal  or 
reschedule or had a court grant his creditors a right of enforcement or material 
damages as a result of a missed payment within three years prior to the date of 
origination; 

(b) 

is on an official registry of persons with adverse credit history; 

(c)  has a credit assessment or a credit score indicating that the risk of contractually 
agreed payments not be made is significantly higher than for the average debtor 
for this type of loans in the relevant jurisdiction. 

The  debtors  or  the  guarantors  shall  have,  at  the  time  of  transfer  of  the  exposures, 
made  at  least  one  payment,  except  in  case  of  revolving  securitisations  backed  by 
personal  overdraft  facilities,  credit  card  receivables,  trade  receivables  and  dealer 
floorplan finance loans or exposures payable in a single instalment. 

The  repayment  of  the  holders  of  the  securitisation  positions  shall  not  depend, 
substantially, on the sale of assets securing the underlying exposures. This shall not 
prevent such assets from being subsequently rolled-over or refinanced. 

8. 

9. 

EN 

37 

   EN 

 
Article 9 

1. 

2. 

3. 

4. 

Requirements relating to standardisation 

The  originator,  sponsor  or  the  original  lender  shall  satisfy  the  risk  retention 
requirement in accordance with Article 4 of this Regulation. 

Interest rate and currency risks arising from the securitisation shall be mitigated and 
the measures taken to that effect shall be disclosed. The underlying exposures shall 
not include derivatives, unless for the purpose of hedging currency risk and interest 
rate  risk.  Those  derivatives  shall  be  underwritten  and  documented  according  to 
common standards in international finance. 

Any referenced interest payments under the securitisation assets and liabilities shall 
be  based  on  generally  used  market  interest  rates  and  shall  not  reference  complex 
formulae or derivatives. 

Where the securitisation has been set up without a revolving period or the revolving 
period has terminated and where an enforcement or an acceleration notice has been 
delivered, no substantial amount of cash shall be trapped in the SSPE and principal 
receipts  from  the  underlying  exposures  shall  be  passed  to  investors  via  sequential 
amortisation  of  the  securitisation  positions,  as  determined  by  the  seniority  of  the 
securitisation  position.  Repayment  of  the  securitisation  positions  shall  not  be 
reversed  with  regard  to  their  seniority  and  performance-related  triggers  shall  be 
included in transactions which feature non-sequential priority of payments, including 
at  least  the  deterioration  in  the  credit  quality  of  the  underlying  exposures  below  a 
pre-determined  threshold.  There  shall  be  no  provisions  requiring  automatic 
liquidation of the underlying exposures at market value. 

5. 

The transaction documentation shall include appropriate early amortisation events or 
triggers for termination of the revolving period where the securitisation has been set 
up with a revolving period, including at least the following: 

(a) 

(b) 

(c) 

(d) 

a deterioration in the credit quality of the underlying exposures to or below a 
pre-determined threshold; 

the occurrence  of an insolvency-related event with  regard  to the originator  or 
the servicer; 

the  value  of  the  underlying  exposures  held  by  the  SSPE  falls  below  a  pre-
determined threshold (early amortisation event); 

a  failure  to  generate  sufficient  new  underlying  exposures  that  meet  the  pre-
determined credit quality (trigger for termination of the revolving period). 

6. 

The transaction documentation shall clearly specify: 

(a) 

the  contractual  obligations,  duties  and  responsibilities  of  the  servicer  and  its 
management  team,  who  shall  have  expertise  in  servicing  the  underlying 
exposures,  and,  where  applicable,  of  the  trustee  and  other  ancillary  service 
providers; 

(b) 

the  processes  and  responsibilities  necessary  to  ensure  that  a  default  or 
insolvency of the servicer does not result in a termination of servicing; 

(c)  provisions  that  ensure  the  replacement  of  derivative  counterparties,  liquidity 
providers  and  the  account  bank  upon  their  default,  insolvency,  and  other 
specified events, where applicable. 

EN 

38 

   EN 

 
7. 

8. 

1. 

2. 

3. 

4. 

Policies,  procedures  and  risk  management  controls  shall  be  well  documented  and 
effective systems shall be in place. 

The  transaction  documentation  shall  include  definitions,  remedies  and  actions 
relating  to  delinquency  and  default  of  debtors,  debt  restructuring,  debt  forgiveness, 
forbearance,  payment  holidays,  losses,  charge  offs,  recoveries  and  other  asset 
performance remedies in clear and consistent terms. That documentation shall clearly 
specify the payment priority, triggers, changes in payment priority following trigger 
events  as  well  as  the  obligation  to  report  such  events.  Any  change  in  the  payment 
priority shall be reported at the time of its occurrence. 

The transaction documentation shall include clear provisions that facilitate the timely 
resolution  of  conflicts  between  different  classes  of  investors,  voting  rights  shall  be 
clearly defined and allocated to noteholders and the responsibilities of the trustee and 
other entities with fiduciary duties to investors shall be clearly identified. 

Article 10 

Requirements relating to transparency 

The originator, sponsor, and SSPE shall provide access to data on static and dynamic 
historical  default  and  loss  performance,  such  as  delinquency  and  default  data,  for 
substantially  similar  exposures  to  those  being  securitised  to  the  investor  before 
investing. Those data shall cover a period no shorter than seven years for non-retail 
exposures and five years for retail exposures. The basis for claiming similarity shall 
be disclosed. 

A sample of the underlying exposures shall be subject to external verification prior to 
issuance  of  the  securities  resulting  from  the  securitisation  by  an  appropriate  and 
independent  party,  including  verification  that  the  data  disclosed  in  respect  of  the 
underlying exposures is accurate, with a confidence level of 95%. 

The originator or sponsor shall provide a liability cash flow model to investors, both 
before the pricing of the securitisation and on an ongoing basis. 

The  originator,  sponsor  and  SSPE  shall  be  jointly  responsible  for  compliance  with 
Article 5 of this Regulation and shall make all information required by Article 5(1) 
(a) available to potential investors before pricing. The originator, sponsor and SSPE 
shall  make  the  information  required  by  Article  5  (1)  (b)  to  (e)  available  before 
pricing at least in draft or initial form, where permissible under Article 3 of Directive 
2003/71/EC.  The  originator,  sponsor  and  SSPE  shall  make  the  final  documentation 
available to investors at the latest 15 days after closing of the transaction. 

EN 

39 

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SECTION 2 

REQUIREMENTS FOR ABCP SECURITISATION 

Article 11 

Simple, transparent and standardised ABCP Securitisations securitisation 

ABCP securitisations shall be considered 'STS' where the ABCP programme complies with 
the requirements in Article 13 of this Regulation and all transactions within that ABCP 
programme fulfil the requirements in Article 12. 

1. 

2. 

3. 

4. 

5. 

Article 12 

Transaction level requirements 

A transaction within an ABCP programme shall meet the requirements of Section 1 
of this Chapter, except for Articles 7, Article 8 (4) and (6), Article 9 (3), (4), (5), (6) 
and  (8)  and  Article  10  (3).  For  the  purposes  of  this  Section,  the  terms  "originator" 
and "original lender" under Article 8(7) shall be considered the seller. 

Transactions  within  an  ABCP  programme  shall  be  backed  by  a  pool  of  underlying 
exposures  that  are  homogeneous  in  terms  of  asset  type  and  shall  have  a  remaining 
weighted  average  life  of  no  more  than  two  years  and  none  shall  have  a  residual 
maturity of longer than three years. The underlying exposures shall not include loans 
secured by residential or commercial mortgages or fully guaranteed residential loans, 
as referred to in paragraph 1(e) of Article 129 of Regulation (EU) No 575/2013. The 
underlying exposures shall contain contractually binding and enforceable obligations 
with  full  recourse  to  debtors  with  defined  payment  streams  relating  to  rental, 
principal,  interest,  or  related  to  any  other  right  to  receive  income  from  assets 
warranting  such  payments.  The  underlying  exposures  shall  not  include  transferable 
securities, as defined in Directive 2014/65/EU. 

Any  referenced  interest  payments  under  the  securitisation  transaction's  assets  and 
liabilities  shall  be  based  on  generally  used  market  interest  rates,  but  shall  not 
reference complex formulae or derivatives. 

Following the seller’s default or an acceleration event, no substantial amount of cash 
shall  be  trapped  in  the  SSPE  and  principal  receipts  from  the  underlying  exposures 
shall be passed to investors holding a securitisation position via sequential payment 
of  the  securitisation  positions,  as  determined  by  the  seniority  of  the  securitisation 
position.  There  shall  be  no  provisions  requiring  automatic  liquidation  of  the 
underlying exposures at market value. 

The  underlying  exposures  shall  be  originated  in  the  ordinary  course  of  the  seller's 
business pursuant to underwriting standards that are no less stringent than those that 
the seller applies to origination of similar exposures that are not securitised. Material 
changes  in  underwriting  standards shall  be  fully  disclosed to  potential  investors.  In 
the case of securitisations where the underlying exposures are residential loans, the 
pool of loans shall not include any loan that was marketed and underwritten on the 
premise that the loan applicant or, where applicable intermediaries, were made aware 

EN 

40 

   EN 

 
that  the  information  provided  might  not  be  verified  by  the  lender.  The  seller  shall 
have expertise in originating exposures of a similar nature to those securitised. 

6. 

The transaction documentation shall include triggers for termination of the revolving 
period, including at least the following: 

(a) 

(b) 

(c) 

a deterioration in the credit quality of the underlying exposures to or below a 
pre-determined threshold; 

the  occurrence  of  an  insolvency-related  event  with  regard  to  the  seller  or  the 
servicer. 

a  failure  to  generate  sufficient  new  underlying  exposures  that  meet  the  pre-
determined credit quality; 

7. 

The transaction documentation shall clearly specify: 

(a) 

the  contractual  obligations,  duties  and  responsibilities  of  the  sponsor,  the 
servicer  and  its  management  team  who  shall  have  expertise  in  servicing  the 
underlying  exposures,  and,  where  applicable,  the  trustee  and  other  ancillary 
service providers; 

(b) 

the  processes  and  responsibilities  necessary  to  ensure  that  a  default  or 
insolvency of the servicer does not result in a termination of servicing; 

(c)  provisions  that  ensure  the  replacement  of  derivative  counterparties  and  the 
account  bank  upon  their  default,  insolvency  or  other  specified  events,  where 
applicable; 

(d)  The sponsor shall perform its own due diligence and verify that the seller meets 
sound  underwriting  standards,  servicing  capabilities  and  collection  processes 
that  meet the  requirements  specified in  points (i) to  (m)  of  Article 259 (3) of 
Regulation (EU) No 575/2013 or equivalent requirements in third countries. 

Policies,  procedures  and  risk  management  controls  shall  be  well  documented  and 
effective systems shall be in place. 

Article 13 

Programme level requirements 

1. 

2. 

3. 

4. 

All transactions within an ABCP programme shall fulfil the requirements of Article 
12 of this Regulation. 

The  originator,  sponsor  or  the  original  lender  shall  satisfy  the  risk  retention 
requirement in accordance with Article 4 of this Regulation.  

The  ABCP  programme  shall  not  be  a  re-securitisation  and  the  credit  enhancement 
shall not establish a second layer of tranching at the programme level. 

The sponsor of the ABCP programme shall be a credit institution supervised under 
Directive  2013/36/EU.  The  sponsor  shall  be  a  liquidity  facility  provider  and  shall 
support all securitisation positions at transaction level within the ABCP programme 
and  cover  all  liquidity  and  credit  risks  and  any  material  dilution  risks  of  the 
securitised  exposures  as  well  as  any  other  transaction  costs  and  programme-wide 
costs. 

EN 

41 

   EN 

 
 
5. 

6. 

The  securities  issued  by  an  ABCP  programme  shall  not  include  call  options, 
extension clauses or other clauses that have an effect on their final maturity. 

Interest rate and currency risks arising at ABCP programme level shall be mitigated 
and  the  measures  taken  to  that  effect  shall  be  disclosed.  Derivatives  shall  only  be 
used  at  programme  level  for  the  purpose  of  hedging  currency  risk  and  interest  rate 
risk.  Such  derivatives  shall  be  documented  according  to  common  standards  in 
international finance. 

7. 

The documentation relating to the programme shall clearly specify: 

(a) 

the  responsibilities  of  the  trustee  and  other  entities  with  fiduciary  duties  to 
investors; 

(b)  provisions that facilitate the timely resolution of conflicts between the sponsor 

and the holders of securitisation positions; 

(c) 

contractual  obligations,  duties  and  responsibilities  of  the  sponsor,  and  its 
management team, who shall have expertise in credit underwriting, trustee and 
other ancillary service providers; 

(d) 

 processes and responsibilities necessary to ensure that a default or insolvency 
of the servicer does not result in a termination of servicing; 

(e)  provisions  for  replacement  of  derivative  counterparties,  and  the  account  bank 
at  ABCP  programme  level  upon  their  default,  insolvency  and  other  specified 
events, where applicable. 

(f) 

that upon specified events, default or insolvency of the sponsor remedial steps 
shall be provided for to achieve, as appropriate, collateralisation of the funding 
commitment  or  replacement  of  the  liquidity  facility  provider.  In  case  the 
liquidity  facility  provider  does  not  renew  the  funding  commitment  within  30 
days  of  its  expiry,  the  liquidity  facility  shall  be  drawn  down,  the  maturing 
securities shall be repaid and the transactions shall cease to purchase exposures 
while amortising the existing underlying exposures. 

Policies,  procedures  and  risk  management  controls  shall  be  well  documented  and 
effective systems shall be in place. 

The  originator,  sponsor  and  SSPE  shall  be  jointly  responsible  for  compliance  at 
ABCP  programme  level  with  Article  5  of  this  Regulation  and  shall  make  all 
information  required  by  Article  5(1)  (a)  available  to  potential  investors  before 
pricing.  The  originator,  sponsor  and  SSPE  shall  make  the  information  required  by 
Article 5 (1) (b) to (e) available before pricing at least in draft or initial form, where 
permissible  under  Article  3  of  Directive  2003/71/EC.  The  originator,  sponsor  and 
SSPE shall make the final documentation available to investors at the latest 15 days 
after closing of the transaction 

Article 14 

STS notification and due diligence 

Originators,  sponsors  and  SSPE's  shall  jointly  notify  ESMA  by  means  of  the 
template  referred  to  in  paragraph  5  of  this  Article  that  the  securitisation  meets  the 
requirements  of  Articles  7  to  10  or  Articles  11  to  13  of  this  Regulation  ('STS 
notification').  ESMA  shall  publish  the  STS  notification  on  its  official  website 

8. 

1. 

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42 

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pursuant  to  paragraph  4.  They  shall  also  inform  their  competent  authority.  The 
originator, sponsor and SSPE of a securitisation shall designate amongst themselves 
one entity to be the first contact point for investors and competent authorities. 

2. 

Where the originator or original lender is not a credit institution or investment firm 
as  defined  in  Article  4  (1)  points  (1)  and  (2)  of  Regulation  No  575/2013  the 
notification pursuant to paragraph 1 shall be accompanied by the following: 

3. 

4. 

5. 

(a) 

confirmation by the originator or original lender that its credit-granting is done 
on  the  basis  of  sound  and  well-defined  criteria  and  clearly  established 
processes for approving, amending, renewing and financing credits and that the 
originator  or  original  lender  has  effective  systems  in  place  to  apply  such 
processes. 

(b) 

a  declaration  on  whether  the  elements  mentioned  in  subparagraph  (a)  are 
subject to supervision. 

The  originator,  sponsor  and  SSPE  shall  immediately  notify  ESMA  and  their 
competent authority when a securitisation no longer meets the requirements of either 
Articles 7 to 10 or Articles 11 to 13 of this Regulation. 

ESMA shall maintain a list of all securitisations for which the originators, sponsors 
and  SSPEs  have  notified  that  they  meet  the  requirements  of  Articles  7  to  10  or 
Articles  11 to  13  of  this  Regulation  on  its  official  website.  ESMA  shall  update  the 
list where the securitisations are no longer considered to be STS following a decision 
of competent authorities or a notification by the originator, sponsor or SSPE. Where 
the competent authority has  imposed administrative sanctions or remedial measures 
in  accordance  with  Article  17,  it  shall  immediately  notify  ESMA  thereof.  ESMA 
shall  immediately  indicate  on  the  list  that  a  competent  authority  has  imposed 
administrative  sanctions  or  remedial  measures  in  relation  to  the  securitisation 
concerned. 

ESMA,  in  close  cooperation  with  EBA  and  EIOPA,  shall  develop  draft  regulatory 
technical standards that specify the information that the originator, sponsor and SSPE 
provide  to  comply  with  their  obligations  under  paragraph  1  and  shall  provide  the 
format by means of standardised templates. 

ESMA shall submit those draft regulatory technical standards to the Commission by 
[twelve months after entry into force of this Regulation]. 

Power  is  delegated  to  the  Commission  to  adopt  the  regulatory  technical  standards 
referred to in this paragraph in accordance with the procedure laid down in Articles 
10 to 14 of Regulation (EU) No 1095/2010. 

Chapter 4 

Supervision  

Article 15 

Designation of competent authorities 

EN 

43 

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1. 

Compliance  with  the  obligations  set  out  in  Article  3  of  this  Regulation  shall  be 
ensured  by  the  following  competent  authorities  in  accordance  with  the  powers 
granted by the relevant legal acts: 

(a) 

(b) 

(c) 

(d) 

(e) 

for insurance and reinsurance undertakings, the competent authority designated 
according to Article 13 (10) of Directive 2009/138/EC; 

for alternative investment fund managers, the competent authority responsible 
designated according to Article 44 of Directive 2011/61/EU; 

for  UCITS  and  UCITS  management  companies,  the  competent  authority 
designated according to Article 97 of Directive 2009/65/EC; 

for  institutions  for  occupational  retirement  provision,  the  competent  authority 
designated according to Article 6 (g) of Directive 2003/41/EC; 

for credit institutions or investments firms, the competent authority designated 
according  to  Article  4  of  Directive  2013/36/EU,  including  the  ECB  in 
accordance with Council Regulation (EU) No 1024/2013. 

Competent authorities responsible for the supervision of sponsors in accordance with 
Article  4  of  Directive  2013/36/EU,  including  the  ECB  in  accordance  with  Council 
Regulation  (EU)  No  1024/2013,  shall  ensure  that  sponsors  comply  with  the 
obligations set out in Articles 4 to 14 of this Regulation. 

Where originators, original lenders and SSPEs are supervised entities in accordance 
with Directive 2013/36/EU, Regulation (EU) No 1024/2013, Directive 2009/138/EC, 
Directive 2003/41/EC, Directive 2011/61/EU or Directive 2009/65/EC, the relevant 
competent  authorities  designated  according  to  those  acts,  including  the  ECB  in 
accordance  with  Council  Regulation  (EU)  No  1024/2013,  shall  ensure  compliance 
with the obligations set out in Articles 4 to 14 of this Regulation. 

For  entities  not  covered  by  the  Union  legislative  acts  referred  to  in  paragraph  3, 
Member  States  shall  designate  one  or  more  competent  authority  to  ensure 
compliance with Articles 4 to 14 of this Regulation. Member States shall inform the 
Commission,  ESMA,  EBA  and  EIOPA  and  the  competent  authorities  of  other 
Member  States  of  the  designation  of  competent  authorities  pursuant  to  this 
paragraph. 

ESMA  shall  publish  and  keep  up-to-date  on  its  website  a  list  of  the  competent 
authorities referred to in this Article. 

Article 16 

Powers of the competent authorities 

Each  Member  State  shall  ensure  that  the  competent  authority,  designated  in 
accordance  with  Article  15  (2)  to  (4)  has  the  supervisory,  investigatory  and 
sanctioning powers necessary to fulfil its duties under this Regulation. 

The  competent  authority  shall  regularly  review  the  arrangements,  process  and 
mechanisms  implemented  by  originators,  sponsors,  SSPE's  and  original  lenders  to 
comply with this Regulation. 

Competent authorities shall ensure that risks arising from securitisation transactions, 
including reputational risks, are evaluated and addressed through appropriate policies 
and procedures of originators, sponsors, SSPE's and original lenders.  

2. 

3. 

4. 

5. 

1. 

2. 

3. 

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44 

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Article 17 

Administrative sanctions and remedial measures 

1. 

Without prejudice to the right for Member States to provide for and impose criminal 
sanctions  pursuant  to  Article  19  of  this  Regulation,  Member  States  shall  lay  down 
rules  establishing  appropriate  administrative  sanctions  and  remedial  measures 
applicable to situations where: 

(a) 

(b) 

(c) 

an originator, sponsor or original lender has failed to meet the requirements of 
Article 4; 

an  originator,  sponsor  and  SSPE  have  failed  to  meet  the  requirements  of 
Article 5; 

an  originator,  sponsor  and  SSPE  have  failed  to  meet  the  requirements  of 
Articles 7 to 10 or Articles 11 to 13 of this Regulation . 

Member  States  shall  also  ensure  that  administrative  sanctions  and/or  remedial 
measures are effectively implemented. 

2. 

Those  sanctions  and  measures  shall  be  effective,  proportionate  and  dissuasive  and 
shall include, at least the following: 

(a) 

(b) 

(c) 

(d) 

a  public  statement,  which  indicates  the  identity  of  the  natural  or  legal  person 
and the nature of the infringement in accordance with Article 22; 

an order requiring the natural or legal person to cease the conduct and to desist 
from a repetition of that conduct; 

a  temporary  ban  against  any  member  of  the  originator's,  sponsor's  or  SSPE's 
management  body  or  any  other  natural  person,  who  is  held  responsible,  to 
exercise management functions in such undertakings; 

in case of the infringement referred to in the paragraph 1 (c) of this Article a 
temporary  ban  for  the  originator,  sponsor  and  SSPE  to  self-attest  that  a 
securitisation meets the requirements set out in Articles 7 to 10 or Articles 11 
to 13 of this Regulation; 

(e)  maximum  administrative  fines  of  at  least  EUR  5  000  000,  or  in  the  Member 
States whose currency is not the euro, the corresponding value in the national 
currency on [date of entry into force of this Regulation] 

(f) 

or in the case of a legal person, the maximum administrative fines referred to in 
point  (e)  or  of  up  to  10  %  of  the  total  annual  turnover  of  the  legal  person 
according  to  the  last  available  accounts  approved  by  the  management  body; 
where  the  legal  person  is  a  parent  undertaking  or  a  subsidiary  of  the  parent 
undertaking  which  has 
in 
accordance with Directive 2013/34/EU, the relevant total annual turnover shall 
be the total annual turnover or the corresponding type of income in accordance 
with  the  relevant  accounting  legislative  acts  according  to  the  last  available 
consolidated  accounts  approved  by  the  management  body  of  the  ultimate 
parent undertaking; 

to  prepare  consolidated  financial  accounts 

(g)  maximum  administrative  fines  of  at  least  twice  the  amount  of  the  benefit 
derived  from  the  infringement  where  that  benefit  can  be  determined,  even  if 
that exceeds the maximum amounts in points (e) and (f). 

EN 

45 

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3. 

4. 

1. 

2. 

Where  the  provisions  referred  to  in  the  first  paragraph  apply  to  legal  persons, 
Member States shall also ensure that  competent authorities apply the administrative 
sanctions  and  remedial  measures  set  out  in  paragraph  2  to  members  of  the 
management body, and to other individuals who under national law are responsible 
for the infringement. 

Member  States  shall  ensure  that  any  decision  imposing  administrative  sanctions  or 
remedial measures set out in paragraph 2 is properly reasoned and is subject to the 
right of appeal before a tribunal. 

Article 18 

Exercise  of  the  power  to  impose  administrative  sanctions  and  remedial 

measures 

Competent  authorities  shall  exercise  the  powers  to  impose  administrative  sanctions 
and remedial measures referred to in Article 17 of this Regulation in accordance with 
their national legal frameworks: 

(a)  directly; 

(b) 

in collaboration with other authorities; 

(c)  by application to the competent judicial authorities. 

Competent  authorities,  when  determining  the  type  and  level  of  an  administrative 
sanction or remedial measure imposed under Article 17 of this Regulation, shall take 
into account all relevant circumstances, including, where appropriate: 

(a) 

(b) 

(c) 

(d) 

(e) 

(f) 

the materiality, gravity and the duration of the infringement; 

the  degree  of  responsibility  of  the  natural  or  legal  person  responsible  for  the 
infringement; 

the financial strength of the responsible natural or legal person, as indicated in 
particular  by  the  total  turnover  of  the  responsible  legal  person  or  the  annual 
income and net assets of the responsible natural person; 

the importance of profits gained or losses avoided by the responsible natural or 
legal person, insofar as they can be determined; 

the losses for third  parties caused  by the infringement, insofar as  they can  be 
determined; 

he  level  of  cooperation  of  the  responsible  natural  or  legal  person  with  the 
competent  authority,  without  prejudice  to  the  need  to  ensure  disgorgement  of 
profits gained or losses avoided by that person; 

(g)  previous infringements by the responsible natural or legal person. 

Article 19 

Provision of criminal sanctions 

1. 

2. 

Member  States  may  decide  not  to  lay  down  rules  for  administrative  sanctions  or 
remedial  measures  for  infringements  which  are  subject  to  criminal  sanctions  under 
their national law. 

Where  Member  States  have  chosen,  in  accordance  with  paragraph  1,  to  lay  down 
criminal sanctions for the infringement referred to Article 17 (1) of this Regulation, 

EN 

46 

   EN 

 
they shall ensure that appropriate measures are in place so that competent authorities 
have all the necessary powers to liaise with judicial, prosecuting, or criminal justice 
authorities within their jurisdiction to receive specific information related to criminal 
investigations or proceedings commenced for the infringements referred to in Article 
17  (1),  and  to  provide  the  same  information  to  other  competent  authorities  and 
ESMA;  EBA  and  EIOPA  to  fulfil  their  obligation  to  cooperate  for  the  purposes  of 
this Regulation. 

Article 20 

Notification duties 

Member States shall notify the laws, regulations and administrative provisions implementing 
this  Chapter,  including  any  relevant  criminal  law  provisions,  to  the  Commission,  ESMA, 
EBA and EIOPA by [one year after entry into force of this Regulation]. Member States shall 
notify  the  Commission,  ESMA,  EBA  and  EIOPA  without  undue  delay  of  any  subsequent 
amendments thereto. 

Cooperation between competent authorities and the European Supervisory Authorities 

Article 21 

1. 

2. 

3. 

4. 

5. 

6. 

The  competent  authorities  referred  to  in  Article  15  of  this  Regulation  and  ESMA, 
EBA and EIOPA shall cooperate closely with each other and exchange information 
to    carry  out  their  duties  pursuant  to  Article  16  to  19,  in  particular  to  identify  and 
remedy infringements of this Regulation. 

Competent  authorities  may  also  cooperate  with  competent  authorities  of  third 
country  authorities  with  respect  to  the  exercise  of  their  sanctioning  powers  and  to 
facilitate the recovery of pecuniary sanctions. 

Where  a  competent  authority  finds  that  this  Regulation  has  been  infringed  or  has 
reason  to  believe  so,  it  shall  inform  the  competent  supervisor  of  the  originator, 
sponsor,  original  lender,  SSPE  or  investor  of  its  findings  in  a  sufficient  detailed 
manner.  The  competent  authorities  concerned  shall  closely  coordinate  their 
supervision and ensure consistent decisions. 

Where  the  infringement  referred  to  in  paragraph  3  concerns,  in  particular,  an 
incorrect or misleading notification pursuant to Article 14 (1) of this Regulation, the 
competent authority finding that infringement shall also notify without delay ESMA, 
EBA and EIOPA of its findings. 

Upon reception of the information referred to in paragraph 3, the competent authority 
shall take any necessary action to address the infringement identified and notify the 
other  competent  authorities  concerned,  in  particular  those  of  the  originator,  the 
sponsor,  SSPE  and  the  competent  authorities  of  the  holder  of  a  securitisation 
position,  when  known.  In  case  of  disagreement  between  the  competent  authorities, 
the  matter  may  be  referred  to  ESMA  and  the  procedure  of  Article  19  and,  where 
applicable, Article 20 of Regulation (EU) No 1095/2010 shall apply. 

ESMA  shall,  in  close  cooperation  with  EBA  and  EIOPA,  develop  draft  regulatory 
technical standards to specify the general cooperation obligation and the information 
to  be  exchanged  under  paragraph  1  and  the  notification  obligations  pursuant  to 
paragraph (3) and (4). 

EN 

47 

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ESMA shall, in close cooperation with EBA and EIOPA submit those draft regulatory 
technical standards to the Commission [twelve months after entry into force of this 
Regulation]. 

Power  is  delegated  to  the  Commission  to  adopt  the  regulatory  technical  standards 
referred  to  in  the  first  subparagraph  in  accordance  with  Articles  10  to  14  of 
Regulations (EU) No 1095/2010. 

Article 22 

Publication of administrative sanctions and remedial measures 

Member States shall ensure  that competent authorities publish without undue delay 
on  their  official  websites  any  decision  imposing  an  administrative  sanction  or 
remedial measure for infringement of Articles 4, 5 or 14 (1) of this Regulation after 
the  addressee  of  the  sanction  or  measure  of  the  sanction  or  measure    has  been 
notified  of that decision. 

The publication referred to in paragraph 1 shall include  information on the type and 
nature  of  the  infringement  and  the  identity  of  the  persons  responsible  and  the 
sanctions or measures imposed. 

Where the publication of the identity, in case of legal persons, or the identityand the 
personal data, in the case of natural persons is considered by the competent authority 
to be disproportionate following a case-by-case assessment, or where the competent 
authority considers that the publication jeopardises the stability of financial markets 
or an on-going investigation, Member States shall ensure that competent authorities  
either: 

(a)  defer  the  publication  of  the  decision  imposing  the  administrative  sanction  or 
remedial  measure  until  the  moment  where  the  reasons  for  non-publication 
cease to exist; or 

(b)  publish  the  decision  imposing    the  administrative  sanction  or  remedial, 
omitting  for  a  reasonable  period  of  time  the  identity  and  personal  data of  the 
addressee, if it is envisaged that within that period the reasons for anonymous 
publication shall cease to exist and provided that such anonymous publication 
ensures an effective protection of the personal data concerned; or 

(c) 

 not  publish  at  all  the  decision  to  impose  the  administrative  sanction  or 
remedial measure  in the event that the options set out in points (a) and (b) are 
considered to be insufficient to ensure: 

(i) 

that the stability of financial markets would not be put in jeopardy; 

(ii) 

the  proportionality  of  the  publication  of  such  decisions  with  regard  to 
measures which are deemed to be of a minor nature. 

In the case of a decision to publish a sanction or measure on an anonymous basis, the 
publication  of  the  relevant  data  may  be  postponed  Where  a  decision  imposing  an 
administrative  sanction  or  remedial  measure  is  subject  to  an  appeal  before  the 
relevant  judicial  authorities,  competent  authorities  shall  also  immediately  add  on 
their  official  website  that    information  and  any  subsequent  information  on  the 
outcome  of  such  appeal.  Any  judicial  decision  annulling  a  decision  imposing  an 
administrative sanction or a remedial measure shall also be published. 

1. 

2. 

3. 

4. 

EN 

48 

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5. 

6. 

7. 

Competent authorities shall ensure that any publication referred to in paragraphs 1 to 
4    shall  remain  on  their  official  website  for  at  least  five  years  after  its  publication. 
Personal data contained in the publication shall only be kept on the official website 
of the competent authority for the period which is necessary in accordance with the 
applicable data protection rules. 

Competent  authorities  shall  inform  ESMA,  EBA  and  EIOPA  of  all  administrative 
sanctions and remedial measures imposed, including, where appropriate, any appeal 
in  relation  thereto  and  the  outcome  thereof.  Member  States  shall  ensure  that 
competent authorities receive information and the final judgement in relation to any 
criminal sanction imposed and submit it to ESMA, EBA or EIOPA.  

ESMA, EBA and EIOPA shall jointly maintain a central database of administrative 
sanctions and remedial measures communicated to them. That database shall be only 
accessible  to  competent  authorities  and  shall  be  updated  on  the  basis  of  the 
information provided by the competent authorities in accordance with paragraph 6. 

EN 

49 

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TITLE III 

AMENDMENTS 

Article 23 

Amendment to Directive 2009/65/EC 

Article 50a of Directive 2009/65/EC is repealed 

Article 24 

Amendment to Directive 2009/138/EC 

Directive 2009/138/EC is amended as follows: 

(1) 

in Article 135, paragraphs 2 and 3 are replaced by the following 

"2. The Commission shall adopt delegated acts in accordance with Article 301a 
laying  down  the  specifications  for  the  circumstances  under  which  a 
proportionate additional capital charge may be imposed when the requirements 
laid down in Articles 3 and 4 of Regulation [the securitisation Regulation] have 
been breached, without prejudice to Article 101(3). 

3.  In  order  to  ensure  consistent  harmonisation  in  relation  to  paragraph  2, 
EIOPA  shall,  subject  to  Article  301b,  develop  draft  regulatory  technical 
standards  to  specify  the  methodologies  for  the  calculation  of  a  proportionate 
additional capital charge referred to therein. 

Power  is  delegated  to  the  Commission  to  adopt  the  regulatory  technical 
standards referred to in the first subparagraph in accordance with Articles 10 to 
14 of Regulation (EU) No 1094/2010." 

(2)  Article 308b(11) is repealed. 

Amendment to Regulation (EC) No 2009/1060 

Regulation (EC) No 2009/1060 is amended as follows: 

Article 25 

(1) 

(2) 

In recitals 22 and 41, in Articles 8c and in Annex II, point 1, "structured 
finance instrument" is replaced by "securitisation instrument".  

In recitals 34 and 40, in Articles 8(4), 8c, 10(3), 39(4) as well as in Annex I, 
section A, point 2, paragraph 5, Annex I, section B, point 5, Annex II (title and 
point  2),  Annex  III,  Part  I,  points  8,  24  and  45,  Annex  III,  Part  III,  point  8, 
"structured finance instruments" is replaced by "securitisation instruments".  

(3) 

in Article 1 the second subparagraph is replaced by the following 

"This  Regulation  also  lays  down  obligations  for  issuers  and  related  third 
parties established in the Union regarding securitisation instruments." 

(4) 

in Article 3, point (l) is replaced by the following: 

EN 

50 

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"(l)  ‘securitisation  instrument’  means  a  financial  instrument  or  other  assets 
resulting from a securitisation transaction or scheme referred to in Article 2 (1) 
of Regulation [this Regulation];" 

Article 26 

Amendment to Directive 2011/61/EU 

Article 17 of Directive 2011/61/EU is repealed 

Article 27 

Amendment to Regulation (EU) 648/2012 

Regulation 648/2012/EU is amended as follows: 

(1) 

in Article 2 points 30 and 31 are added: 

"(30) “covered bond” means a bond meeting the requirements of Article 129 of 
Regulation (EU) No 575/2013." 

(31) “covered bond entity” means the covered bond issuer or cover pool of a 
covered bond." 

(2) 

in Article 4 the following paragraphs 5 and 6 are added: 

"5.  Article  4(1)  shall  not  apply  with  respect  to  OTC  derivative  contracts  that 
are concluded by covered bond entities in connection with a covered bond, or 
by a Securitisation Special Purpose Entity in connection with a securitisation, 
within the meaning of Regulation [the Securitisation Regulation] provided that: 

(a)  in  the  case  of  Securitisation  Special  Purpose  Entities,  the  Securitisation 
Special  Purpose  Entity  shall  solely  issue  securitisations  that  meet  the 
requirements  of  Articles  7  to  10  or  Articles  11  to  13  and  Article  6  of 
Regulation [the Securitisation Regulation]; 

(b) the OTC derivative contract is used only to hedge interest rate or currency 
mismatches under the covered bond or securitisation; and 

(c)  the  arrangements  under  the  covered  bond  or  securitisation  adequately 
mitigate  counterparty  credit  risk  with  respect  to  the  OTC  derivative  contracts 
concluded by the covered bond entity or Securitisation Special Purpose Entity 
in connection with the covered bond or securitisation. 

6.  In  order  to  ensure  consistent  application  of  this  Article,  and  taking  into 
account the need to prevent regulatory arbitrage, the ESAs shall develop draft 
regulatory  technical  standards  specifying  criteria  for  establishing  which 
arrangements  under  covered  bonds  or  securitisations  adequately  mitigate 
counterparty credit risk, within the meaning of paragraph 5. 

The  ESAs  shall  submit  those  draft  regulatory  technical  standards  to  the 
Commission by [six months after entry into force of this Regulation]. 
Power  is  delegated  to  the  Commission  to  adopt  the  regulatory  technical 
standards referred to in the first subparagraph in accordance with Articles 10 to 
14 of Regulation (EU) No 1095/2010." 

(3) 

in Article 11 paragraph 15 is replaced by the following: 

EN 

51 

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"15.  In  order  to  ensure  consistent  application  of  this  Article,  the  ESAs  shall 
develop common draft regulatory technical standards specifying: 

(a) the risk-management procedures, including the levels and type of collateral 
and segregation arrangements, required for compliance with paragraph 3; 

(b) the procedures for the counterparties and the relevant competent authorities 
to be followed when applying exemptions under paragraphs 6 to 10; 

(c)  the  applicable  criteria  referred  to  in  paragraphs  5  to  10  including  in 
particular  what  should  be  considered  as  practical  or  legal  impediment  to  the 
prompt  transfer  of  own  funds  and  repayment  of  liabilities  between  the 
counterparties. 

The  level  and  type  of  collateral  required  with  respect  to  OTC  derivative 
contracts  that  are  concluded  by  covered  bond  entities  in  connection  with  a 
covered bond, or by a Securitisation Special Purpose Entity in connection with 
a  securitisation  within  the  meaning  of  [this  Regulation]  and  meeting  the 
conditions  of  paragraph  4(5)  of  this  Regulation  and  the  requirements  of 
Articles  7  to  10  or  Articles  11  to  13  and  Article  6  of  Regulation  [the 
Securitisation  Regulation]  shall  be  determined  taking  into  account  any 
impediments faced in exchanging collateral with respect to existing collateral 
arrangements under the covered bond or securitisation. 

The  ESAs  shall  submit  those  draft  regulatory  technical  standards  to  the 
Commission by [six months after entry into force of this Regulation.] 

Depending  on  the  legal  nature  of  the  counterparty,  power  is  delegated  to  the 
Commission to adopt the regulatory technical standards referred to in the first 
subparagraph in accordance with either Articles 10 to 14 of Regulations (EU) 
No 1093/2010, (EU) No 1094/2010 or (EU) No 1095/2010." 

Article 28 

Transitional provisions  

1. 

2. 

3. 

4. 

This Regulation shall apply to securitisations the securities of which are issued on or 
after [date of entry into force of this Regulation], subject to paragraphs 2 to 6. 

In  respect  of  securitisation  positions  outstanding  as  of   [date  of  entry  into  force  of 
this Regulation], originators, sponsors and SSPEs may use the designation 'STS' or a 
designation  that  refers  directly  or  indirectly  to  these  terms  only  where  the 
requirements set out in Article 6 of this Regulation are complied with. 

In respect of securitisations the securities of which were issued on or after 1 January 
2011 and to securitisations issued before that date, where new underlying exposures 
have been added or substituted after 31 December 2014, Article 3 of this Regulation 
shall apply. 

In  respect  of  securitisation  positions  outstanding  as  of   [date  of  entry  into  force  of 
this Regulation] credit institutions or investment firms as defined in Article 4(1) and 
(2) of Regulation (EU) No 2013/575, insurance undertakings as defined in Article 13 
(1)  of  Directive  2009/138/EC,  reinsurance  undertakings  as  defined  in  Article  13 
point  (4)  of  Directive  2009/138/EC  and  alternative  investment  fund  managers 
(AIFM) as defined in Article 4(1)(b) of Directive 2011/61/EU shall continue to apply 

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Article 405 of Regulation (EU) No 575/2013 and to chapter 1, 2 and 3 and Article 22 
of  Commission  Delegated  Regulation  (EU)  No  625/2014,  Articles  254  and  255  of 
Commission  Delegated  Regulation  (EU)  2015/35  and  Article  51  of  Commission 
Delegated Regulation (EU) No 231/2013, respectively, in the version applicable on 
[day before date of entry into force of this Regulation]. 

Until  the  moment  that  the  regulatory  technical  standards  to  be  adopted  by  the 
Commission pursuant Article 4 (6) of this Regulation are of application originators, 
sponsors  or  the  original  lender  shall  for  the  purposes  of  the  obligations  set  out  in 
Article 4 of this Regulation, apply the provisions in Chapters 1, 2 and 3 and Article 
22  of  Commission  Delegated  Regulation  (EU)  No  625/2014  to  securitisations  the 
securities  of  which  are  issued  on  or  after  [date  of  entry  into  force  of  this 
Regulation]. 

Until  the  moment  that  the  regulatory  technical  standards  to  be  adopted  by  the 
Commission  pursuant  to  Article  5  (3)  of  this  Regulation  are  of  application, 
originators, sponsors and SSPE's shall, for the purposes of the obligations set out in 
points a) and e) of Article 5 (1) of this Regulation, make the information mentioned 
by  Annexes  I  to  VIII  of  Commission  Delegated  Regulation  (EU)  No  2015/3 
available to the website referred to in Article 5 (2). 

Article 29 

Reports 

By  [two  years  after  entry  into  force  of  this  Regulation]  and  every  three  years 
thereafter, EBA, in close cooperation with ESMA and EIOPA, shall publish a report 
on the implementation of the STS requirements as laid down by Articles 6 to 14  of 
this Regulation. 

The report shall also contain an assessment of the actions that competent authorities 
have  undertaken,  on  material  risks  and  new  vulnerabilities  that  may  have 
materialised  and  on  the  actions  of  market  participants  to  further  standardise 
securitisation documentation. 

By  [three  years  after  entry  into  force  of  this  Regulation]  ESMA,  in  close 
cooperation with  EBA and EIOPA,  shall  publish a  report  on the functioning of the 
transparency  requirements  in  Article  5  of  this  Regulation  and  the  level  of 
transparency of the securitisation market in the Union. 

5. 

6. 

1. 

2. 

3. 

Article 30 

Review 

By  [four  years  after  entry  into  force  of  this  Regulation]  the  Commission  shall  present  a 
report  to  the  European  Parliament  and  the  Council  on  the  functioning  of  this  Regulation, 
accompanied, where appropriate, by a legislative proposal. 

Article 31 

Entry into Force 

This Regulation shall enter into force on the twentieth day following that of its publication in 
the Official Journal of the European Union. 

EN 

53 

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This Regulation shall be binding in its entirety and directly applicable in all Member States. 

Done at Brussels, 

For the European Parliament 
The President 

For the Council 
The President 

EN 

54 

   EN 

 
LEGISLATIVE FINANCIAL STATEMENT 

1. 

FRAMEWORK OF THE PROPOSAL/INITIATIVE  

1.1.  Title of the proposal/initiative  

1.2.  Policy area(s) concerned in the ABM/ABB structure 

1.3.  Nature of the proposal/initiative  

1.4.  Objective(s)  

1.5.  Grounds for the proposal/initiative  

1.6.  Duration and financial impact  

1.7.  Management mode(s) planned  

2. 

MANAGEMENT MEASURES  

2.1.  Monitoring and reporting rules  

2.2.  Management and control system  

2.3.  Measures to prevent fraud and irregularities  

3. 

ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE  

3.1.  Heading(s)  of  the  multiannual  financial  framework  and  expenditure  budget 
line(s) affected  

3.2.  Estimated impact on expenditure  

3.2.1. Summary of estimated impact on expenditure  

3.2.2. Estimated impact on operational appropriations  

3.2.3. Estimated impact on appropriations of an administrative nature 

3.2.4. Compatibility with the current multiannual financial framework 

3.2.5. Third-party contributions  

3.3.  Estimated impact on revenue

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LEGISLATIVE FINANCIAL STATEMENT 

1. 

FRAMEWORK OF THE PROPOSAL/INITIATIVE  

1.1. 

Title of the proposal/initiative  

REGULATION  OF  THE  EUROPEAN  PARLIAMENT  AND  OF  THE  COUNCIL 
Laying down common rules on securitisation and creating a European framework for 
transparent  securitisation  and  amending  Directives  2009/65/EC, 
simple  and 
2009/138/EC, 2011/61/EU and Regulations (EC) 2009/1060 and, (EU) No 648/2012 

1.2. 

Policy area(s) concerned in the ABM/ABB structure30  

1.3. 

Nature of the proposal/initiative  

 The proposal/initiative relates to a new action  

  The  proposal/initiative 
project/preparatory action31  

relates 

to  a  new  action 

following  a  pilot 

 The proposal/initiative relates to the extension of an existing action  

 The proposal/initiative relates to an action redirected towards a new action  

1.4. 

Objective(s) 

1.4.1.  The  Commission's  multiannual 

strategic  objective(s) 

targeted  by 

the 

proposal/initiative  

This  initiative  is  one  of  the  building  block  of  the  Capital  Markets  Union  initiative. 
This proposal aims to: 

restart  markets  on  a  more  sustainable  basis,  so  that  simple,  transparent  and 

(1) 
standardised securitisation can act as an effective funding channel to the economy; 

allow  for  efficient  and  effective  risk  transfers  to  a  broad  set  of  institutional 

(2) 
investors as well as banks; 

allow  securitisation  to  function  as  an  effective  funding  mechanism  for  some 

(3) 
longer term investors as well as banks; 

protect investors and managing systemic risk by avoiding a recurrence  of the 

(4) 
flawed "originate to distribute" models. 

1.4.2. 

Specific objective(s) and ABM/ABB activity(ies) concerned  

Specific objective  

This proposal has  two main objectives: 

30 
31 

ABM: activity-based management; ABB: activity-based budgeting. 
As referred to in Article 54(2)(a) or (b) of the Financial Regulation. 

EN 

56 

   EN 

 
 
 
 
 
 
                                                 
1) Remove stigma from investors and ensure an appropriate regulatory treatment  for 
simple and transparent securitisation products; 

2) Reduce/eliminate unduly high operational costs for issuers and investors. 

This framework should provide confidence to investors and a high standard for the 
EU, to help parties evaluate the risks relating to securitisation (both within and across 
products). 

Securitisation  can  be  an  important  channel  for  diversifying  funding  sources  and 
allocating risk more efficiently within the EU financial system. It would allow for a 
broader  distribution  of  financial  sector  risk  and  can  help  to  free  up  banks'  balance 
sheets to allow for further lending to the different categories of economic agent (e.g. 
non-financial  companies,  SME, individuals).  Overall,  it can improve efficiencies  in 
the  financial  system  and  provide  additional  investment  opportunities.  Securitisation 
can  bridge  banks  and  capital  markets  with  an  indirect  benefit  for  businesses  and 
citizens (through, for example, less expensive loans, mortgages and credit cards). 

ABM/ABB activity(ies) concerned 

EN 

57 

   EN 

 
 
 
 
1.4.3.  Expected result(s) and impact 

Specify the effects which the proposal/initiative should have on the beneficiaries/groups targeted. 

This proposal is aiming at two main objectives;: 

1)  remove  stigma  from  investors  and  regulatory  disadvantages  for  simple  and 
transparent securitisation products; 

2) reduce/eliminate unduly high operational costs for issuers and investors. 

This framework should provide confidence to investors and a high standard for the 
EU, to help parties evaluate the risks relating to securitisation (both within and across 
products). 

Securitisation  can  be  an  important  channel  for  diversifying  funding  sources  and 
allocating risk more efficiently within the EU financial system. It would allow for a 
broader  distribution  of  financial  sector  risk  and  can  help  to  free  up  banks'  balance 
sheets to allow for further lending to the different categories of economic agent (e.g. 
non-financial  companies,  SME, individuals).  Overall,  it can improve efficiencies in 
the  financial  system  and  provide  additional  investment  opportunities.  Securitisation 
can  bridge  banks  and  capital  markets  with  an  indirect  benefit  for  businesses  and 
citizens (through, for example, less expensive loans, mortgages and credit cards). 

1.4.4. 

Indicators of results and impact  

Specify the indicators for monitoring implementation of the proposal/initiative. 

The  most  important  indicator  for  the  achievement  of  the  first  objective  will  be  the 
difference in the price of STS versus non-STS products. If the objective is achieved, 
this  difference  should  increase  from  today,  with  STS  products  being  more  highly 
valued than non-STS ones by investors. This should trigger an increase in the supply 
of  STS  products,  reason  for  which  the  achievement  of  this  objective  will  also  be 
measured with the growth in issuance of STS products versus non-STS ones. 

The  second  objective  would  be  measured  against  three  criteria:  1)  STS  products' 
price  and  issuance  growth  (since  a  decline  in  operational  costs  should  translate  in 
higher issuance for STS products), 2) The degree of standardisation of marketing and 
reporting  material  and  finally  3)  feedback  from  market  practitioners  on  operational 
costs' evolution. 

1.5. 

Grounds for the proposal/initiative  

1.5.1.  Requirement(s) to be met in the short or long term  

The objective of this proposal is to restart a sustainable securitisation market that will 
improve  the  financing  of  the  EU  economy,  while  ensuring  financial  stability  and 
investor protection. To revive the market the proposal aims at taking away the stigma 
that securitisations face, to create more consistency and standardisation in the market 
and to put in place a more risk-sensitive regulatory framework. 

1.5.2.  Added value of EU involvement 

Securitisation products are part of EU capital markets which are open and integrated. 
Securitisation  links  financial  institutions  from  different  Member  States  and  non-
Member  States:  often  banks  originate  the  loans  that  are  securitised,  while  financial 

EN 

58 

   EN 

 
 
institutions such as insurers and investment funds invest in these products and they 
do so across European borders. 

Individual  Member  State  action  cannot  by  itself  remove  the  stigma.  The  EU  has 
advocated  at  international  level  for  standards  to  identify  simple,  transparent  and 
standardised  (STS)  securitisation.  Such  standards  will  help  investors  to  identify 
categories of securitisations that have performed well during the financial crisis and 
which allow them to analyse the risks involved. 

Although implementation of these international standards could be done by Member 
States,  it  would  in  practice  lead  to  divergent  approaches  in  Member  States,  which 
will  hamper  the  removal  of  the  stigma  and  will  create  a  de  facto  barrier  for  cross-
border  investors  which  would  have  to  enter  into  the  details  of  the  Member  State 
frameworks.  Moreover,  a  more  risk-sensitive  prudential  framework  for  STS 
securitisation requires the EU to define what an STS securitisation is, since otherwise 
the more risk sensitive regulatory treatment for banks and insurance companies could 
be  available  for  different  types  of  securitisations  in  different  Member  States.  This 
would  lead  to  an  un-level  playing  field  and  to  regulatory  arbitrage.  As  regards  the 
lack of consistency and standardisation EU law has already harmonised a number of 
elements  on  securitisation,  in  particular  definitions,  rules  on  disclosure,  due 
diligence,  risk  retention  and  prudential  treatment  for  regulated  entities  investing  in 
these products. Those provisions have been developed in the framework of different 
legal acts (CRR, Solvency II, UCITS, CRA Regulation, and AIFMD) which has led 
to  certain  discrepancies  in  the  requirements  that  apply  to  different  investors. 
Increasing their consistency and further standardisation of these provisions can only 
be done by EU action. 

1.5.3.  Lessons learned from similar experiences in the past 

Market-developed  differentiating  mechanisms  were  unlikely  to  overcome  stigma  as 
they are relying on market associations' opinions that have not been tested by events. 
More  importantly,  even  if  these  differentiating  mechanisms  between  securitisation 
products  would  be  successful  in  achieving  differentiation  and  limiting  stigma,  they 
could not adjust the prudential treatment attached to securitisations and thus improve 
the  economics  of  EU  transactions.  Furthermore,  the  current  inconsistencies  in  EU 
legislation  would  continue  to  affect  these  markets.  In  absence  of  any  EU 
intervention,    the  current  state  of  the  securitisation  market  would  be  unlikely  to  be 
reversed: low issuance and fragmentation would persist. 

1.5.4.  Compatibility and possible synergy with other appropriate instruments 

This  proposal  on  securitisation  is  linked  to  the  Investment  Plan  for  Europe  put 
forward by the Commission in 2014 and aimed at restarting investment in Europe by 
addressing  the  main  obstacles to  investment  in  a  coherent  way.  This  new  approach 
would help in addressing the current shortage of risk-financing in Europe.  

This  initiative  is  part  of  the  Capital  Markets  Union  (CMU)  action  plan  adopted  by 
the European Commission today. The CMU is one of the Commission's priorities to 
ensure  that  the  financial  system  supports  jobs  and  growth  and  and  helps  with  the 
demographic challenges Europe faces. 

Aside financial regulatory initiatives, several EU institutions and bodies have taken 
initiatives  to  build  securitisation  markets  and  increase  confidence  from  a  market 

EN 

59 

   EN 

 
 
functioning  perspective.  The  Commission,  in  association  with  the  European 
Investment Bank and the European Investment Fund, is using securitisation vehicles 
to  help  finance  SMEs,  for  example  under  the  COSME  programme  and  the  joint 
Commission-EIB initiatives. 

EN 

60 

   EN 

 
1.6. 

Duration and financial impact  

 Proposal/initiative of limited duration  

–   

–   

Proposal/initiative in effect from [DD/MM]YYYY to [DD/MM]YYYY  

Financial impact from YYYY to YYYY 

 Proposal/initiative of unlimited duration 

–  Implementation with a start-up period from YYYY to YYYY, 

–  followed by full-scale operation. 
1.7.  Management mode(s) planned32  

 Direct management by the Commission 

–   by its departments, including by its staff in the Union delegations;  

–   

by the executive agencies  

 Shared management with the Member States  

 Indirect management by entrusting budget implementation tasks to: 

–   third countries or the bodies they have designated; 

–   international organisations and their agencies (to be specified); 

–  the EIB and the European Investment Fund; 

–   bodies referred to in Articles 208 and 209 of the Financial Regulation; 

–   public law bodies; 

–    bodies  governed  by  private  law  with  a  public  service  mission  to  the  extent 

that they provide adequate financial guarantees; 

–   bodies governed by the private law of a Member State that are entrusted with 
the  implementation  of  a  public-private  partnership  and  that  provide  adequate 
financial guarantees; 

–    persons  entrusted  with  the  implementation  of  specific  actions  in  the  CFSP 

pursuant to Title V of the TEU, and identified in the relevant basic act. 

– 

If more than one management mode is indicated, please provide details in the ‘Comments’ section. 

Comments  

The  implemenation  of  this  initiative  will  imply  the  three  ESAs  (EBA,  ESMA  and  EIOPA). 
Thus the proposed resources are for EBA, ESMA and EIOPA which are regulatory agencies 
not executive agencies. EBA, ESMA and EIOPA act under the oversight of the Commission.  

32 

Details  of  management  modes  and  references  to  the  Financial  Regulation  may  be  found  on  the 
BudgWeb site: http://www.cc.cec/budg/man/budgmanag/budgmanag_en.html 

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61 

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2. 

MANAGEMENT MEASURES  

2.1.  Monitoring and reporting rules  

Specify frequency and conditions. 

The  proposal  foresees  that  the  Commission  should  review  the  effectiveness  of  the 
proposed measures on a periodic basis.  

2.1.1.  Risk(s) identified  

In  relation  to  the  legal,  economical,  efficient  and  effective  use  of  appropriations 
resulting  from  the  proposal  it  is  expected  that  the  proposal  would  not  bring  about 
new  risks  that  would  not  be  currently  covered  by  an  EBA,  EIOPA  and  ESMA 
existing internal control framework. 

2.1.2. 

Information concerning the internal control system set up 

NA 

2.1.3.  Estimate of the costs and benefits of the controls and assessment of the expected level 

of risk of error  

NA 

2.2.  Measures to prevent fraud and irregularities  

Specify existing or envisaged prevention and protection measures. 

For  the  purposes  of  combating  fraud,  corruption  and  any  other  illegal  activity,  the 
provisions of Regulation (EC) No 1073/1999 of the European Parliament and of the 
Council of 25 May 1999 concerning investigations conducted by the European Anti-
Fraud  Office  (OLAF)  shall  apply  to  the  EBA,  EIOPA  and  the  ESMA  without  any 
restriction. 

EBA, EIOPA and ESMA shall accede to the Interinstitutional Agreement of 25 May 
1999 between the European Parliament, the Council of the European Union and the 
Commission of the European Communities concerning internal investigations by the 
European  Anti-Fraud  Office  (OLAF)  and  shall  immediately  adopt  appropriate 
provisions for all EBA, EIOPA and ESMA staff. 

The  funding  decisions  and  the  agreements  and  the  implementing  instruments 
resulting  from  them  shall  explicitly  stipulate  that  the  Court  of  Auditors  and  OLAF 
may,  if  need  be,  carry  out  on-the-spot  checks  on  the  beneficiaries  of  monies 
disbursed  by  EBA,  EIOPA  and  ESMA  as  well  as  on  the  staff  responsible  for 
allocating these monies. 

Articles  64  and  65  of  the  Regulation  establishing  EBA  set  out  the  provisions  on 
implementation and control of the EBA budget and applicable financial rules 

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3. 

3.1. 

ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE  

Heading(s)  of  the  multiannual  financial  framework  and  expenditure  budget 
line(s) affected  

  Existing budget lines  

In order of multiannual financial framework headings and budget lines. 

Heading of 
multiannual 
financial 
framework 

1a 

1a 

1a 

Heading of 
multiannual 
financial 
framework 

Budget line 

Type of  
expenditure 

Diff./Non-
diff.33 

Contribution  

from 
EFTA 
countries
34 

from 
candidate 
countries35 

from third 
countries 

within the 
meaning of 
Article 21(2)(b) of 
the Financial 
Regulation  

12.02.04 EBA 

DIFF 

YES 

YES 

NO 

12.02.05 EIOPA 

DIFF 

YES 

YES 

12.02.06 ESMA 

DIFF 

YES 

YES 

NO 

NO 

NO 

NO 

NO 

  New budget lines requested  

In order of multiannual financial framework headings and budget lines. 

Budget line 

Type of 
expenditure 

Contribution  

Number  
[Heading……………………………………
…] 

Diff./Non-
diff. 

from 
EFTA 
countries 

from 
candidate 
countries 

from third 
countries 

within the 
meaning of 
Article 21(2)(b) of 
the Financial 
Regulation  

[XX.YY.YY.YY] 

YES/N
O 

YES/NO 

YES/N
O 

YES/NO 

33 
34 
35 

Diff. = Differentiated appropriations / Non-diff. = Non-differentiated appropriations. 
EFTA: European Free Trade Association.  
Candidate countries and, where applicable, potential candidate countries from the Western Balkans. 

EN 

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3.2. 

Estimated impact on expenditure  

[This section should be filled in using the spreadsheet on budget data of an administrative nature (second document in annex to this 
financial statement) and uploaded to CISNET for interservice consultation purposes.] 

3.2.1. 

Summary of estimated impact on expenditure  

This legislative initiative will have the following impacts on expenditures: 

 

 

 

The hiring of three new temporary agents (TA) at EBA (2 TA)  - See in Annex for more information on their roles and the way their 
costs were calculated (of which 40% will be funded by the EU and 60% by the Member States). 

The hiring of three new TA at ESMA  - See in Annex for more information on their roles and the way their costs were calculated (of 
which 40% will be funded by the EU and 60% by the Member States). 

The hiring of two new TA at EIOPA (2 TA) - See in Annex for more information on their roles and the way their costs were calculated 
(of which 40% will be funded by the EU and 60% by the Member States). 

The costs related to the tasks to be carried out by ESMA, EBA and EIOPA have been estimated for staff expenditure in conformity with the cost 
classification in the ESA draft budget for 2015.  

Heading of multiannual financial  
framework  

Number 
1 

Smart and Inclusive Growth 

EUR million (to three decimal places) 

DG: FISMA 

 Operational appropriations  

r 
N36 

Year 
N+1 

Year 
N+2 

Year 
N+3 

Enter as many years as 
necessary to show the duration 
of the impact (see point 1.6) 

TOTAL 

36 

Year N is the year in which implementation of the proposal/initiative starts. 

EN 

64 

EN 

 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
12.02.04 EBA 

12.02.05 EIOPA 

12.02.06 ESMA 

Commitments 

Payments 

Commitments 

Payments 

Commitments 

Payments 

(1) 

(2) 

(1a) 

(2a) 

(1a) 

(2a) 

0.266 
0.266 
0.130 
0.130 
0.212 
0.212 

0.251 
0.251 
0.115 
0.115 
0.197 
0.197 

0.251 
0.251 
0.115 
0.115 
0.197 
0.197 

Appropriations  of  an  administrative  nature  financed  from  the 
envelope of specific programmes37  

Number of budget line 

TOTAL appropriations 
for DG FISMA 

Commitments 

Payments 

 TOTAL operational appropriations  

Commitments 

Payments 

  TOTAL  appropriations  of  an  administrative  nature 
financed from the envelope for specific programmes  

(3) 

=1+1a 
+3 

=2+2a 

+3 

(4) 

(5) 

(6) 

0.6086 

0.563  0.563 
1.126 

1.126 

0.6086 

0.563  0.563 
1.126 

1.126 

TOTAL appropriations  
under HEADING N°1 
of the multiannual financial framework 

Commitments 

=4+ 6 

0.6086 

0.563  0.563 
1.126 

1.126 

Payments 

=5+ 6 

0.6086 

0.563  0.563 
1.126 

1.126 

If more than one heading is affected by the proposal / initiative: 

0.767 
0.767 
0.360 
0.360 
0.606 
0.606 

1.733 

1.733 

1.733 

1.733 

37 

Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former 
‘BA’ lines), indirect research, direct research. 

EN 

65 

EN 

 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
 TOTAL operational appropriations  

Commitments 

Payments 

  TOTAL  appropriations  of  an  administrative  nature 
financed from the envelope for specific programmes  

(4) 

(5) 

(6) 

TOTAL appropriations  
under HEADINGS 1 to 4 
of the multiannual financial framework 
(Reference amount) 

Commitments 

=4+ 6 

Payments 

=5+ 6 

EN 

66 

EN 

 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Heading of multiannual financial  
framework  

5 

‘Administrative expenditure’ 

Year 
N 

Year 
N+1 

Year 
N+2 

Year 
N+3 

Enter as many years as 
necessary to show the duration 
of the impact (see point 1.6)  

TOTAL 

EUR million (to three decimal places) 

DG: <…….> 

 Human resources  
 Other administrative expenditure  

TOTAL DG <…….> 

Appropriations  

TOTAL appropriations 
under HEADING 5 
of the multiannual financial framework  

(Total  commitments  = 
Total payments) 

TOTAL appropriations  
under HEADINGS 1 to 5 
of the multiannual financial framework  

Commitments 

Payments 

Year 
N38 

Year 
N+1 

Year 
N+2 

Year 
N+3 

Enter as many years as 
necessary to show the duration 
of the impact (see point 1.6) 

TOTAL 

EUR million (to three decimal places) 

38 

Year N is the year in which implementation of the proposal/initiative starts. 

EN 

67 

EN 

 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
3.2.2.  Estimated impact on operational appropriations  

–    The proposal/initiative does not require the use of operational appropriations  

–    The proposal/initiative requires the use of operational appropriations, as explained below: 

Year 
N 

Year 
N+1 

Year 
N+2 

Year 
N+3 

OUTPUTS 

Commitment appropriations in EUR million (to three decimal places) 

Enter as many years as necessary to show the 
duration of the impact (see point 1.6) 

TOTAL 

o
N

Cost  N

o

Cost 

o
N

Cost 

o
N

Cost  N

o

Cost  N

o

Cost  N

o

Cost 

Total 
No 

Total 
cost 

Indicate 
objectives and 
outputs  

 

Type39 

Avera
ge 
cost 

SPECIFIC OBJECTIVE No 140… 

- Output 

- Output 

- Output 

Subtotal for specific objective No 1 

SPECIFIC OBJECTIVE No 2 ... 

- Output 

Subtotal for specific objective No 2 

TOTAL COST 

39 
40 

Outputs are products and services to be supplied (e.g.: number of student exchanges financed, number of km of roads built, etc.). 
As described in point 1.4.2. ‘Specific objective(s)…’  

EN 

68 

EN 

 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
3.2.3.  Estimated impact on appropriations of an administrative nature 

3.2.3.1.  Summary  

–    The  proposal/initiative  does  not  require  the  use  of  appropriations  of  an 

administrative nature  

–    The proposal/initiative requires the use of appropriations of an administrative 

nature, as explained below: 

EUR million (to three decimal places) 

Year 
N 41 

Year 
N+1 

Year 
N+2 

Year 
N+3 

Enter as many years as necessary to show the 
duration of the impact (see point 1.6) 

TOTAL 

HEADING 5 
of the multiannual 
financial framework 

Human resources  

Other administrative 
expenditure  

Subtotal HEADING 5 
of the multiannual 
financial framework  

Outside HEADING 542 
of the multiannual 
financial framework  

Human resources  

Other expenditure  
of an administrative 
nature 

Subtotal  
outside HEADING 5 
of the multiannual 
financial framework  

TOTAL 

The  appropriations  required  for  human  resources  and  other  expenditure  of  an  administrative  nature  will  be  met  by 
appropriations from the DG that are already assigned to management of the action and/or have been redeployed within the 
DG,  together  if  necessary  with  any  additional  allocation  which  may  be  granted  to  the  managing  DG  under  the  annual 
constraints.
allocation 

procedure 

budgetary 

light 

and 

the 

of 

in 

41 
42 

Year N is the year in which implementation of the proposal/initiative starts. 
Technical  and/or  administrative  assistance  and  expenditure  in  support  of  the  implementation  of 
EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research. 

EN 

69 

   EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
3.2.3.2.  Estimated requirements of human resources 

–    The proposal/initiative does not require the use of human resources.  

–    The  proposal/initiative  requires  the  use  of  human  resources,  as  explained 

below: 

Estimate to be expressed in full time equivalent units 

Year 
N 

Year 
N+1 

Year N+2 

Ye
ar 
N+
3 

Enter 
as 
many 
years 
as 
necessa
ry to 
show 
the 
duratio
n of the 
impact 
(see 
point 
1.6) 

 Establishment plan posts (officials and temporary staff) 

XX 01 01 01 (Headquarters and Commission’s 
Representation Offices) 

XX 01 01 02 (Delegations) 

XX 01 05 01 (Indirect research) 

10 01 05 01 (Direct research) 

 External staff (in Full Time Equivalent unit: FTE)43 

XX 01 02 01 (AC, END, INT from the ‘global 
envelope’) 

XX 01 02 02 (AC, AL, END, INT and JED in the 
delegations) 

XX 01 04 yy 44 

- at Headquarters 

- in Delegations  

XX 01 05 02 (AC, END, INT - Indirect research) 

10 01 05 02 (AC, END, INT - Direct research) 

Other budget lines (specify) 

TOTAL 

XX is the policy area or budget title concerned. 

The human resources required will be met by staff from the DG who are already assigned to management of the 
action  and/or  have  been  redeployed  within  the  DG,  together  if  necessary  with  any  additional  allocation  which 
may  be  granted  to  the  managing  DG  under  the  annual  allocation  procedure  and  in  the  light  of  budgetary 
constraints. 

Description of tasks to be carried out: 

Officials and temporary staff 

External staff 

43 

44 

AC=  Contract  Staff;  AL  =  Local  Staff;  END=  Seconded  National  Expert;  INT  =  agency  staff; 
JED= Junior Experts in Delegations.  
Sub-ceiling for external staff covered by operational appropriations (former ‘BA’ lines). 

EN 

70 

   EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
3.2.4.  Compatibility with the current multiannual financial framework  

–    The  proposal/initiative  is  compatible  the  current  multiannual  financial 

framework. 

–    The proposal/initiative will entail reprogramming of the relevant heading in the 

multiannual financial framework. 

Explain what reprogramming is required, specifying the budget lines concerned and the corresponding 
amounts. 

–    The  proposal/initiative  requires  application  of  the  flexibility  instrument  or 

revision of the multiannual financial framework. 

–   

The costs related to the tasks to be carried out by ESMA, EBA and EIOPA have been 
estimated for staff expenditure in conformity with the cost classification in the ESA 
draft budget for 2015.  

The proposal of the Commission includes provisions for the threes ESAs to develop 
a number of regulatory technical standards. 

ESMA  will  have  to  develop  and  maintain  on  its  official  website  a  list  of  all 
securitisations for which the originators, sponsors and SSPEs have notified that they 
meet the STS requirements (article 14.2).  

New supervisory competences will not be assigned to the three ESAs but they will be 
asked to further promote supervisory cooperation and convergence in interpretation 
and  application  of  the  STS  criteria  (see  chapter  3).  This  objective  is  essential  as  it 
will prevent a fragmentation of the securitisation market throughout the EU. 

Finally,  ESMA,  EBA  and  EIOPA  will  have  to  jointly  publish  a  report  on  the 
implementation of the STS requirements and on the functioning of the system of STS 
notification  as  well  as  of  the  functioning  of  the  market.  It  shall  also  report  on  the 
actions 
that  supervisors  have  undertaken  and  on  material  risks  and  new 
vulnerabilities which may have materialised. The first report shall be published two 
years after the entry into force of this Regulation and further reports each three years. 

Regarding the timing, the additional ESAs resources are therefore required from end 
2016 to start the preparatory works and a smooth implementation of the Regulation. 
As  regards  the  nature  of  the  positions,  the  successful  and  timely  delivery  of  new 
technical standards will require, in particular, additional resources to be allocated to 
tasks on policy, legal drafting and impact assessment.  

The work requires bilateral and multilateral meetings with stakeholders, analysis and 
assessment of options and drafting of consultation documents, public consultation of 
stakeholders,  setting  up  and  management  of  standing  expert  groups  composed  of 
supervisors from Member States, setting up and management of ad hoc expert groups 
composed  of  market  participants  and  representatives  of  investors,  analysis  of  the 
responses to consultations, drafting of cost/benefit analysis and drafting of the legal 
text. 

Some of the required work is closely related to the existing technical works carried 
out under CRR, CRA3, Solvency II and EMIR. 

EN 

71 

   EN 

 
 
This  means that  additional temporary agents are needed as of 2017 and 2018 since 
ESAs are expected to perform new tasks. These new tasks are set out in the proposed 
Regulation and further spelled out in the explanatory memorandum. 

3.2.5.  Third-party contributions  

–  The proposal/initiative does not provide for co-financing by third parties.  

–  The proposal/initiative provides for the co-financing estimated below: 

Appropriations in EUR million (to three decimal places) 

Year 
N 

Year 
N+1 

Year 
N+2 

Year 
N+3 

Enter as many years as necessary 
to show the duration of the 
impact (see point 1.6) 

Total 

Specify  the  co-financing 
body  

TOTAL appropriations 
co-financed  

EN 

72 

   EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.3. 

Estimated impact on revenue  

–    The proposal/initiative has no financial impact on revenue. 

–    The proposal/initiative has the following financial impact: 

– 

– 

 

 

on own resources  

on miscellaneous revenue  

Appropriation
s available for 
the current 
financial year 

Budget revenue line: 

Article …………. 

EUR million (to three decimal places) 

Impact of the proposal/initiative45 

Year 
N 

Year 
N+1 

Year 
N+2 

Year 
N+3 

Enter as many years as necessary to show 
the duration of the impact (see point 1.6) 

For miscellaneous ‘assigned’ revenue, specify the budget expenditure line(s) affected. 

Specify the method for calculating the impact on revenue. 

45 

As regards traditional own resources (customs duties, sugar levies), the amounts indicated must be net 
amounts, i.e. gross amounts after deduction of 25 % for collection costs. 

EN 

73 

   EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                 
Annex  to  the  Legislative  Financial  Statement  for  a  proposal  for  Regulation  of  the 
European  Parliament  and  of  the  Council  on  a  European  framework  for  simple, 
transparent and standardised securitisation 

The  costs  related  to  the  tasks  to  be  carried  out  by  ESMA,  EBA  and  EIOPA  have  been 
estimated  for  staff  expenditure  in  conformity  with  the  cost  classification  in  the  ESA  draft 
budget for 2015.  

The  proposal  of  the  Commission  includes  provisions  for  the  threes  ESAs  to  develop  a 
number of regulatory technical standards, including the following. 

-  An  RTS  to  specify  the  risk  retention  requirement  and  a  template  for  reporting  on  the  risk 
retention (article 4.6); 

- An RTS to specify the information that the originator, sponsor and SSPE should provide to 
comply  with  their  obligations  under  article  5.1(a)  and  1(e)  and  the  presentation  thereof  by 
means of standardised templates; 

- An RTS to specify the information that the originator, sponsor and SSPE should provide to 
comply  with  their  obligations  under  paragraph  article  14.1  (STS  notification)  and  the 
presentation thereof by means of standardised templates. 

-  An  RTS  to  specify  criteria  for  establishing  which  arrangements  under  covered  bond  or 
securitisations adequately mitigate counterparty credit risk (amendment to EMIR);  

-  An  RTS  to  specify  the  risk-management  procedures,  including  the  levels  and  type  of 
collateral and segregation arrangements (amendment to EMIR); 

-  An  RTS  to  specify  the  procedures  for  the  counterparties  and  the  relevant  competent 
authorities  to  be  followed  when  applying  exemptions  under  article  11  paragraphs  6  to  10 
(amendment to EMIR); 

- An RTS to specify applicable criteria referred to in article 11 paragraphs 5 to 10 including in 
particular what should be considered as practical or legal impediment to the prompt transfer 
of own funds and repayment of liabilities between the counterparties (amendment to EMIR);. 

-  An  RTS  to  establish  standard  forms,  templates  and  procedures  for  the  exchange  of 
information between competent authorities and ESMA. 

ESMA will have to develop and maintain on its official website a  list of all securitisations 
for  which  the  originators,  sponsors  and  SSPEs  have  self-attested  that  they  meet  the  STS 
requirements (article 14.2).  

New supervisory competences will not be assigned to the three ESAs but they will be asked to 
further  promote  supervisory  cooperation  and  convergence  in  interpretation  and 
application of the STS criteria (see chapter 3). This objective is essential as it will prevent a 
fragmentation of the securitisation market throughout the EU. 

Finally,  ESMA,  EBA  and  EIOPA  will  have  to  jointly  publish  a  report  on  the 
implementation  of  the  STS  requirements  and  on  the  functioning  of  the  system  of  STS 
notification  and  the  functioning  of  the  market.  It  shall  also  report  on  the  actions  that 
supervisors  have  undertaken  and  on  material  risks  and  new  vulnerabilities  which  may  have 
materialised.  The  first  report  shall  be  published  two  years  after  the  entry  into  force  of  this 
Regulation and further reports each three years. 

Regarding the timing, the additional ESAs resources are therefore required from end 2016 to 
start  the  preparatory  works  and  a  smooth  implementation  of  the  Regulation.  As  regards  the 

EN 

74 

   EN 

 
 
nature  of  the  positions,  the  successful  and  timely  delivery  of  new  technical  standards  will 
require, in particular, additional resources to be allocated to tasks on policy, legal drafting and 
impact assessment.  

The  work  requires  bilateral  and  multilateral  meetings  with  stakeholders,  analysis  and 
assessment  of  options  and  drafting  of  consultation  documents,  public  consultation  of 
stakeholders, setting up and management of standing expert groups composed of supervisors 
from Member States, setting up and management of ad hoc expert groups composed of market 
participants  and  representatives  of  investors,  analysis  of  the  responses  to  consultations, 
drafting of cost/benefit analysis and drafting of the legal text. 

Some of the required work is closely related to the existing technical works carried out under 
CRR, CRA3, Solvency II and EMIR. 

This means that additional temporary agents are needed from end 2016. It is assumed that this 
increased will be maintained in 2017 and 2018 since ESAs will have to perform new tasks. 
These  new  tasks  are  set  out  in  the  proposed  Regulation  and  further  spelled  out  in  the 
explanatory memorandum. 

Additional resources assumption: 

The eight additional posts are assumed to be a temporary agents of functional group and grade 
AD7. 

Average salary costs for different categories of personnel are based on DG BUDG guidance; 

Salary correction coefficient for Paris is 1.168  

Salary correction coefficient for London is 1.507 

Salary correction coefficient for Frankfurt is 0.972  

Mission costs estimated at €10,000. 

Recruiting-related  costs  (travel,  hotel,  medical  examinations,  installation  and  other 
allowances, removal costs, etc) estimated at €12,700. 

 

 

ESMA 

Cost type 

Calculation 

Amount (in thousands) 

2017 

2018 

2019 

Total 

Staff expenditure 

Salaries and allowances 

=3x132 x1.168 

Expenditure 
recruitment 

related 

to 

=3x13 

463 

39 

463 

463 

1389 

39 

EN 

75 

   EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mission expenses 

=3x10 

Total 

EBA 

30 

532 

30 

493 

30 

493 

90 

1518 

Cost type 

Calculation 

Amount (in thousands) 

2017 

2018 

2019 

Total 

Staff expenditure 

Salaries and allowances 

=3x132 x1.507 

Expenditure 
recruitment 

related 

to 

=3x13 

Mission expenses 

=3x10 

Total 

EIOPA 

597 

39 

30 

666 

597 

597 

1791 

30 

627 

30 

627 

39 

90 

1920 

Cost type 

Calculation 

Amount (in thousands) 

2017 

2018 

2019 

Total 

Staff expenditure 

Salaries and allowances 

=2x132 x0.972 

Expenditure 
recruitment 

related 

to 

=1x13 

Mission expenses 

=1x10 

Total 

257 

39 

30 

326 

257 

257 

30 

287 

30 

287 

771 

39 

90 

900 

EN 

76 

   EN