REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT AND THE COUNCIL On the functioning of the Securitisation Regulation
Date: 2022-10-10
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: banking, credit, credit institution, credit policy, financial legislation, financial market, investment, investment company

EN 

  EN 

   EUROPEAN COMMISSION  Brussels, 10.10.2022  COM(2022) 517 final  REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT AND THE COUNCIL On the functioning of the Securitisation Regulation       
 
 
REPORT FROM THE COMMISSION TO THE 
EUROPEAN PARLIAMENT AND THE COUNCIL 

On the functioning of the Securitisation Regulation 

Contents 
1. 

Introduction ..................................................................................................................................... 2 

2.  Market developments ...................................................................................................................... 4 

3.  The effects of the Regulation .......................................................................................................... 5 

4.  Risk retention .................................................................................................................................. 7 

5.  Due diligence and transparency ...................................................................................................... 9 

6.  Private securitisations ................................................................................................................... 10 

6.1 Disproportionate rise in the number of private securitisations? .................................................. 10 

6.2 Sufficient information for investors and supervisors on private securitisations? ....................... 11 

6.3 Definition of private securitisation ............................................................................................. 12 

7.  STS equivalence ............................................................................................................................ 13 

8.  Sustainable securitisation .............................................................................................................. 14 

9.  Third-party verification of STS criteria ........................................................................................ 17 

10.  Securitisation special purpose entities (SSPEs) ............................................................................ 17 

11.  Jurisdictional scope ....................................................................................................................... 18 

11.1 Sell-side obligations .................................................................................................................. 18 

11.2 Buy-side obligations – availability of disclosures .................................................................... 20 

11.3 Buy-side obligations – AIFM investors .................................................................................... 21 

12. Supervision of securitisation ........................................................................................................... 23 

13. Prudential treatment of securitisations ............................................................................................ 24 

14. Conclusion ...................................................................................................................................... 25 

1 

 
 
 
 
 
 
1. Introduction  
Securitisation  is  the  process  of  turning  non-fungible  loans,  or  the  cash-flows  stemming  from  them, 
into marketable securities. This tool, therefore, makes a significant contribution to a well-functioning 
financial system that efficiently finances the real economy, as it frees up capacity on  banks' balance 
sheets,  which  enables  them  to  provide  new  credit  to  businesses,  including  small  and  medium-sized 
companies.  It  acts  as  an  important  tool  for  capital,  liquidity  and  risk  management  in  banks. 
Furthermore, securitisation makes new asset classes accessible to investors, thus providing diversified 
investment opportunities for long-term investors. 

However, 15 years after the great financial crisis, securitisation still suffers from a perceived stigma as 
a  complex  financing  engineering  tool  from  that  time.  It  is  well  known  that  loosely  regulated 
securitisation  contributed  in  a  significant  way  to  the  US  subprime  mortgage  market  crisis,  which 
rapidly spread through the global financial system with far-reaching consequences for taxpayers and 
companies in the EU and beyond.  

The European securitisation markets did not suffer the same problems as the US ones1. Nevertheless, 
issuing and investing in the EU markets slumped drastically. In the wake of the great financial crisis, 
central banks2 and many stakeholders agreed on the need to revive the EU securitisation market. The 
European Commission therefore committed to the goal of reviving the securitisation market in the EU 
on a safe and sustainable basis. In the 2014 investment plan for Europe, the Commission identified the 
creation  of  a  flourishing  market  of  high-quality  securitisations  as  one  of  the  five  areas  where 
immediate  action  was  needed  and  included  this  action  in  the  list  of  building  blocks  for  a  Capital 
Markets Union.3  

Following up on these policy commitments, in 2015 the Commission proposed a comprehensive legal 
framework  consisting  of  a  new  Securitisation  Regulation  and  targeted  changes  to  the  prudential 
treatment of securitisation.  

The negotiations between the co-legislators - the European Parliament and the Council - concluded in 
2017. Regulation (EU) 2017/24024 (the ‘Securitisation Regulation’) and Regulation (EU) 2017/2401, 
amending  Regulation  (EU)  No  575/2013  on  prudential  requirements  for  credit  institutions  and 
investment firms, entered into application on 1 January 2019.  

The Securitisation Regulation builds on a number of provisions that were already in place and which 
had been partly amended in reaction to the crisis. These provisions, however, were scattered across a 
large number of sectoral legal acts that applied to different market entities, including: (i) the Capital 

1  See  Commission  staff  working  document,  Impact  assessment  accompanying  the  document  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 and transparent securitisation and amending Directives 2009/65/EC, 
2009/138/EC,  2011/61/EU  and  Regulations  (EC)  No  1060/2009  and  (EU)  No  648/2012  and  Proposal  for  a 
Regulation  of  the  European  Parliament  and  of  the  Council  amending  Regulation  (EU)  No  575/2013  on 
prudential requirements for credit institutions and investment firms, 30.9.2015 (SWD (2015)185 final). 
2 The  case  for  a better  functioning  securitisation  market  in  the  European  Union:  A  discussion  paper,  Bank  of 
England 
https://www.ecb.europa.eu/pub/pdf/other/ecb-
boe_case_better_functioning_securitisation_marketen.pdf. 
3 Action plan on building a Capital Markets Union, 20.9.2015 (COM/2015/0468 final), https://eur-
lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A52015DC0468  
4 Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down 
a  general  framework  for  securitisation  and  creating  a  specific  framework  for  simple,  transparent  and 
standardised  securitisation,  and  amending  Directives  2009/65/EC,  2009/138/EC  and  2011/61/EU  and 
Regulations (EC) No 1060/2009 and (EU) No 648/2012.  

European 

Central 

Bank, 

and 

the 

2 

 
 
                                                           
Requirements Regulation (CRR) for banks5; (ii) the Solvency II Directive6 for insurers; and (iii) the 
Undertakings  for  the  Collective  Investment  in  Transferable  Securities  (UCITS)7  and  Alternative 
Investment  Fund  Managers  (AIFM8)  directives  for  asset  managers.  The  Securitisation  Regulation 
creates  a  single  and  harmonised  legal  framework  for  the  main  parties  involved  in  a  securitisation 
transaction.  These  are  original  lenders,  originators,  sponsors,  securitisation  special  purpose  vehicles 
and institutional investors participating in the EU securitisation market. In addition, the Securitisation 
Regulation  creates  a  specific  framework  for  simple,  transparent  and  standardised  (STS)  true-sale 
securitisations9 to improve the transparency and reduce the complexity of the market.  

The  importance  of  a  well-functioning  securitisation  market  to  provide  sufficient  credit  to  the  real 
economy  was  once  again  underlined  by  the  Capital  Markets  Recovery  Package10  to  help  the  EU 
economy  to  recover  from  the  COVID-19  pandemic.  The  package  included  amendments  to  the 
Securitisation Regulation with the aim of expanding the scope of the STS regime to on-balance-sheet 
synthetic securitisations11 and to remove certain regulatory impediments to the securitisation of non-
performing exposures. These amendments were adopted by the European Parliament and Council in 
March 2021. 

More  than  three  years  after  the  entry  into  application  of  the  new  securitisation  framework,  and  as 
announced in the 2020 Capital Markets Union action plan12, this report takes stock of the development 
of  the  market  and  discusses  important  aspects  of  the  legal  framework.  This  report  fulfils  the 
Commission’s legal mandate under Article 46 of the Securitisation Regulation to present a report to 
the  European  Parliament  and  to  the  Council  on  the  functioning  of  the  Securitisation  Regulation, 
accompanied, if appropriate, by a legislative proposal. It also fulfils the legal mandate  under Article 
45a  (3)  to  report  to  the  co-legislators  on  the  creation  of  a  specific  sustainable  securitisation 
framework,  building  on  the  relevant  European  Banking  Authority  (EBA)  report.  This  report  also 
addresses 
the  European  supervisory  authorities’  (ESAs)  opinion  of 
25 March 2021  to  the  European  Commission  on  the  jurisdictional  scope13  (the  ‘Joint  Committee 
opinion’), by providing legal interpretations of certain provisions of the Securitisation Regulation. It 
also  takes  into  account  the  recommendations  made  by  a  high-level  forum  on  the  Capital  Markets 
Union, created by the Commission in 2019.14 

issues  raised  by 

the 

5 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).  
6 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).  
7 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). 
8  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).  
9 A true-sale securitisation involves the transfer of the economic interest in the exposures being securitised 
through the transfer of ownership of those exposures to special purpose entity. 
10 See https://ec.europa.eu/info/publications/200722-proposal-capital-markets-recovery_en  
11 In contrast to a true-sale securitisation, in a synthetic securitisation the underlying credit risk associated with a 
pool of loans is transferred by the use of credit derivatives or guarantees,  and the exposures being securitised 
remain exposures of the originator. 
12 Action 6 of the action plan: https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=COM:2020:590:FIN  
13  ESA’s  opinion  to  the  European  Commission  on  the  jurisdictional  scope  of  application  of  the  Securitisation 
Regulation, 
https://www.esma.europa.eu/sites/default/files/library/jc_2021_16_-
_esas_opinion_on_jurisdictional_scope_of_application_of_the_securitisation_regulation_003.pdf 
14 Final report of the high-level forum on the Capital Markets Union ‘A new vision for Europe’s capital 
markets’ https://ec.europa.eu/info/files/200610-cmu-high-level-forum-final-report_en.  

2021 

16. 

JC 

3 

 
 
                                                           
The  report  draws  from  a  number  of  sources,  in  particular  the  extensive  analysis  made  by  the 
securitisation  subcommittee  of  the  Joint  Committee  of  the  ESAs,  which  has  been  published  in  two 
documents:  (i)  the  report  on  the  implementation  and  functioning  of  the  Securitisation  Regulation15 
(17 May 2021,  the  ‘Joint  Committee  report’);  and  (ii)  the  Joint  Committee  opinion.  Moreover,  the 
Commission  carried  out  a  targeted  public  consultation  that  received  56  replies  (‘the  consultation’). 
This attracted interest from a broad range of market participants, from both the buy-side and the sell-
side  of  the  market,  as  well  as  from  public  authorities  and  academics.  A  feedback  statement16 
providing a detailed summary of the responses received accompanies this report.  

In  line  with  the  legal  mandates,  this  report  focuses  on  aspects  of  the  securitisation  framework 
pertaining to the Securitisation Regulation. Issues related to the prudential treatment of securitisation 
for  banks  and insurance companies  are currently  the  subject  of  a  call  for  advice  to  the  ESA’s Joint 
Committee17 and will be assessed by the Commission once that requested advice has been delivered. 
This report and its conclusions do not in any way pre-empt the assessment and possible decisions that 
the Commission will make on the suitability of the current prudential regime.  

The report focuses on the functioning of: (i) the risk retention requirement; (ii) the due diligence and 
transparency requirements; (iii) the rules and definition for private securitisations; (iv) the case for an 
STS equivalence regime; (v) a regime for sustainable securitisation; (vi) the function of the third-party 
verification of STS; and (vii) the case for establishing a system of limited-licence banks to replace the 
current  structure  of  true-sale  securitisation  built  around  securitisation  special  purpose  entities 
(SSPEs).  The  report  also  considers  issues  around  the  jurisdictional  scope  of  the  Securitisation 
Regulation,  as  raised  in  the  Joint  Committee  opinion,  and  provides  legal  interpretations  in  that 
context. Based on the Joint Committee report, this document assesses the current state of supervision 
and  concludes  with  an  overview  of  the  ongoing  and  upcoming  work  on  the  prudential  treatment  of 
securitisation. 

2. Market developments 

At  present  it  is  difficult  to  obtain  a  reliable  and  comprehensive  estimate  of  the  size  of  the 
securitisation  market  in  the  EU.  With  time,  securitisation  repositories  will  be  able  to  provide  a  full 
account  of  public  securitisations,  but  there  currently  remains  a  large  number  of  active  legacy 
transactions, i.e. issued before 1 January 2019, that do not need to be reported to the repositories. The 
volume of securitisations reported to the securitisation repositories stood at around EUR 460 billion 
on 6 April 2022, whereas market estimates of the size of the public securitisations market in the euro 
area (excluding collateralised loan obligations) at the end of 2021 stood at nearly EUR 750 billion. In 
addition,  there  is  currently  no  official  information  on  the  exact  size  of  the  private  securitisations 
market, due to the fact that such transactions are currently only reported to securitisation repositories 
on a voluntary basis, and supervisors have so far not collected such data systematically. According to 

15 Joint Committee report on the implementation and functioning of the Securitisation Regulation JC 2021 31. 
https://www.eiopa.europa.eu/document-library/report/joint-committee-report-implementation-and-functioning-
of-securitisation_en 
16 https://finance.ec.europa.eu/document/download/4ce4c935-06eb-4a35-a475-
3b7224982242_en?filename=2021-eu-securitisation-framework-summary-of-responses_en.pdf  
17https://www.eba.europa.eu/sites/default/documents/files/document_library/About%20Us/Missions%20and%2
0tasks/Call%20for%20Advice/2021/CfA%20to%20JC%20for%20securitisation%20in%20prudential%20frame
work%20review/1022482/CfA%20cover%20letter_final.pdf  

4 

 
 
                                                           
the European Benchmarking Exercise for private securitisations18, the overall market is estimated to 
be at least EUR 189 billion in total commitments. This estimate, however, includes UK transactions. 

According  to  market  estimates,  after  several  years  of  decline19,  the  outstanding  balance  of 
securitisation  transactions  in  the  EU  has  been  stable  since  the  entry  into  application  of  the 
Securitisation  Regulation  in  2019.  The  balance  decreased  by  11.9%  between  2015  and  the  end  of 
2021,  exhibiting  a  similar  dynamic  as  the  UK  market,  while  the  US  securitisation  market  grew 
substantially  during  this  period20.  The  dominant  type  of  securitisation  is  the  residential  mortgage-
backed  security,  which  represented  nearly  60%  of  the  EU  market  at  the  end  of  2021,  followed  by 
securitisation backed up by SME loans, consumer credit and auto loans.  

An  alternative  source  of  data  is  the  common  reporting  for  consolidated,  sub-consolidated  and  solo 
capital requirements (COREP), which includes true-sale securitisations, synthetic securitisations and 
asset-backed commercial papers held or originated by banks. This source has the benefit of including 
private transactions, albeit with the caveat that transactions without a participating bank are not within 
its  scope.  According  to  this  data  source,  the  outstanding  amount  of  transactions  increased  from 
EUR 1 080  million  in  2018  to  EUR 1 300  million  in  2021,  suggesting  an  increase  in  securitisation 
activity among banks since the Securitisation Regulation became applicable. 

3.  The effects of the Regulation 
Background and findings 

Impact on the functioning of the market for securitisation in the EU 

Most  respondents  to  the  consultation  were  generally  supportive  of  the  existing  legal  framework. 
Respondents also considered that the Securitisation Regulation had only applied for a relatively short 
period of time and together with exogenous factors, such as the COVID-19 pandemic and increased 
liquidity through monetary policy instruments, this made it difficult to fully assess the effects.  

18 European Benchmarking Exercise (EBE) for Private Securitisations, 1 December 2021, 
https://www.afme.eu/publications/reports/details/European-Benchmarking-Exercise-EBE-for-Private-
Securitisations.  
19 The figures do not include collateralised loan obligations. Source: AFME Securitisation Data Report Q4 2021 
and 2021 Full Year, 15 March 2022. 
20  Comparison  with  the  United  States’  securitisation  market  should  take  into  account  its  different  structure, 
dominated by the activities of government-sponsored entities, which account for the overwhelming majority of 
securitisation issuance in the US, as well as differences in its accounting and prudential rules. 

5 

 
 
 
 
 
 
 
 
 
 
 
                                                           
Figure 1: Summary of responses to Question 1: Has the Securitisation Regulation been successful in 
achieving the following objectives? 

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Improving access
to credit for the
real economy, in
particular for
SMEs

Widening the
investor base for
securitisation
products in the
EU

Widening the
issuer base for
securitisation
products

Providing a clear
legal framework
for the EU
securitisation
market

Facilitating the
monitoring of
possible risks

Providing a high
level of investor
protection

Emergence of an
integrated EU
securitisation
market

Fully disagree

Somewhat disagree

Neutral

Somewhat agree

Fully agree

According to respondents, the new legal framework has been most effective with regard to the policy 
aim  of  providing  a  high  level  of  investor  protection  through  risk  retention  and  information 
availability.  Some  respondents  questioned  the  proportionality  of  the  compliance  costs.  It  was 
generally  acknowledged  that  the  Regulation  had  facilitated  further  integration,  but  that  the  EU 
securitisation  market  was  still  developing.  However,  respondents  noted  that  the  market  remains 
fragmented  between  Member  States,  which  seems  to  limit  the  economies  of  scale  that  could  be 
achieved.  Respondents  also  highlighted  that  further  integration  of  the  EU  securitisation  market 
depends  on  factors  other  than  the  Securitisation  Regulation  itself,  such  as  monetary  policy, 
supervisory infrastructure and progress on the broader Capital Markets Union action plan. A majority 
of  respondents  agreed  that  the  Securitisation  Regulation  provides  a  clear  legal  framework,  while 
underlining that certain parts could be improved, and recognised that the Securitisation Regulation has 
facilitated the monitoring of possible risks, although not necessarily for private securitisations. 

A majority of respondents from the industry did not think that securitisation has improved access to 
credit  for  the  real  economy,  including  SMEs.  Similarly,  industry  respondents  did  not  witness  a 
widening of the investor or issuer base during the first years of implementation of the Securitisation 
Regulation. On the contrary, respondents stated that the number of investors from some major sectors, 
such as insurance companies, has decreased.  

Overall, respondents felt that the Securitisation Regulation has so far brought no tangible benefit to 
the  real  economy  and  SME  lending.  In  particular,  this  is  because  the  market’s  volume  has  not 
increased since the introduction of the Securitisation Regulation, especially for SME loans. 

Impact of the STS label  

At  the  end  of  March  2022,  620  traditional  and  19  on-balance-sheet21  STS  securitisations  had  been 
notified  to  the  European  Securities  and  Markets  Authority  (ESMA).  The  most  common  type  of 
underlying  assets  in  STS  securitisations  are  trade  receivables,  usually  by  way  of  asset-backed 
commercial  paper  transactions,  followed  by  auto  loans/leases  and  residential  mortgage-backed 

21  

The first STS on-balance-sheet securitisations were notified to ESMA on 22 June 2021. 

6 

 
 
 
                                                           
securities. According to the Joint Committee report, the main benefit that market participants see in 
the  STS  label  is  the  preferential  regulatory  treatment  attached  to  it.  As  a  result  of  this,  banks  and 
insurance companies benefit from a lower capital charge on the positions notified as STS compared to 
non-STS securitisations (see Figure 2).  

Figure 2: Main benefits and challenges of the STS label 

Benefits of STS 

Challenges of STS 

Relative score 

Capital treatment 
Wider investor base 
Pricing 
Standardisation 
Transparency 
Source: Joint Committee Report 
Relative score from 0 (not relevant) to 5 (extremely relevant) 

Complexity of STS criteria 
Restrictiveness of criteria 
Legal penalties 
Compliance costs 
Insufficient clarity of criteria 

3.9 
3.7 
3.7 
3.6 
3.5 

Relative 
score 
4.2 
3.4 
3.3 
3.1 
3.0 

The Commission’s assessment 

On  the  overall  market  situation,  the  Commission  acknowledges  the  feedback  from  industry  which 
indicates that securitisation issuance is still muted. However, in the absence of a comprehensive data 
source that captures all segments of the market, it is not possible to confidently determine the situation 
for the entire market. In this respect, supervisors are encouraged to make further efforts to get a better 
grasp,  in  particular, of the size  of the private securitisation  market. Moreover,  at  this stage  it is  not 
clear to what extent market developments can be attributed to the impact of the regulatory regime, and 
to what extent exogenous factors have been more decisive.  

The  Commission  has  not  come  across  or  been  made  aware  of  significant  concerns  about  the  credit 
quality  of  EU  securitisations,  despite  the  relatively  adverse  macroeconomic  environment,  which 
suggests that the EU securitisation market is on a solid footing. 

The Commission notes that the STS label has been taken up and broadly accepted by the market. It 
serves its purpose of helping investors identify high-quality structures and helps to remove the stigma 
attached  to  securitisation.  The  Commission  and  the  ESAs  will  continue  to  monitor  the  market  and 
provide  market  participants  with  guidance and  clarity  as  necessary  on  the  interpretation  of  the  STS 
criteria, to help them navigate the legal framework. 

The  Commission  is  of  the  opinion  that  the  Securitisation  Regulation  seems  overall  to  be  fit  for 
purpose and does not see the need for major legislative change at this juncture. Having said that, the 
Commission  takes  note  of  the  concerns  expressed  by  stakeholders  and  acknowledges  that  there  is 
room for fine-tuning on certain aspects (see Sections 5 and 6).  

4. Risk retention 
Background and findings 

In order to prevent a  misalignment of incentives between the  issuers and buyers of a securitisation, 
Article  6  of  the  Securitisation  Regulation  requires  originators,  sponsors  or  original  lenders  (and 
servicers,  in  the  case  of  securitisation  of  non-performing  exposures)  to  hold  at  least  a  5%  net 
economic interest in the securitisation throughout the life of the transaction. In addition to this direct 
obligation, there is also an indirect verification of the risk retention requirement whereby institutional 
investors are only allowed to hold securitisation positions where at least a 5% material net economic 
interest is retained. 

7 

 
 
According  to  information  from  the  European  Data  Warehouse22  securitisation  repository,  the  most 
common  retention  method  among  public  long-term  securitisations  was  ‘first  loss’,  whereby  the 
retainer keeps the first credit loss up to at least 5% of the nominal value of the securitised exposures 
(see Figure 3). 

Figure 3: Use of retention methods in public term securitisations, % of total 

Source: European Data Warehouse 

2%

4%

16%

19%

59%

Other

Seller's share

Randomly-selected
exposures
Vertical slice

First loss tranche

As  private  securitisations  are  not  required  to  report  to  the  securitisation  repositories,  it  is  more 
difficult  to  obtain  systematically  data  on  the  risk  retention  methods  in  private  deals.  According  to 
COREP data on the banks involved in securitisation transactions, the most common retention method 
among  synthetic  transactions  seeking  the  recognition  of  significant  risk  transfer  (SRT)  to  free  up 
capital (which are typically private transactions), is the ‘vertical slice’. This means that the originator, 
sponsor  or  original  lender  retains  at  least  5%  of  each  tranche  sold  or  transferred  to  investors.  This 
method of retention was used by 80% of the synthetic SRT transactions in 2020 – 2021. 

The Joint Committee report did not find deficiencies in how the risk retention framework is applied. 
However,  the  regulatory  technical  standards  mandated  by  Article  6(7)  of  the  Securitisation 
Regulation, which sets out the specifics of the risk retention procedures, have not yet been adopted by 
the  Commission. This  may  have  resulted  in  some  legal  uncertainty  for  market  participants23.  ‘Plain 
vanilla’ transactions appear not to have been affected by this lack of detailed provisions, as the risk 
retention requirements largely carried over already existing provisions from the Capital Requirements 
Regulation, and credit institutions in particular are familiar with them.  

The Commission’s assessment 

The  data  shows  that  all  available  retention  methods  are  being  used  by  the  market.  There  is  no 
evidence that any of the risk retention methods allowed by the Securitisation Regulation is inadequate. 
The Commission therefore does not see a need to revise the risk retention requirements, but invites the 
EBA  to  continue  monitoring  the  application  of  these  requirements.  Going  forward,  it  may  be 

22 European Data Warehouse (EDW) is one of the two securitisation repositories, authorised so far. 
Securitisation repositories have the task to centrally collect data on securitisations in the EU and to provide this 
data to investors and supervisors. 
23 The EBA has recently adopted an updated version of the aforementioned technical standards as a result of the 
amendments to the risk retention provisions with the Capital Markets Recovery Package. The final report was 
submitted to the Commission on 12 April 2022. 

8 

 
 
 
 
                                                           
appropriate  to  examine  in more  detail  why  and  in  what  circumstances  market  participants  privilege 
one  retention  method  over  the  other  and  how  effective  each  retention  method  is  in  retaining  a 
proportion of the transaction.  

5. Due diligence and transparency 
Background and findings 

The  Securitisation  Regulation  requires  that  institutional  investors  conduct  thorough  due  diligence 
before  holding  a  securitisation  position.  A  prudent  and  diligent  analysis  of  the  risks  involved  in  a 
securitisation  critically  depends  on  access  to  information.  To  facilitate  investors’  due  diligence  and 
support  competent authorities in supervision, Article 7 requires  originators, sponsors and  SSPEs to 
make  available  all  relevant  documentation  describing  the  features  of  the  securitisation,  and  to 
regularly  disclose  all  materially  relevant  data  on  the  credit  quality  and  performance  of  underlying 
exposures.  Information  is  submitted  to  the  securitisation  repositories  by  means  of  standardised 
templates.  One part of investors’  duties of due diligence is to check that the securitisation complies 
with the transparency requirements in the Securitisation Regulation. 

The  consultation  asked  for  feedback  on  the  proportionality  of  the  disclosure  and  due  diligence 
requirements, investors’ due diligence procedures, and the usefulness of the data disclosure templates. 
Most respondents, in particular those representing the industry, did not consider the due diligence and 
transparency requirements as proportionate. These stakeholders found the provisions too prescriptive 
and strict, especially when compared with the framework applicable to similar instruments, such as 
covered bonds.  In  addition,  respondents thought  that the  provisions fail to  fully take  account  of  the 
specificities  of  a  deal,  in  particular  whether  it  is  public  or  private  (see  also  Section  6  on  private 
securitisations).  Industry  respondents  also  saw  a  lack  of  proportionality  in  the  application  of 
transparency rules to third country securitisations. This creates uncertainty as to investors’ ability to 
comply  with  their  due  diligence  obligations  when  investing  in  such  transactions  (see  Section  11). 
Those  who  considered  the  current  regime  proportionate  focused  on  the  benefit  of  standardised 
disclosures to help investors analyse the features of a complex securitisation transaction.  

Most  respondents  concurred  that  the  information  provided  under  Article  7  of  the  Securitisation 
Regulation  is  sufficient  for  investors’  due  diligence  needs.  Some  stakeholders  argued  that  this 
information is actually excessive and that investors might not use it, but instead rely on their existing 
due diligence arrangements that were in place before the Securitisation Regulation entered into force. 
A number of respondents identified  specific fields in the templates  which  they deemed  problematic 
for various reasons, e.g. multiple fields for similar information or lack of clarity on the usefulness of 
certain information required by the templates. On the impact of loan-by-loan information disclosure, 
most stakeholders found it generally useful for all asset classes, unless the portfolio is composed of a 
large number of exposures, in which case the impact of an individual exposure on the performance of 
the securitised pool is small. 

Most stakeholders believed that the disclosure regime can therefore be simplified without impairing 
the co-legislators’ objective of protecting institutional investors and of facilitating supervision. Most 
responses,  including  from  several  public  authorities,  suggested  that  the  transparency  requirements 
should be better aligned with the needs of investors, particularly for private securitisations. 

The  Joint  Committee  report  also  reviewed  the  impact  of  the  due  diligence  and  transparency 
requirements.  On  due  diligence,  the  report  did  not  see  a  need  for  legal  changes  and  recommended 
clarification on the jurisdictional scope of the provisions (see Section 11) and greater effort from the 
national  competent  authorities  to  make  the  supervision  of  due  diligence  more  effective.  On  the 
transparency provisions, the main recommendations were to improve convergence and coordination in 

9 

 
 
the area of supervision, and to monitor further the impact of the disclosure templates, arguing that it 
was too early at that stage for a comprehensive evaluation of how the templates work.  

The Commission’s assessment 

The transparency and due diligence provisions in the Securitisation Regulation  are inherently linked 
since  transparency  should  facilitate  due  diligence.  The  reporting  of  information  that  is  not  used  by 
investors should thus be avoided as it implies unnecessary compliance costs with little benefit. 

Even if the transparency framework has only applied fully since June 2021 with the authorisation of 
the first securitisation repositories, the disclosure templates have been in use, at least in  parts of the 
market,  since  they  were  adopted  by  ESMA  in  January  2019.  Therefore,  the  Commission  considers 
that  the  templates  have  been  in  use  for  a  sufficient  amount  of  time  to  allow  for  any  potentially 
significant shortcomings to become apparent. The feedback to the consultation points out areas where 
the usefulness of the disclosure templates might indeed be limited. 

The Commission therefore invites ESMA to review the disclosure templates for underlying exposures 
in  securitisation.  ESMA  should  in  particular  seek  to  address  possible  technical  difficulties  in 
completing  the  information  required  in  certain  fields,  remove  possibly  unnecessary  fields  and  align 
them  more  closely  with  investors’  needs.  As  part  of  this  work,  ESMA  should  consider  whether 
information  on  a  loan-by-loan  basis  is  useful  and  proportionate  to  investors’  needs  for  all  types  of 
securitisations. 

6. Private securitisations  
Private  securitisations  are  defined  as  securitisations  where  no  prospectus  has  to  be  drawn  up  in 
accordance  with  Directive  2003/71/EC.  Private  securitisations  have  to  fulfil  the  same  regulatory 
requirements  as  public  securitisations,  apart  from  being  exempted  from  having  to  use  the 
securitisation  repository  to  disclose  the  information  prescribed  by  Article  7  of  the  Securitisation 
Regulation.  

6.1 Disproportionate rise in the number of private securitisations?  
Background and findings 

Private  securitisations  are  a  significant  additional  source  of  financing  for  businesses..  Private 
securitisations, for the most part, serve very specific market niches, for instance: (i) where the direct 
relationship between investor and originator is important; (ii) where the issuer needs to control access 
to particularly sensitive business data; or (iii) where the transaction volumes are too small to justify 
the cost of public issuance. 

At the same time, the co-legislators were concerned that such deals might be used to circumvent the 
more  onerous  transparency  requirements  for  public  securitisations.  They  therefore  asked  the 
Commission  to  assess  whether  there  had  been  a  disproportionate  rise  in  the  number  of  these 
transactions  and  whether  this  was  motivated  by  a  desire  to  avoid  the  transparency  obligations  of 
public transactions. In this context, an increase in these transactions could be ’disproportionate’ if it is 
suspected that private securitisations replace transactions that would otherwise be done publicly.  

The  Joint  Committee  report  pointed  out  that  the  number  of  private  STS  securitisations  has  indeed 
risen  considerably  since  March  2019.  Three  quarters  of  all  STS  transactions  in  2020  were  private 
compared to only one third of all STS securitisations in 2019. According to the information on STS 
securitisations published on the ESMA website, the number of private transactions has fallen again in 
2021,  accounting  for  less  than  60%  of  all  STS  securitisations.  Data  on  the  number  of  non-STS 
transactions as well as their volume were, however, not included in the Joint Committee report.  

10 

 
 
Industry respondents to the consultation considered that these figures for STS private securitisations 
are misleading and a consequence of the new regulatory framework for the following reasons: First, 
the very broad definition of securitisation applied by the Securitisation Regulation earmarked certain 
transactions  as  private securitisations  that  had  previously  been  considered  as  bank  lending.  Second, 
most  private  transactions,  and  especially  asset-backed  commercial  paper  (ABCP)  transactions,  had 
been renewed/rolled over many times and are now visible because they have been restructured to STS 
transactions and therefore show up on the ESMA register. 

 The Commission’s assessment 

The  Commission  acknowledges  that  adaptations  to  the  new  regulatory  framework  might  be 
contributing to the rise in the number of private securitisations since the date of application of the new 
securitisation framework.  Against  that background,  a  period  of 2  years is  not  considered  enough  to 
establish with certainty whether or not there has been a real shift from public to private transactions. 
The Commission also notes that data is not available on the number of private non-STS transactions, 
nor  on  the  volume  of  transactions  which  makes  a  comprehensive  assessment  of  the  market 
development of private transactions difficult.  

While a definite conclusion cannot be reached as to whether there is a consistent rise in the number 
and  volume  of  private  securitisations  that  is  not  mirrored  by  a  proportionate  rise  in  public 
transactions, the Commission cannot assess whether such a rise is  motivated by the aim of avoiding 
the  transparency  obligations  of  public  transactions.  The  Commission  therefore  invites  the  Joint 
Committee  to  continue  monitoring  developments  in  the  volumes  of  private  and  public  transactions 
and  to  track  the  volume  of  non-STS  transactions  and  the  overall  volume  of  transactions.  Based  on 
these additional data, the Commission will revisit the question in due course.  

6.2 Sufficient information for investors and supervisors on private securitisations?  
Background and findings 

Currently,  there  is  no  dedicated  template  for  private  securitisations,  but  originators,  sponsors  or 
SSPEs  of  private securitisations  have  to fill in the  extensive  templates  that  are  also  used  for  public 
securitisations,  although  these  do  not  need  to  be  provided  via  a  securitisation  repository.  Some 
national competent authorities request basic information on private deals via individual forms. 

Views were split on whether templates add value to private securitisations: some industry respondents 
(irrespective of whether they act as investor or originator in the securitisation market) and most public 
authorities saw the benefit of standardised templates. Other respondents questioned the usefulness of 
templates for providing transparency on private securitisations, particularly for private synthetic deals 
where information needs are very specific. 

Most  industry  respondents  argued  that  under  the  current  system,  supervisors  and  investors  have 
enough  information  to,  respectively,  monitor  market  developments  and  perform  thorough  due 
diligence.  

While industry respondents believed that the current Article 7 templates should also provide enough 
information  on  private  securitisations  for  supervisors,  the  feedback  from  public  authorities  on  this 
question was split. Two supervisors tended to agree, while the majority of the supervisors supported 
the views of the Joint Committee report which noted difficulties for supervisors in being sufficiently 
well informed about the existence and the parameters of the transactions.  

The Commission’s assessment 

The Commission agrees with the view that standardised templates help to provide information that is 
of  sufficiently  high  quality  and  sufficiently  easy  to  process  by  the  different  recipients.  At  the  same 

11 

 
 
time,  the  Commission  acknowledges  that,  because  of  the  bespoke  nature  of  private  securitisation, 
investors in such transactions need more tailor-made information than the ESMA templates might be 
able to provide. The Commission has no indication to question the claim of industry respondents that 
investors  in  private  deals  have  a  structurally  strong  enough  position  to  request  and  receive  all  the 
information they need for thorough due diligence. But while the information submitted via the ESMA 
templates  might  be  of  less  relevance  to  investors  than  originally  assumed  by  the  co-legislators, 
standardised information on the existing private transactions is still essential for supervisors to quickly 
gain an overview of market developments and to identify transactions that they might want to subject 
to detailed supervisory scrutiny. The different ad hoc forms that several supervisors have created to 
this  end  suggest  that  ESMA’s  current  detailed  templates  might  not  be  fully  appropriate  for  easily 
gaining an accurate overview of the private securitisation market.  

In light of these considerations, the Commission invites ESMA to draw up a dedicated template for 
private securitisation transactions that is tailored particularly to supervisors’ need to gain an overview 
of  the  market  and  of  the  main  features  of  the  private  transactions.  Having  different  templates  for 
private  and  public  securitisations  is  also  legally  possible,  as  Article  7(3)  of  the  Securitisation 
Regulation  allows  for  the  development  of  templates  ‘taking  into  account  the  usefulness  of  the 
information  for  the  holder  of  the  securitisation  position’.  A  dedicated  template  for  private 
securitisations  is  expected  to  simplify  considerably  the  transparency  requirements  for  private 
securitisations. At the same time, it will serve the need of supervisors to receive sufficient information 
on private transactions.  

This new template could replace the existing templates for all private securitisations. It would ensure 
that  supervisors  receive  the  information  they  need,  while  investors  in  private  securitisations  could 
obtain  any  additional  information  they  require  in  bilaterally  agreed  formats,  unconstrained  by  the 
content  of  the  standardised  templates.  While  issuers  do  not  have  to  submit  templates  for  private 
securitisations  to  a  repository,  the  Commission  considers  that  there  is  no  obstacle  to  supervisors 
obtaining  that  information  since  Article  7  requires  issuers  to  make  this  information  available  to 
supervisors.  The  Commission  considers  that  supervisors  should  enforce  that  obligation  and  use  the 
information in the templates for their work. The ESAs could use their existing powers to ensure that 
the information is received by the supervisors in ways that make it readily usable. 

It may be that notifications submitted individually by originators, sponsors or SSPEs, instead of via 
securitisation  repositories,  are  considerably  more  difficult  to  process  and  that  quality  checks  of 
securitisation  repositories  are  indispensable  for  high  quality  data.  If  this  is  the  case  then  the 
recommendation of the report to register information on private deals via securitisation repositories, 
for the supervisors’ benefit, could be a way forward in the longer term, once the Commission decides 
to make a proposal to amend the Securitisation Regulation. 

6.3 Definition of private securitisation  
Background and Findings  

A significant majority of respondents to the consultation were in favour of amending the definition of 
what  constitutes  a  private  securitisation.  However,  a  significant  number  of  these  respondents 
advocated  for  a  different  definition,  assuming  that  certain  transactions  labelled  as  private  could  be 
exempt  from  transparency  requirements  altogether.  Similarly,  the  Joint  Committee  report  also 
favoured  amending  the  definition  to  make  it  more  precise  and  to  completely  exempt  from 
transparency  requirements  a  sub-set  of  what  currently  constitutes  private  transactions  (e.g. 
transactions that happen intra-group with no third-party investor).  

12 

 
 
 
 
The Commission’s assessment  

In  the  Commission’s  view,  it  does  not  seem  appropriate  to  change  the  definition  of  private 
securitisation in the Securitisation Regulation. While it would be possible to make the definition more 
specific, the current definition is clear-cut and working well overall. Supporters of a new definition 
acknowledge that a better definition of private securitisation might be difficult to find, which is why 
some  are  not  proposing  an  alternative  definition,  but  propose  an  open  discussion  process,  after  an 
impact assessment and consultation.  

The  Commission  notes  that  the  calls  for  a  different  delineation  of  what  constitutes  a  private 
securitisation are almost all linked to the concern that transparency requirements for private deals are 
overly prescriptive and rather meaningless for investors and potential investors in practice. It is argued 
that  these investors in  private  deals  are  in  a  position to  request  and  continuously  receive  the  tailor-
made  information  they  need  from  the  sell-side  of  the  transaction.  Thus,  it  seems  that  stakeholders 
calling  for  a  change  to  the  definition  are  doing  so  only  to  ease  the  transparency  requirements  on 
private deals. The Commission believes that this issue can be tackled by scrutinising the existing rules 
and templates and assessing their usefulness (see previous Section).  

7. STS equivalence  
Background and findings 

Equivalence is a mechanism whereby the EU can recognise non-EU regulatory standards in a defined 
area as equivalent to its own24. Granting equivalence in a given sector to a third country requires that 
rules  and  supervision  are  equivalent  to  those  in  the  EU.  This  can  provide  for  regulatory  relief  by 
removing duplicative requirements on cross-border transactions and aligning the prudential treatment 
of cross-border exposures with the one applied to domestic exposures.  

In the consultation, most market participants voiced support for allowing non-EU entities to issue STS 
securitisations. Conversely, public authorities were almost unanimous in opposing the establishment 
of an equivalence regime. 

The Commission’s assessment 

The  EU’s  STS  securitisation  framework  is  based  on  a  demanding  set  of  requirements,  not  least  in 
terms of information disclosure. The Commission observes that to date no securitisation regime in a 
third-country  jurisdiction  could  come  close  to  being  considered  equivalent  to  the  EU’s  STS 
framework. The UK is the only jurisdiction outside the EU that has an STS regime in place, following 
its adoption of the EU’s own STS regime after it left the EU.  

In light of this, the Commission considers it premature to introduce an STS equivalence regime at this 
time. The EU STS regime is still evolving, and the EU has recently established a regime for STS on-
balance-sheet securitisations that does not exist in the UK. Moreover, it will only be feasible to review 
third-country  supervisory  practices  once  EU  supervisory  practice  is  further  developed  and  becomes 
fully convergent among EU supervisors. In this context, the peer review of the implementation of STS 
requirements is crucial to gaining an overview of the supervision of the STS regime in the EU. This 
peer review, which was originally supposed to be completed by 1 January 202225, has been postponed 
to 2024. 

24 Communication from the Commission to the European Parliament, the Council, the European Central Bank, 
the European Economic and Social Committee and the Committee of the Regions - Equivalence in the area of 
financial services - COM(2019) 349 final. 
25 As mandated by Article 36, paragraph 7 of the Securitisation Regulation. 

13 

 
 
                                                           
Notwithstanding this, the Commission will continue to monitor relevant regulatory developments in 
third-country jurisdictions that could lead to the adoption of similar securitisation regimes in line with 
the  Simple,  Transparent  and  Comparable  standard  developed  by  the  Basel  Committee  on  Banking 
Supervision  and  the  International  Organization  of  Securities  Commissions,  on  which  the  EU  STS 
regime is founded.  

Should the current situation change, the Commission might re-consider the need and appropriateness 
to introduce an STS equivalence regime. 

8. Sustainable securitisation 
Background and findings 

The  Securitisation  Regulation  imposes  only  a  limited  obligation  to  make  sustainability  disclosures. 
For  STS  securitisations,  the  sell-side  party  has  to  publish  the  available  information  on  the 
environmental  performance  of  the  assets  financed  by  residential  loans  or  auto  loans  or  leases.  The 
Capital  Markets  Recovery  Package  amendments  added  the  option  for  originators  to  publish  instead 
available information on the principal adverse impact on sustainability factors of the assets financed 
by underlying exposures. 

In addition to the mandate under Article 46(e), Article 45a(e) asks the Commission to report on the 
creation of a specific sustainable securitisation framework, on the basis of a report by the EBA (‘the 
EBA report’)26. The EBA published its report on 2 March 202227. 

Extending the scope of the existing disclosure requirements on environmental 
sustainability  

In  the  consultation,  most  respondents  supported  in  principle  the  notion  that  extending  the  existing 
disclosure  requirement  to  other  asset  classes28  may  add  value  for  investors  who  would  appreciate 
having such information to measure their own share of environmental, social and governance (ESG) 
investment, to assess ESG-related risks, and as a comparison tool. Investors regretted that it is not yet 
available,  since  this  kind  of  information  will  be  necessary  in  the  future  to  comply  with  their  own 
disclosure requirements.  

Nonetheless, respondents said that the usefulness of such an extension of the disclosure requirements 
to  other  asset  classes  depends  on  whether  there  are  sufficiently  clear  and  pertinent  parameters  to 
assess the respective environmental performances. According to most respondents, this is not yet the 
case for all asset classes.29.  

To  improve  the  availability  of  data,  the  EBA  report  recommends  extending  the  disclosures  on 
principal  adverse  impact  to  securitisations  other  than  STS,  and  that  mandatory  disclosures  on 
principal adverse impact should be introduced in the medium term.  

26https://www.eba.europa.eu/sites/default/documents/files/document_library/Publications/Reports/2022/102759
3/EBA%20report%20on%20sustainable%20securitisation.pdf  
27 EBA recommends adjustments to the proposed EU Green Bond Standard as regards securitisation transactions 
| European Banking Authority (europa.eu) 
28 Beyond residential loans or auto loans or leases. 
29 https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:52021PC0391  

14 

 
 
 
 
 
                                                           
Creating a specific sustainable securitisation framework  

The current proposal for an EU Green Bond Standard (EuGBS), published in July 2021 and still being 
negotiated30,  aims  to  draw  up  a  framework  for  green  bonds,  including  those  issued  by  a  special 
purpose vehicle in the context of a securitisation transaction. In order to get the green bond label the 
issuer needs to commit to use the proceeds from the issuance to finance, refinance or acquire assets 
aligned with the EU taxonomy.  

The EBA report does not recommend establishing a dedicated framework for green  securitisation at 
the present time, considering the still rather low amount of green assets available to be securitised31 
and,  because  the  market  for  sustainable  securitisation  is  still  quite  new.  The  report  recommends 
considering a dedicated framework only once the EU economy has made greater progress in the green 
transition. 

Instead, the EBA report recommends adjusting the EuGBS standard to make it more appropriate for 
securitisations  in the transition  phase (see  box  below). The  EBA recommends  leaving  out  synthetic 
securitisation  of  the  scope  of  a  label  for  green  securitisation  (be  it  the  EuGBS  label  or  a  separate 
dedicated label) because there is  as yet no generally acknowledged methodology  to measure the re-
deployment of the capital that is freed up as a result of the transaction for green purposes. 

In  the  consultation,  most  respondents  warned  against  having  several  different  labels  for  classifying 
green securitisation and voiced a clear preference to use the EuGBS label for the foreseeable future, 
rather than creating a separate framework. The feedback shared EBA’s concerns about requiring the 
pool  of  underlying  assets  to  be  taxonomy-aligned,  since  this  would  create  an  unequal  treatment  of 
securitisation with other comparable bank funding instruments, such as covered bonds. Securitisation 
might then not be able to contribute to financing the transition to a green economy, given the current 
scarceness  of  taxonomy-aligned  assets.  On  the  responsible  entity  for  reporting,  many  respondents 
preferred  originators  rather  than  issuers  as  it  would  be  unpractical  to  mandate  issuers  who  do  not 
control the assets.  

On  the  disclosures  required  to  qualify  as  sustainable,  it  is  argued  that  an  overly  descriptive  regime 
would  be  counterproductive  given  the  wide  range  of  activities  related  to  exposures  underlying 
securitisation transactions. 

The EBA report recommendation on adjusting the EU Green Bond Standard (EuGBS) 

The EuGBS proposal establishes a voluntary standard for financing sustainable investment and allows 
the issuer of a bond to use the green bond label as long as the full proceeds from the bond issuance are 
used for purposes that are fully aligned with the taxonomy. This means that the underlying exposures 
of the securitisation held by the SSPE would need to be aligned with the taxonomy. 

The EBA report warns that this approach puts securitisations (and other financial instruments issued 
by  a  special  purpose  vehicle)  on  a  different  footing  from  securities  that  are  not  issued  by  a  special 
purpose vehicle. The EBA draws attention to the fact that the current approach would require EuGBS-
compliant securitisations to be backed by taxonomy-aligned assets. However, it would not prevent the 
originator,  as  the  ultimate  beneficiary  of  the  proceeds  from  the  securitisation  bond  issuance,  from 
using the proceeds for non-green purposes. The EBA considered this approach to be inconsistent with 
the  policy  intention  to  channel  new  funding  into  financing  the  transition  towards  a  green  and 

30https://ec.europa.eu/info/business-economy-euro/banking-and-finance/sustainable-finance/european-green-
bond-standard_en  
31According to EBA estimates of the amount of taxonomy-aligned assets in EU banks, the maximum annual 
pool of green securitisations, assuming they are fully backed by taxonomy-aligned assets, would be EUR 15.6 
billion. 

15 

 
 
 
                                                           
sustainable  EU  economy.  Because  of  the  current  scarcity  of  taxonomy-aligned  assets  available  for 
securitisation, the EBA’s view was that this would also limit significantly the potential for an EuGBS 
securitisation  market.  Moreover,  the  EBA  report  points  out  that  SSPEs  are  of  limited  economic 
substance and therefore an EuGBS securitisation market would be impractical even if SSPEs are the 
sole entities to bear legal responsibility. 

The EBA report thus recommends that the EuGBS requirements should apply to the originator of a 
securitisation,  not  to  the  SSPE.  The  EBA  acknowledges  that  applying  requirements  on  the  use  of 
proceeds at the originator level, instead of at the SSPE level, does not appear to be an obvious path for 
securitisation  given  its  asset-backed  nature  does  not  benefit  from  a  dual  recourse.  This  could  also 
result in  EuGBS  securitisations  with  underlying  assets  that  are  ‘non-green’.  However,  the  EBA  see 
this  as  being  the  most  efficient  and  pragmatic  approach  during  a  transition  phase  and  as  a  way  to 
ensure  an  equal  treatment  of  securitisation  with  other  types  of  asset-backed  securities.  The  EBA 
recommends  that  shifting  the  EuGBS  requirements  to  the  originator  should  be  accompanied  by 
additional  transparency  measures  to  inform  investors  to  what  extent  the  asset  pool  is  taxonomy-
aligned. This approach should be complemented by safeguards to avoid the selection of assets to be 
securitised by the originator in a way that could be seen as greenwashing. 

Furthermore,  on  disclosure  for  sustainable  securitisations,  in  accordance  with  Article  45(a)  of  the 
Securitisation  Regulation,  the  EBA  report  investigated  how  to  integrate  sustainability-related 
disclosure  into  the  Securitisation  Regulation,  drawing  upon  the  Sustainable  Finance  Disclosure 
Regulation32 (SFDR). The SFDR lays down sustainability disclosure obligations for financial market 
participants and financial advisers vis-à-vis end-investors. The EBA report notes that while investors 
who are active in the securitisation market  are covered by the SFDR regime, securitisation products 
fall  outside  the  scope  of  the  SFDR  because  they  are  not  considered  financial  products  within  the 
meaning  of  Article  2  of  the  SFDR.  As  a  result,  investors  may  not  be  able  to  include  securitisation 
exposures in their ESG investment strategies. 

The  Joint  Committee  of  the  ESAs  is  tasked  with  developing  regulatory  technical  standards  that 
specify the information to be provided on the principal adverse impacts of certain types of underlying 
assets in STS transactions33. While this would address the information demands of investors focused 
on  ESG-linked  products,  the  EBA  recommends  that  the  scope  of  the  principal  adverse  impact 
disclosure should be extended: (i) in the  short term, to non-STS securitisations backed by the same 
asset  types  as those  in  the  existing  STS  disclosure  requirement;  and  (ii)  in  the  medium  term,  to  all 
securitisations.  

The Commission’s assessment 

The Commission welcomes the extensive and well-founded EBA report as an important contribution 
to developing a framework for sustainable securitisation. The Commission agrees with the EBA that, 
at least in the short and medium term, there is no case for creating a dedicated sustainability label for 
securitisations, considering in particular the low amount of green assets available to be securitised. In 
light  of  this,  the  Commission  invites  the  European  Parliament  and  the  Council  to  take  into 
consideration the EBA recommendation in the context of the ongoing negotiations on the EuGBS, and 
stands  ready  to  assist  with  the  work  on  specifying  the  details  of  securitisation  within  the  EuGBS 
framework. 

32 Regulation EU 2019 /2088 of the European Parliament and Council on sustainability‐related disclosures in the 
financial services sector. 
33 Article 22 (6) of the Securitisation Regulation.  

16 

 
 
 
 
                                                           
On  the  disclosure  of  sustainability-related  information,  the  Commission  recognises  the  need  to 
develop principal adverse impact disclosures and considers that the scope of the upcoming Regulatory 
Technical Standard from the Joint Committee should be as wide as possible. 

9. Third-party verification of STS criteria 
Background and findings 

The  Securitisation  Regulation  established  a  system  of  third-party  verification  entities  to  assist  both 
issuers and investors, on a voluntary basis, in assessing the compliance of a transaction with the STS 
criteria.  However,  the  involvement  of  such  verifiers  does  not  remove  the  legal  responsibility  from 
originators,  sponsors  and  institutional  investors  to  treat  a  securitisation  transaction  as  STS.  These 
third-party  verification  entities  are  authorised  by  ESMA  and  supervised  by  the  respective  national 
competent authority of the Member State in which they are incorporated. ESMA has authorised two 
third-party verifiers so far. To date, most STS transactions have used the services of one of the two 
third-party verifiers. 

The Joint Committee report analysed the role of third-party verification entities in the STS market. It 
noted  that  the  market  finds  these  entities  helpful,  in  particular  for  less  experienced  market 
participants,  not  least  in  providing  reassurance  in  view  of  the  financial  sanctions  imposed  for 
erroneous  information  in  an  STS  notification.  The  Joint  Committee  stated  that  the  interactions 
between third-party verifiers and national competent authorities have  so far been limited. Given the 
apparent importance of the verifiers for the STS market and concentration on very few entities, this 
might lead to potential divergence between supervisors and verifiers in their interpretation of the STS 
criteria. Moreover,  the Joint Committee  Report noted that there was no common approach so far to 
the supervision of the STS verifiers. 

The Commission’s assessment 

The third-party verification regime appears to function as intended and the Commission sees no need 
to revise the provisions governing this regime. As flagged by the Joint Committee  Report, dialogue 
should  take  place  at  an  appropriate  frequency  between  the  national  competent  authorities  and  the 
third-party verification firms to avoid inconsistent interpretations of the STS criteria to the detriment 
of issuers and investors.  

As  regards  competition,  the  Joint  Committee  report  did  not  indicate  that  the  small  number  of 
authorised  third-party  verifiers  is  the  result  of  a  regulatory  barrier  to  entry  into  the  market  or  of 
insufficient competition. Therefore, the Commission currently sees no need to intervene. 

10.  Securitisation special purpose entities (SSPEs) 
Background and findings 

As regards true-sale securitisations, SSPEs are a key tool to manage the transactions and to reap the 
desired  effects,  particularly  capital  relief  for  the  originating  banks:  the  SSPE  segregates  the  assets 
from the originator and shields the originator from the risk of the assets. The activities of the SSPE are 
limited to attaining these objectives. The Securitisation Regulation contains a full set of requirements 
applicable to SSPEs.  

In light of the mandate under Article 46(h), the Commission enquired in the consultation whether a 
system  of  limited-  licenced-  banks  to  perform  the  functions  of  SSPEs  would  add  value  to  the 
securitisation framework. 

An  overwhelming  majority  of  respondents,  both  from  industry  and  from  public  authorities,  warned 
against  the  introduction  of  such  a  system  and  the  impact  it  could  have  on  the  market.  Many 

17 

 
 
highlighted that SSPEs are already subject to authorisation and supervision by the relevant competent 
authority, which allows for their adequate supervision and the proper monitoring of risks.  

A  system  of  limited-licence  banks  was  seen  as  detrimental  to  the  independence  of  SSPEs  as  such, 
with eventually more actors managing the securitisation funds in a separate entity that belongs to the 
same  consolidated  group.  Instead,  the  priority  should  be  to  ensure  independence  in  control, 
management and reporting of the securitisation transaction vis-à-vis initiators, sponsors and investors. 
In  addition,  respondents  noted  potential  risks  arising  from  a  system  of  limited-licence  banks.  They 
cautioned that this would lead to a higher concentration of risks. These dynamics would go against the 
very logic of risk diversification and reduction that underpin the securitisation market. 

The Commission’s assessment 

The  Commission  considers  that  the  current  framework  is  working  in  an  adequate  manner  as  no 
shortcomings or issues to address with regard to SSPEs have been identified. In light of this, there is 
no need to complement the framework by establishing a system of limited-licenced banks that would 
perform the functions of SSPEs and have the exclusive right to purchase exposures from originators 
and sell claims backed by the purchased exposures to investors.  

11.  Jurisdictional scope 

The  Securitisation  Regulation  is  predominantly  an  activity-based  regulation,  not  a  pure  product 
regulation.  It  mainly  imposes  obligations  on  the  sell-side  (originator,  original  lender,  sponsor  and 
SSPE)  and  the  buy-side  (institutional  investor)  involved  in  securitisation.  The  Securitisation 
Regulation does not distinguish EU securitisations from securitisations in which one of the parties is 
established  in  a  third  country.  However,  the  fact  that  one  or  more  parties  to  a  transaction  are 
established in a third - country can raise questions about how the requirements of the EU regime shall 
be fulfilled in practice by the EU parties to the transaction.  

The Joint Committee opinion noted difficulties related to the jurisdictional scope of the Securitisation 
Regulation. A big majority of respondents to the consultation confirmed that finding.  

The Commission takes note of the reported difficulties and will use the following subsections of this 
report to provide some interpretative guidance on this issue, as requested by the Joint Committee and 
stakeholders.  

11.1 Sell-side obligations 
Background and findings 

Articles 6, 7 and 9 of the Securitisation Regulation  create certain fundamental obligations that, as a 
lesson from the great financial crisis, all parties to securitisations must comply with. The provisions in 
question do not consider whether the obliged party is inside or outside the EU: 

  Article 6 obliges the originator, sponsor or the original lender to retain part of the risk of the 

transaction (a net economic interest of not less than 5%);  

  Article 7 obliges the originator, the sponsor and the SSPE to provide the listed information to 

 

the investor, the competent authorities and, upon request, to the potential investors; 
In  order  to  render  the  problematic  ‘originate-to-distribute  model’  impossible  in  the  future, 
Article 9 obliges originators, sponsors and original lenders to apply  to securitised exposures 
the same sound credit-granting criteria that they apply to non-securitised exposures. 

The  Joint  Committee  opinion  raised  the  concern  that  in  a  transaction  involving  sell-side  parties 
located inside and outside the EU, sell-side entities might escape these fundamental obligations, since 
EU supervisors cannot hold parties located in third countries accountable in case of a breach of these 

18 

 
 
 
obligations. Therefore, the Joint Committee was of the view that the provisions should be interpreted 
in a way so that:  

  only an EU-based entity should be able to retain risk; 
 
 

the parties should be obliged to choose the EU-based entity as the designated reporting entity; 
an EU-based entity should be responsible for ensuring that the same sound and well-defined 
criteria  for  credit-granting  apply  to  both  securitised  and  non-securitised  exposures,  and  that 
the  securitised  exposures  are  subject  to  the  same  processes  as  non-securitised  ones  for 
approving and renewing credit.  

The Joint Committee suggested that these provisions should be clarified accordingly. 

Moreover, the Joint Committee identified an inconsistency between Article 5(1)(b) and Article 9 of 
the  Securitisation  Regulation,  however  without  making  a  clear  recommendation  on  how  to  solve  it: 
Article  9  obliges  also  the  sponsor  to  ensure  sound  credit-granting,  while  the  corresponding  due 
diligence obligation in Article 5(1)(b) does not mention the sponsor. 

Respondents to the consultation reacted as follows to the Joint Committee suggestions:  

  Market  participants  argued  against  restricting  risk  retention  only  to  EU-based  entities.  Risk 
retainers  should  be  the  entities  with  actual  and  sufficient  control  over  and  interest  in  the 
securitised portfolio; jurisdiction should not play a role. 

  Also on the transparency requirements of Article 7 of the Securitisation Regulation, a broad 
majority, mainly of industry representatives, objected to imposing on the EU-based entity the 
obligation to disclose, stressing that the most appropriate reporting entity may not be located 
in the EU. Most supervisors that responded were more in favour of the suggestion of the Joint 
Committee. However, it is noted that only a handful of supervisors responded.  

  Views were also split on whether the verification of the credit-granting standards according to 
Article 9 of the Securitisation Regulation should mandatorily be performed by the EU-based 
entity.  Three  quarters  of  respondents  (comprising  most  of  the  industry  respondents)  argued 
against removing these responsibilities from the appropriate entity to one that is located in the 
EU. 

Lastly,  the  consultation  suggested  a  broad  consensus  among  respondents  that  the  inconsistency 
identified between Article 5(1)(b) and Article 9 of the Securitisation Regulation should be resolved.  

The Commission’s assessment 

The Commission notes that the interpretation of Articles 6, 7 and 9 of the Securitisation Regulation 
suggested by the Joint Committee is not supported by the legal text. The Commission deems such a 
narrow interpretation not imperative, either, in order to achieve the legislative intent of the provisions 
of Articles 6, 7 and 9, namely to ensure that all securitisations with participating EU parties comply 
with  certain  structural  and  quality  requirements.  While  it  is  certainly  most  desirable  to  have  these 
requirements  enforced  directly  by  EU  supervisors,  it  should  be  recalled  that  this  aim  is  also  met 
effectively through the institutional investor’s due diligence obligations imposed by Article 5 of the 
Securitisation Regulation. According to these obligations,  institutional investors must verify that the 
sell-side  parties  of  the  transaction,  irrespective  of  their  location,  comply  with  the  respective 
obligations under this regulation before investing in this securitisation. EU institutional investors may 
not  invest  in  securitisations  if  the  sell-side  entities  are  found  to  be  not  in  compliance  with  these 
obligations. In more detail:  

19 

 
 
 
 
 
 
  The  main  purpose  of  the  risk  retention  requirement  of  Article  6  of  the  Securitisation 
Regulation is the alignment of interests between the issuer and the investor of a securitisation. 
Hence, the provision is in the interest of the investor. The narrow interpretation of Article 6 
suggested  by  the  Joint  Committee  is  therefore  not  deemed  necessary,  since  the  investor 
verification duty under Article 5 effectively ensures that risk retention is complied with for all 
securitisations that are bought by EU investors. If the purpose of risk retention provision can 
be  achieved  this  way,  the  more  intrusive  interpretation  of  the  Joint  Committee,  or  an 
amendment of the Securitisation Regulation in this respect, seems unnecessary.  

  The obligations of Article 7 of the Securitisation Regulation are joint obligations for which 
every  entity,  whether  the  originator,  sponsor  or  SSPE  of  the  securitisation  is  fully  liable. 
Hence,  if  only  one  of  those  sell-side  entities  is  located  in  the  EU,  it  is  under  the  legal 
obligation  to  disclose  all  the  information  requested  by  Article  7,  even  if  it  is  not  the  entity 
designated to fulfil the disclosure requirements. This obligation can be enforced against the 
EU sell-side entities, even if the designated reporting entity is established outside the EU. 
  The Commission considers that the obligation under Article 9 of the Securitisation Regulation 
can  only  be  meaningfully  met  by  the  credit-granting  entity  in  the  process,  regardless  of 
whether  or  not  it  is  located  in  the  EU.  The  Commission  agrees  that  the  obligation  should 
ideally be supervised and enforced against an EU entity and notes that EU investors must be 
made  aware  that  this  might  not  be  the  case  in  every  possible  configuration.  The  EU-based 
investor is only allowed to invest in transactions for which it can be verified that they comply 
with the obligations of Article 9.   

Lastly, the Commission notes the inconsistency between Article 5(1)(b) and Article 9 and intends to 
resolve this matter in the next revision of the Securitisation Regulation. The Commission notes that 
this inconsistency does not have any harmful effect in practice. If it is true that the sponsor (as defined 
by the Securitisation Regulation) does not apply any credit-granting standards since it does not grant 
credit  on  its  own  account,  Article  9(1)  cannot  in  practice  impose  a  valid  direct  obligation  on  the 
sponsor.  

11.2 Buy-side obligations – availability of disclosures 
Background and findings 

According  to  Article  5(1)(e)  of  the  Securitisation  Regulation,  before  investing  in  a  securitisation, 
institutional investors have to verify that the information required by Article 7 of the same regulation 
has been made available according to the frequency and modalities provided for. For investments in 
third-country  securitisations  where  none  of  the  sell-side  parties  is  located  in  the  EU,  this  raises  the 
question as to whether these investments are only admissible if the information listed in Article 7 is 
provided  through  ESMA  templates  and,  in  the  case  of  public  securitisations,  a  securitisation 
repository. Furthermore, this raises the question as to whether it has to be verified that the information 
provided  fully  matches  the  requirements  specified  by  the  ESMA  regulatory  technical  standard  on 
disclosure34  and,  in  particular,  whether  loan-by-loan  data  are  made  available  for  all  exposures 
underlying  the  securitisation.  This  interpretation  of  Article  5(1)(e)  would  prevent  EU  institutional 
investors  from  investing  in  third-country  securitisations  that  do  not  fulfil  these  conditions.  The 
submissions  of  the  Joint  Committee  and  the  feedback  to  the  consultation  clearly  indicate  that  the 
requirements  of  Article  5(1)(e)  are  currently  interpreted  and  applied  differently  by  market 
participants.  

34  Commission  Delegated  Regulation  (EU)  2020/1224  of  16  October  2019  supplementing  Regulation  (EU) 
2017/2402  of  the  European  Parliament  and  of  the  Council  with  regard  to  regulatory  technical  standards 
specifying the information and the details of a securitisation to be made available by the originator, sponsor and 
SSPE, OJ L 289, 3.9.2020, p. 1–216. 

20 

 
 
                                                           
The Joint Committee opinion argued for more flexibility, so that the verification can be presumed to 
be  completed  in  the  case  of  a  third-country  securitisation,  even  if  not  all  EU  transparency 
requirements  are  fulfilled  in  every  detail.  To  this  end,  the  Joint  Committee  suggested  setting  up  a 
‘third-country  equivalence  regime  for  transparency  requirements’  in  relation  to  third-country 
securitisations. This would make it possible to verify the compliance of third-country securitisations 
with the transparency required by Article 7 if one of the third-country sell-side parties has provided 
information  on  the  securitisation  in  accordance  with  their  country’s  requirements  governing  the 
securitisation,  and  if  this  country’s  transparency  regime  has  been  declared  equivalent  to  the  EU 
transparency rules.  

In  the  consultation,  an  overwhelming  majority  of  industry  stakeholders  joined  the  call  for  more 
flexibility. They argued that a legal interpretation of Article 5(1)(e) that requires institutional investors 
in third-country securitisations to verify that they have received all the information in accordance with 
Article 7  creates  a  competitive  disadvantage  for  EU  institutional  investors.  Very  few  respondents 
supported the idea of setting up an equivalence regime as suggested by the Joint Committee opinion. 
Some other respondents outside the industry were against greater flexibility in the case of investments 
in  third-country  securitisations,  but  recommended  simplifying  the  information  requirements  in 
general. 

The Commission’s assessment 

The Commission acknowledges that Article 5(1)(e) gives rise to questions of legal interpretation and 
takes note of the different interpretations of this matter. However, the Commission is of the view that 
the  legislative  intent  of  the  verification  obligation  under  Article  5(1)(e)  of  the  Securitisation 
Regulation  is  key  to  the  interpretation  of  this  provision.  With  the  experience  gained  from  the  great 
financial  crisis,  the  EU  legislators  wanted  to  ensure  that  in  the  future  EU  institutional  investors  in 
securitisations  will  perform  proper  due  diligence  before  any  investment,  and  that  they  have  all  the 
information  necessary  at  their  disposal.  The  co-legislators  specified  the  information  that  must  be 
disclosed  to  investors  in  Article  7.  Thus,  differentiating  the  scope  of  information  to  be  provided, 
depending on whether the securitisation is issued by EU entities or by entities based in third-countries, 
is not in line with the legislative intent, since it does not matter for the proper performance of the EU-
based  institutional  investors’  due  diligence  whether  a  securitisation  originated  inside  or  outside  the 
EU. Therefore, without an amendment of the legal provision, it is not appropriate to interpret Article 
5(1)(e) in a way that would leave it to the discretion of the institutional investors to decide whether or 
not they have received materially comparable information.  

Notwithstanding  the  above,  the  Commission  is  aware  that  the  current  text  of  Article  5(1)(e),  in 
conjunction  with  the  rules  laid  down  by  Article  7  (and,  in  turn,  in  conjunction  with  the  respective 
technical standard) de facto excludes EU institutional investors from investing in certain third-country 
securitisations. This is not because these transactions would be unable to materially comply with the 
EU  regulatory  framework,  but  simply  because  the  third-country  sell-side  parties  might  not  be 
interested  in  providing  the  necessary  information  according  to  the  procedures  set  out  in  Article  7. 
While  the  issue  might  deserve  thorough  consideration  in  the  context  of  a  future  amendment  of  the 
Securitisation  Regulation,  the  Commission  believes  that  the  envisaged  measures  to  amend  the 
technical  standards  that  set  out  the  transparency  requirements  of  Article  7  (see  Sections  5  and  6) 
might  help  reduce  the  competitive  disadvantage  for  EU  institutional  investors.  This  is  because  this 
will make it easier also for sell-side parties from third-countries to provide the required information. 

11.3 Buy-side obligations – AIFM investors 
Background and findings 

The  Joint  Committee  opinion  pointed  to  a  need  for  certain  legal  clarifications  on  alternative 
investment  fund  managers  (AIFMs)  acting  as  institutional  investors  in  securitisations.  First,  it  was 

21 

 
 
unclear whether a non-EU AIFM that manages or markets alternative investment funds (AIFs) in the 
EU  would  be  covered  by  the  scope  of  the  Securitisation  Regulation’s  definition  of  an  institutional 
investor, even if the marketing in the EU only takes place on a private placement basis. Second, it was 
unclear  whether  the  definition  of  the  institutional  investor  (who  is  subject  to  the  extensive  due 
diligence requirements) also encompasses ‘sub-threshold’ AIFMs35. 

The consultation indicated a clear majority in favour of clarifications, however with opposing views 
on how the clarifications should be drafted. Those in favour of including both sub-threshold AIFMs 
and  third-country  AIFMs  that  market  and  manage  AIFs  in  the  EU  stress  the  need  to  have  a  level 
playing field for all AIFMs active in the securitisation market.  

On the other hand, some respondents questioned whether the inclusion of sub-threshold AIFMs would 
be proportionate. Respondents who argued against the application of EU due diligence requirements 
to  third-country  AIFMs  managing  or  marketing  funds  in  the  EU  stressed  that  such  interpretation 
would render the Securitisation Regulation extraterritorial. They also suggested that this would create 
an unjustified difference between funds and other products for which the due diligence requirements 
are regulated by the home regulator of the institutional investor. Lastly, it was noted by a number of 
respondents that the legal text as it stands was unclear whether a requirement for an AIFM in a non-
EU country to apply the EU due diligence rules would be limited to the funds managed and marketed 
in the EU or, once the AIFM manages or markets one fund in the EU, this obligation extends to all the 
funds marketed or managed by this third-country AIFM.  

The Commission’s assessment 

The Commission notes that Article 2(12), i.e. the provision that defines institutional investors for the 
purposes of the Securitisation Regulation, refers in  paragraph (d) specifically to the provision in the 
Alternative Investment Fund Managers (AIFM) directive that defines an AIFM without differentiating 
between entities above or below the above-mentioned threshold. The legal wording therefore clearly 
requires  that  sub-threshold  AIFMs  also  have  to  be  considered  institutional  investors  within  the 
meaning of the Securitisation Regulation. This interpretation is also supported by the legislative intent 
of the due diligence requirements of Article 5, which is to protect EU investors from exposure in the 
future  to  securitisation  investments  without  prior  due  diligence  and  a  proper  understanding  of  the 
acquired product.  

The  legislative  intent  also  provides  strong  arguments  for  the  Commission’s  interpretation  that  third 
country  AIFMs  that  market  and  manage  funds  in  the  EU  have  to  comply  with  the  due  diligence 
requirements  of  the  Securitisation  Regulation  for  all  of  their  securitisation  investments.  If  third-
country AIFMs marketing funds in the EU were considered exempt from the due diligence rules, this 
could  undermine  the  comprehensive  investor  protection  that  the  legislators  intended.  This 
interpretation  does  not  render  these  rules  ‘extraterritorial’,  since  they  regulate  an  activity  –  the 
managing  or  marketing  of  a  fund  in  the  EU  –  that  takes  place  inside  the  EU.  Considering  the 
legislative  intent,  it  furthermore  becomes  clear  that  the  broad  wording  of  Article  2(12)(d)  of  the 
Securitisation  Regulation  should  apply  only  to  the  funds  that  the  third-country  AIFM  markets  and 
manages  in  the  EU,  but  should  not  be  construed  as  also  covering  the  management  and  marketing 
activities of this same AIFM that has no link to the EU. The Commission will consider amending the 
wording of Article 2(12)(d) to specifically remove any kind of legal uncertainty in a future proposal to 
amend the Securitisation Regulation.  

35 Sub-threshold AIFM means a small AIFM benefitting from a de minimis exemption and which is therefore 
only required to comply with the AIFM directive (and its specific Member State’s implementing law) in respect 
of the registration and reporting obligations, but does not benefit from the marketing passport. 

22 

 
 
 
                                                           
12. Supervision of securitisation 
Background and findings 

The Joint Committee report focused on the supervision of due diligence, risk retention, transparency, 
private securitisations and STS requirements. While noting some possible issues in the supervision of 
the market, it did not call for legislative changes, but recommended  providing further guidance and 
clarity  to  supervisory  authorities  to  ensure  the  efficient  and  consistent  implementation  of  the 
Securitisation Regulation. Additionally, the Joint Committee  report made the case that it is difficult 
for supervisors to access the information on a private securitisation, since it is not made available via 
a securitisation repository.  

In the consultation, market participants reported differences in the supervisory approaches of Member 
States and stressed that this could create uncertainty. Competent authorities were mentioned to have 
different  interpretations  of  the  Securitisation  Regulation  and  varying  degrees  of  involvement  in  the 
supervisory process.  

Overall,  stakeholders  called  for  consistency,  more  coordination  between  supervisors  (given  that 
several  competent  authorities  are  often  involved  in  the  supervision  of  one  transaction)  and  a 
proportionate approach to avoiding divergent practices. They stressed that no additional requirements 
are  needed,  not  even  via  regulatory  technical  standards,  favouring  supervisory  guidance  from  the 
ESAs Joint Committee instead. 

Lastly, a few competent authorities made the case for having a lead supervisor, selected from among 
the  competent  authorities  involved  in  a  securitisation.  In  their  view,  the  lead  supervisor  would 
coordinate the  sharing  of  information  between  supervisors,  particularly  in  a context  where different 
supervisors are involved in checking compliance with the different requirements of the Securitisation 
Regulation. 

The Commission’s assessment 

The  Commission  acknowledges  that  competent  authorities  might  need  more  time  to  gain  sufficient 
experience, due in part to the late adoption of some regulatory technical standards. That said, to date 
no major shortcomings in supervision have been reported, in particular no issues requiring changes in 
legislation.  The  Commission  sees  this  as  an  indication  of  the  overall  appropriateness  of  the 
supervisory framework.  

However,  at  this  stage  a  few  issues  have  been  flagged  where  greater  convergence  and  enhanced 
coordination  between  supervisors  would  be  beneficial.  The  Commission  considers  that  diverging 
supervisory  practices  and  ensuing  legal  uncertainty  have  the  potential  to  create  an  unlevel  playing 
field  and  are  harmful  to  the  growth  of  the  securitisation  market.  Guidance  should  be  provided  to 
prevent  differences  in  the  interpretation  of  the  Securitisation  Regulation  and  in  the  involvement  of 
competent authorities in the supervisory process. In particular, a more harmonised approach between 
competent  authorities  to  monitoring  compliance  of  the  STS  requirements  should  be  ensured.  Such 
guidance could be provided by the Joint Committee to further develop a common understanding of the 
rules, best practices and the supervisory tools to ensure a common supervisory approach at EU level. 

The Commission is aware that the securitisation market is not equally developed across the EU and 
that  this  has  an  impact  on  the  degree  of  experience  of  the  different  supervisors.  Hence,  the 
Commission agrees with the recommendation in the Joint Committee report to develop a common EU 
guide on best practices for national supervisors.  

Peer  reviews  are  another  important  and  effective  tool  to  promote  convergence  and  could  provide 
meaningful  insights  on  the  different  practices  among  competent  authorities  in  the  STS  criteria 
reported  by  stakeholders.  Therefore,  the  Commission  regrets  that  no  peer  reviews  on  the 

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implementation of the STS criteria have been carried out or are planned in the near future despite the 
obligation in Article 36(7)  of the  Securitisation Regulation. The Q & A process proved an effective 
tool to ensure convergence and a swift treatment of the questions raised should be ensured.  

As  also  pointed  out  by  the  Joint  Committee  Report  on  the  STS  requirements,  fragmentation  of 
supervisory responsibility to a certain degree creates challenges to building up supervisory expertise 
and experience. In this respect, in the long run, the Commission sees merit in thoroughly exploring the 
feasibility  of  having  a  lead  supervisor.  This  assessment  should  also  reflect  on  the  most  appropriate 
tool to take this forward, e.g. via guidelines to supervisors or via an amendment to the Securitisation 
Regulation.  

Lastly,  on  the  alleged  difficulty  for  supervisors  to access information  on  private  securitisations,  the 
Commission notes that the legal requirement for the sell-side to make the information available to the 
supervisor in accordance with Article 7 does not differentiate between private and public transactions. 
Furthermore, the Commission is of the opinion that the Securitisation Regulation provides for all the 
supervisory tools that might be needed to enforce this obligation.  

13. Prudential treatment of securitisations 
The Commission is required to submit a report to the co-legislators under Article 519(a) of the Capital 
Requirements Regulation (CRR) on the application of certain provisions in the securitisation part of 
that Regulation ‘in light of developments in securitisation markets, including from a macroprudential 
and  economic  perspective’.  This  should  be  accompanied  by  a  legislative  proposal,  if  appropriate. 
While preparing such a report, the Commission deemed it appropriate to conduct a broad assessment 
of the performance of the securitisation prudential framework as a whole, in light of the challenging 
market conditions in recent years.  

Call for advice 

Against  this  background,  the  consultation  included  various  questions  on  the  functioning  of  the  EU 
securitisation prudential framework. In addition, on 17 October 2021 the Commission addressed a call 
for advice (CFA) to the Joint Committee of the ESAs, asking it to assess whether the securitisation 
prudential  framework  has  met  its  intended  objective  of  helping  in  the  recovery  of  the  EU 
securitisation  market  while  maintaining  an  appropriate  level  of  prudence.  The  Joint  Committee  has 
been asked to deliver its advice by 1 September 2022.  

The  Commission  is also  assessing  the  appropriateness  of  the  calibration  of  capital requirements  for 
investments in securitisation tranches by insurance and reinsurance firms. Those issues also formed 
part of the above consultation and call for advice to the Joint Committee of the ESAs.  

The Commission will await the Joint Committee’s advice and recommendations. Taking into account 
the advice and feedback received in the consultation, the Commission will assess the appropriateness 
and convenience of potential amendments to the securitisation prudential framework. 

Significant risk transfer (SRT) 

One of the main objectives that underpins securitisations from an originator’s perspective is achieving 
capital  relief in  relation to  the  portfolio  of  securitised  assets,  compared  to  the amount  of regulatory 
capital  that  the  originator  must  hold  in  relation  to  the  same  portfolio  before  executing  the 
securitisation. 

Achieving capital relief is subject to the various quantitative and qualitative conditions referred to in 
Articles 244 and 245 of the CRR (the  ‘SRT framework’), which ensure that the originator does  not 
incur  a  material  risk  of  undercapitalisation  in  relation  to  the  portfolio  of  securitised  assets. 

24 

 
 
Accordingly, competent authorities must assess whether securitisations for which originators seek to 
claim capital relief meet the conditions for SRT laid down in those articles.  

The SRT framework is, therefore, essential to guarantee the safety and soundness of bank originators, 
as well as to promote overall market confidence.  

In its report of 23 November 202036, the EBA made several recommendations to the Commission on 
the  harmonisation  of  SRT  assessment  practices  and  processes.  Lastly,  the  EBA  also  included 
recommendations  to  simplify  and  improve  the  SRT  tests  laid  down  in  Articles  245  and  246  of  the 
CRR. 

The  industry  has  pointed  out  that  the  SRT  framework  raises  several  obstacles  to  the  smooth  and 
effective functioning of the securitisation market and has advocated that the framework be applied in 
a more transparent, consistent, and efficient manner. The Commission gathered industry feedback on 
selected aspects of the EBA SRT report in the consultation.  

In light of the EBA recommendations and industry feedback, the Commission is currently considering 
the merit and convenience of using the empowerment laid down in Articles 244(6) and 245(6) of the 
CRR to enhance the harmonisation of the SRT framework, with the aim of making it more efficient, 
transparent and consistent. 

14. Conclusion 
The new EU securitisation framework became applicable only in 2019 and some new elements were 
added  as  late  as  April  2021.  The  full  implementation  of  the  framework  is  still  ongoing  with  a  few 
regulatory technical standards still under preparation. Likewise, as the questions on the jurisdictional 
scope  show,  for  example,  both  market  participants  and  supervisors  are  still  in  the  process  of 
translating the legal provisions into practice.  

Hence, the  Commission  believes  that  more  time  is  needed to  get  a  full  picture  of  the impact  of the 
new  securitisation  framework.  This  is  all  the  more  so  as  extraordinary  external  factors  like  the 
COVID-19 pandemic and the accommodative monetary policy of the central banks during that period 
might  have  played  a  significant  role  in  how  the  EU  securitisation  market  has  or  has  not  developed 
since the new framework entered into application.  

Having said that, this legally mandated review is a good opportunity to take stock, on a preliminary 
basis, and to decide whether there are areas that warrant immediate action. Considering all the input 
received,  the  Commission  believes  that  the  Securitisation  Regulation  contributes  significantly  to 
achieving the 2017 legislation’s core objective of establishing an EU securitisation market that helps 
finance the economy without creating risks  to financial stability. The new STS label constitutes one 
building  block  to  this  end  and  helps  to  remove  the  stigma  that  the  EU  securitisation  markets  have 
suffered from since the great financial crisis. Overall, the market seems to work reasonably well, even 
though expectations for a highly dynamic market with increasing volumes and a growing number of 
participants do not yet seem to have been fulfilled. 

However,  this  first  official  stocktake  of  the  new  securitisation  framework  also  raised  a  number  of 
issues with the new framework that are considered to play a role in why the EU securitisation market 
has so far not grown as much as the initiators of the new framework had hoped.  

36 Report on the harmonisation of the SRT practices and processes for the purposes of the Delegated Act 
referred to in Articles 244(6) and 245(6) of the CRR https://www.eba.europa.eu/eba-calls-european-
commission-harmonise-significant-risk-transfer-assessment-securitisation   

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On the prudential treatment of securitisation, which many industry stakeholders consider to be more 
conservative than for comparable products with a similar risk profile, the Commission has launched a 
call for advice to the Joint Committee of the ESAs to analyse the situation in more depth.  Once this 
input is received, the Commission will assess whether or not there is a case for adjustments. 

Concerns with the other part of the new framework, the Securitisation Regulation, focus mainly on the 
claim  of  market  participants  that  complying  with  current  transparency  obligations  is  resource-
intensive,  without  producing  much  added  value  for  the  investor,  particularly  in  the  case  of  private 
transactions.  On  balance,  the  Commission  acknowledges  that  there  is  room  for  improvement,  but 
thinks  that,  for  the  shortcomings  which  the  review  identified,  improvements  could  be  implemented 
without the need to change the Securitisation Regulation. With this in mind, the Commission invites 
ESMA  to  revisit  the  regulatory  and  implementing  technical  standards  that  set  out  the  details  of  the 
transparency regime.  

On a green securitisation framework, the legal mandate puts, at the right time, an important spotlight 
on  the  question  of  how  securitisation  can  be  harnessed  to  support  the  financing  of  the  transition 
towards  a  sustainable  EU  economy,  while  at  the  same  time  avoiding  risks  of  greenwashing.  The 
Commission agrees with the EBA report that there is no need for a separate green securitisation label 
in  the  short  and  medium  term  and  invites  the  co-legislators  instead  to  address  the  issue  in  an 
appropriate  manner  in  the  ongoing  negotiations  on  the  creation  of  an  EuGBS.  In  the  view  of  the 
Commission,  providing  the  securitisation  market  with  the  opportunity  to  play  a  role  in  the  green 
transition is not only essential to further increase the benefits of securitisation for society, but is also 
needed to support the future development of the EU securitisation market itself.  

The  Commission  remains  fully  committed  to  the  aim  of  creating  the  framework  for  a  thriving  and 
stable EU securitisation market. Such a market is an indispensable building block of a genuine Capital 
Markets  Union  and  might  become  even  more  important  for  tackling  the  challenges  of  financing 
economic activity in the significantly more difficult market environment that seems to be evolving at 
the moment. The Commission will therefore continue to closely monitor the securitisation market and 
intervene,  if  and  when  deemed  appropriate,  to  fully  reap  the  benefits  of  a  thriving  securitisation 
market for the EU.  

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