Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

This is a joint reaction of the Netherlands Ministry of Finance, the Netherlands Authority
for the Financial Markets and the Dutch Central Bank, each institution with their own role
and responsibilities. Please note that this reaction is subject to a parliamentary reserve.

Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

Introductory comments
The Netherlands supports the Commission’s initiative to develop a framework for simple,
transparent and standardised (‘qualifying’) securitisations. Securitisations not only serve
as an important funding source and investment class for banks, insurers and other
financial institutions, it is also an important means to transfer risks to those parties that
are willing and able to carry those risks. This can also contribute to achieving a more
diversified investment portfolio from the perspective of the investor. Therefore
securitisations are well suited to contribute to achieving one of the aims of the Capital
Markets Union (CMU), which is to make capital markets function more effectively in
connecting investors and those who need funding.
As a funding tool securitisations contribute to a diversified funding profile for financial
institutions, which enhances financial stability. In the context of the CMU, however, the
risk transfer potential of securitisations is especially relevant. Due to several underlying
causes that are discussed in the consultation paper, the use of securitisations as both a
funding tool and a risk transfer tool are currently under pressure, even though credit
losses in large parts of the European securitisation markets (including the RMBS issued in
the Netherlands) have been very limited over the past years. In our view urgent and
clear steps are needed to not only ensure securitisations can contribute to meeting the
goals of the CMU, but also to safeguard the viability of the EU securitisation market as a
whole. Regulatory uncertainty and imbalances in the prudential treatment of qualifying
securitisations compared to similar instruments such as covered bonds and the capital
requirements for underlying assets need to be addressed on short notice.
Such steps would in any case need to include a recalibration of certain aspects of the
capital requirements for banks and insurers investing in securitisations. This would also
include the need to address the treatment of securitisations compared to other asset
classes and the treatment of securitisations compared to the underlying assets of these
securitisations (‘non-neutrality’). The current prudential requirements for investments in
securitisations do not seem to be in line with the requirements for investments in
comparable asset classes, after correcting for differences in the underlying (credit) risk.
This was also recognised by the European Banking Authority (EBA) in their consultation
document1. The current prudential requirements therefore incentivise institutions to
decrease their exposure to securitisations (see also our answers to questions 8C and 912).
Below you will find specific comments in response to the questions posed in the
consultation paper. If necessary we would be more than willing to provide additional
information and clarification, and we look forward to a Commission legislative proposal
on this important topic.

1

EBA Discussion Paper on simple standard and transparent securitisations and their potential regulatory treatment’, 14

October 2014.

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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

Response to questions in the consultation paper
Question 1
A. Do the identification criteria need further refinements to reflect
developments taking place at EU and international levels? If so, what
adjustments need to be made?
B. What criteria should apply for all qualifying securitisations ('foundation
criteria')?
Answer to questions 1A and 1B: In our view the criteria in the liquidity coverage ratio
(LCR) and Solvency II delegated acts and the advice the EBA will provide on the required
criteria (expected to be delivered this June), serve as a natural and sensible starting
point for developing a EU framework for qualifying securitisations.
In addition we would like to point out two aspects. First, some of the criteria in the LCR
and Solvency II delegated acts may need further clarification or refinement. This would
make sure that the prudential criteria herein do not form a disproportionate obstacle in
practice. An example would be article 13 2(c) of the LCR delegated act which stipulates
the need to demonstrate enforceability against any third party. From a prudential
perspective however it might suffice to demonstrate enforceability against the seller of
the securitisation. The proposed criteria in the aforementioned EBA consultation paper
also do not stipulate the need to demonstrate enforceability against any third party.
Second, the criteria in the LCR and Solvency II delegated acts specify that only senior
tranches of securitisations qualify. In our view a framework for qualifying securitisations
could also include non-senior tranches. These tranches could in practice equally comply
with the qualifying criteria. Moreover, including non-senior tranches is relevant in the
context of the CMU as these tranches would in practice need to deliver the transfer of
credit risk. Nonetheless we would not object to adding additional (credit) risk features to
the qualifying framework – as proposed in the consultation paper – to counterbalance the
inclusion of non-senior tranches within the qualifying framework. Additional risk features
would however need to be carefully drafted to avoid that parts of the EU securitisation
market would not be able to comply with these risk features, whilst having a proven
excellent credit loss track record. Grandfathering clauses for outstanding securitisations
may also be necessary in these cases.
As a final point, the consultation paper provides several examples of possible foundation
criteria. We support the examples presented in the paper, notably the exclusion of resecuritisations, the requirement for the underlying asset pool to be homogenous and the
need for a sufficiently robust transfer of the underlying exposures to a securitisation
vehicle from a legal point of view (‘true sale’). These requirements would in our view
need to apply to all qualifying securitisations.

Question 2
A. To what extent should criteria identifying simple, transparent, and
standardized short-term securitisation instruments be developed? What criteria
would be relevant?
B. Are there any additional considerations that should be taken into account for
short-term securitisations?
Answer to questions 2A and 2B: When considering the potential impact of securitisation
on the real economy, Asset-Backed Commercial Paper (ABCP) is a valuable tool. We
agree the characteristics of short term paper like ABCP are fundamentally different from
longer-term securitisations and that these differences necessitate a specific approach.
However we feel we should first implement a qualifying securitisation framework
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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

focussing on general longer-term securitisations before extending this framework to for
example ABCP (please also see the answers to questions 9 to 12). Any possible future
criteria related to ‘qualifying’ ABCP would in any case need to take into account the
heterogeneous nature of the underlying assets, the greater need for liquidity support and
the role of the sponsor.

Question 3
A. Are there elements of the current rules on risk retention that should be
adjusted for qualifying instruments?
B. For qualifying securitisation instruments, should responsibility for verifying
risk retention requirements remain with investors (i.e. taking an "indirect
approach")? Should the onus only be on originators? If so, how can it be
ensured that investors continue to exercise proper due diligence?
Answer to questions 3A and 3B: The risk retention rules are one of the most important
regulatory reforms related to securitisations after the financial crisis, significantly
improving the alignment of interest of originators and investors. We do not see elements
in the current rules that need to be adjusted for qualifying securitisations. The indirect
approach would also need to be applied to qualifying securitisations, even though it
might not always be straightforward for investors to verify whether originators comply
with the risk retention requirements.

Question 4
A. How can proper implementation and enforcement of EU criteria for qualifying
instruments be ensured?
A number of aspects need to be considered when deciding on the implementation and
enforcement of qualifying securitisations. These aspects encompass the trustworthiness
and reliability of the qualifying label, the ease and timeliness of the certification process,
both ex ante and ex post, and the manner in which the implementation and enforcement
of the criteria affect moral hazard and due diligence. We see two possible avenues for the
implementation and enforcement of the qualifying framework:
1) self-attestation by issuers;
2) certification by an independent non-profit party, not being a supervisory
authority.
Having the originator check whether the securitisation complies with the qualifying
criteria provides timely certification. Also it may not weaken the incentives for thorough
due diligence by investors. In addition the administrative burden may be lower due to the
fact that in-depth knowledge of the securitisation is already available at the originating
party. In this scenario, prudential supervisors could however still be responsible for
verifying whether issuers have adequate internal processes and arrangements in place
that would justify self-attestation, as was also suggested by the ECB and the Bank of
England in their common response to this consultation.
Certification by an independent and non-profit third party could on the other hand
increase market confidence in the qualifying framework. Putting the certification process
in the hands of a single third party moreover prevents interpretation differences of the
applicable criteria. However, supervision of this independent party is necessary to ensure
correct implementation of the qualifying framework.
As both options have merits and drawbacks, we want to advocate further discussions
with market parties and supervisors. In either scenario it will be important to make sure

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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

that investors themselves retain a large responsibility for verifying compliance with
retention requirements and to continue engaging in proper due diligence. This is key in
order to minimise moral hazard risks.
One way to ensure on-going enforcement of the qualifying criteria is to introduce a
responsibility for the originator to report any significant change to the structure of the
securitisation.
B. How could the procedures be defined in terms of scope and process?
For issuers it is of key importance that the process can be undertaken in a simple,
standardised and timely manner. It is important to limit as much as possible the
administrative burden on issuers that want to certify a securitisation. The use of standard
templates would therefore be preferred. In addition standard reporting increases the
ease with which investors can check the qualifying status. The scope should always
encompass the entirety of the criteria relevant to achieving qualifying status.
C. To what extent should risk features be part of this compliance monitoring?
In case risk features are included in the qualifying criteria, it would in principle be logical
to include them in compliance monitoring as well, taking into account potential risks
related to moral hazard as mentioned in the answer to question 4A.

Question 5
A. What impact would further standardisation in the structuring process have
on the development of EU securitisation markets?
B. Would a harmonised and/or optional EU-wide initiative provide more legal
clarity and comparability for investors? What would be the benefits of such an
initiative for originators?
C. If pursued, what aspects should be covered by this initiative (e.g. the legal
form of securitisation vehicles; the modalities to transfer assets; the rights and
subordination rules for noteholders)?
D. If created, should this structure act as a necessary condition within the
eligibility criteria for qualifying securitisations?
Answer to questions 5A to 5D: Criteria related to standardisation should be part of a
legislative proposal for a harmonised EU framework for qualifying securitisations, and
compliance with these criteria should be a necessary condition for a ‘qualifying’
securitisation. Care should however be taken that requirements are feasible in practice
and contribute to achieving the aims of the securitisation initiative. For example, in the
aforementioned consultation paper the EBA proposes that voting rights are assigned to
the most senior credit tranches. However this might deter investors in non-senior
tranches, which is crucial for achieving risk transfer. It is most important to ensure ex
ante that the rights and subordination rules are clear to investors in all the different
securitisation positions.
With respect to the modalities to transfer assets, we refer to our remark on true sale in
the answer to question 1.

Question 6
A. For qualifying securitisations, what is the right balance between investors
receiving the optimal amount and quality of information (in terms of
comparability, reliability, and timeliness), and streamlining disclosure
obligations for issuers/originators?
It is key that investors have sufficient information to assess underlying risks. For that to
be possible loan-level data of good quantity and quality needs to be available. As an
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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

example, from our conversations with market parties we understand the privately
developed European Data Warehouse (EDW) provides a satisfactory quantity of data, but
quality and completeness of the data are sometimes lacking. Moreover some investor
reports do not contain enough information on prepayment information and default rates.
Further harmonisation and standardisation of, for example, investor reports and
disclosure obligations could improve the comparability, reliability and quality of
information available to market parties. Additionally, further harmonisation and
standardisation improves the ease with which investors can process information.
Availability of information should always be contingent on privacy laws (please also see
the answer to question 16 on SME securitisation).
B. What areas would benefit from further standardisation and transparency, and
how can the existing disclosure obligations be improved?
Notwithstanding the areas mentioned in question 6A, further standardisation of
definitions and performance metrics would be welcomed. A remaining issue is more
standardised reporting on qualitative characteristics of the securitisation transaction, for
example servicing characteristics.
In the Netherlands the Dutch Securitisation Association (DSA) for example already
provides standard templates for customary securitisation proceedings. The DSA designed
a standard which denotes criteria on disclosure and investor reporting. Dutch market
parties indicate they acknowledge this kind of standardisation as useful.
C. To what extent should disclosure requirements be adjusted – especially for
loan-level data – to reflect differences and specificities across asset classes,
while still preserving adequate transparency for investors to be able to make
their own credit assessments?
The current framework of asset class specific templates seems sufficient.

Question 7
A. What alternatives to credit ratings could be used, in order to mitigate the
impact of the country ceilings employed in rating methodologies and to allow
investors to make their own assessments of creditworthiness?
B. Would the publication by credit rating agencies of uncapped ratings (for
securitisation instruments subject to sovereign ceilings) improve clarity for
investors?
Answer to questions 7A and 7B: We are of the opinion that an EU framework for
qualifying securitisation is not the appropriate venue to address the issue of sovereign
ceilings. Sovereign ceilings are not only relevant in the context of securitisations, but also
exist in other asset classes - such as covered bonds - that are not part of this initiative.
Sovereign ceilings are applied by rating agencies to include estimates of
country/sovereign risk that might not be captured in their basic structured finance
methodologies, as discussed by the EBA in their aforementioned consultation paper. It is
clear that these caps will subsequently lead to lower ratings for securitisation tranches
issued in those jurisdictions, thereby leading to higher capital requirements for investing
in these positions. Sovereign ceilings can in theory be removed, however the perceived
underlying country risk will not disappear. Removing ceilings would therefore risk
underestimating the (total) credit risk of a securitisation, which is not to be welcomed,
especially not in the context of a ‘qualifying’ securitisation. Therefore it would be
preferable if – as suggested in question 7B – that rating agencies publish both capped
and uncapped ratings. This enables investors to gauge the impact of country ceilings,
subsequently deciding for themselves whether they are of the opinion that rating
agencies accurately estimate sovereign risks. Given that rating agencies seem to

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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

increasingly provide more information on capped ratings, further regulatory measures
might not be necessary to achieve this aim.

Question 8
A. For qualifying securitisations, is there a need to further develop market
infrastructure?
Keeping information accessible is of great importance to the well-functioning of the
securitisation market. The EDW is proving very useful and access to a central information
repository should be kept. As mentioned in the answer to question 6A quality and
completeness of the information available to market parties could however be further
improved.
B. What should be done to support ancillary services? Should the swaps
collateralisation requirements be adjusted for securitisation vehicles issuing
qualifying securitisation instruments?
SPV's which qualify under EMIR as (non-)financial counterparties above the clearing
threshold, need to provide collateral for derivative transactions. Considering covered
bond issuing entities are exempt from providing collateral, we feel securitisation SPV’s
should be treated in the same way as they share many characteristics. We support the
remarks made by the ECB and Bank of England on this issue in their common response
to this consultation.
As was also signalled by the Bank of England and the ECB in their paper dated 29 May
2014, another potential concern relates to minimal rating requirements for swap
providers that are necessary for a securitisation to obtain a given rating. Downgrades of
swap providers lead to the need to provide additional collateral, and could eventually
require replacing the swap provider. However other external swap providers might not be
readily available in a stressed environment, or only at significant costs, taking into
account that the number of highly rated swap providers has decreased over the past
years. This would be a concern in situations where one external swap provider would
need to be replaced by another external provider. Often the originator of the
securitisation acts as the swap provider (‘internal’ swap provider). Also in these cases a
situation of financial stress might lead to the need to find an external swap provider if the
originator is faced with rating downgrades. There is no easy solution to this matter. At a
minimum, investors need to be able to factor in the risk of a rating downgrade of swap
providers in their decision making.
In any case this is not to say that swaps would need to be excluded from a qualifying
securitisation framework. Swaps that are for example used to hedge interest rate and
currency risks need not be complex, may reduce risk for investors and provide more
simplicity for investors as these (non-credit) risks would not need to be estimated by
investors any more.
C. What else could be done to support the functioning of the secondary market?
As issuance has decreased markedly since the financial crisis, large investors such as
institutional investors find it difficult to refinance large securitisation portfolio’s. As
liquidity diminishes they shift to other asset classes. Making sure the capital and liquidity
treatment of securitisations is more in line with the underlying risks and more in line with
comparable asset classes such as covered bonds, will in our view also contribute to
improving the market liquidity of securitisations and the functioning of secondary
markets (please also see the answers to questions 9 to 12 below).

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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

Question 9
With regard to the capital requirements for banks and investment firms, do you
think that the existing provisions in the Capital Requirements Regulation
adequately reflect the risks attached to securitised instruments?
Question 10
If changes to EU bank capital requirements were made, do you think that the
recent BCBS recommendations on the review of the securitisation framework
constitute a good baseline? What would be the potential impacts on EU
securitisation markets?
Question 11
How should rules on capital requirements for securitisation exposures
differentiate between qualifying securitisations and other securitisation
instruments?
Question 12
Given the particular circumstances of the EU markets, could there be merit in
advancing work at the EU level alongside international work?
Answer to questions 9 to 12: In our view concrete steps are needed in the short to
medium term to complement a framework for qualifying securitisations with a
recalibration of capital and liquidity requirements for banks and capital requirements for
insurers investing in securitisation positions. This adjustment in the capital treatment can
be justified on the basis that qualified securitisations would need to comply with multiple
criteria related to simplicity, transparency and standardisation. We propose the following
two-step approach:
Step 1: a Commission legislative proposal containing an EU framework for qualifying
securitisations that contains criteria for qualifying securitisations and can be applied
across all sectors. As such, the legislative proposal should be overarching and specific
regulatory frameworks such as CRR and Solvency II should be able to refer to the criteria
in the overlaying legislative proposal. Part of step 1 should also be a roadmap that
contains sector-specific (legislative) actions for the short to medium term. This would
help to find a balance between on the one hand recognising that not all sector-specific
modifications can be made at short notice, and on the other hand provide as much clarity
as possible to market participants on the anticipated future changes to the EU
securitisation framework. This would help reduce regulatory uncertainty.
Step 2: As a second step – and complementing the overarching legislative proposal in
step 1 - sector-specific action is needed in the short to medium term including further
legislative proposals where necessary (although these proposals would not necessary all
have to be tabled simultaneously). This could contain at least the following:
a) the EBA is currently engaged in further in-depth analysis on the calibration of
bank capital requirements in relation to the introduction of qualifying
securitisations, and is expected to deliver concrete results around June 2015. In
case the EBA proposes concrete recommendations related to the capital treatment
of qualifying securitisations, the Commission should come up with a legislative
proposal to amend the CRR to take this on board. This would need to include any
possible recommendations by the EBA related to (non-)senior tranches and the
issue of non-neutrality. A qualifying securitisation framework should aim at more
appropriate levels of non-neutrality of capital charges for banks investing in
qualifying securitisations. Currently, capital requirements for securitisation
positions can be several multiples of the requirements that are applicable to the
underlying assets. This does not seem justified for qualifying securitisations as the
criteria mitigate uncertainty related to the securitisation structure;
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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

b) integrating the new Basel securitisation framework in EU legislation. Alignment
with this new Basel framework should be aimed at. This would nevertheless need
to take into account EU specificities were justified. The EBA would be well
equipped to advise on the aspects of the new Basel framework that might need
modification in the context of the EU;
c) the Basel Committee is currently also investigating the need to come up with a
framework for ‘simple, transparent and comparable’ securitisations. This includes
an investigation whether the new Basel securitisation framework would need to be
amended accordingly. Alignment with Basel criteria on ‘simple, transparent and
comparable’ securitisations should be aimed at as well, again taking into account
possible EU specificities that the EBA might put forward;
d) investigating whether the EU framework for qualifying securitisations in step 1
could be expanded. This could include looking into the merits and drawbacks of
allowing certain synthetic securitisations to be included in the qualifying
framework, as these type of securitisations need not be complex in all cases and
could be especially relevant in the context of SME securitisations. The possible
inclusion of short term securitisations into the qualifying framework could also be
investigated. In any case, short term and synthetic securitisations could be
considered ‘out of scope’ until further notice. This implies that these type of
securitisations will initially – at least in step 1 - not be considered either qualifying
or non-qualifying, thereby retaining the current prudential requirements for these
instruments for the time being;
e) address important remaining and broader issues related to 1) capital
requirements for insurers investing in securitisations and 2) the relative treatment
of investments by banks in securitisations compared to similar asset classes from
the perspective of liquidity requirements:
1. the Commission could issue a call for advice for EIOPA specifically on the
capital requirements for insurers investing in qualifying securitisations. This
call could encompass amongst others the treatment of securitisations
compared other asset classes and possibilities for improving risk sensitivity
(please also see our answer to question 14A);
2. the relative treatment of securitisations compared to other asset classes is
a very important consideration for banks whether or not to invest in
securitisation positions. To this end, the Commission could issue a call for
advice for EBA on the liquidity treatment of qualifying securitisations. In
our view the calibration of securitisations and covered bonds in the LCR
delegated act creates disproportionate incentives to invest in covered
bonds compared to securitisations. This can be adjusted by for example
moving ECAI 2 covered bonds from level 2A to level 2B in the liquidity
buffer. This would ceteris paribus enhance incentives to invest in
securitisations, without decreasing the level of prudence of the LCRstandard as a whole. The Commission could propose these type of
adjustments by making use of their mandate to review the LCR delegated
act at any time in accordance with CRR article 462.

Question 13
Are there wider structural barriers preventing long-term institutional investors
from participating in this market? If so, how should these be tackled?
A lack of access to easily comparable information and inappropriate capital treatment
relative to comparable asset classes may present barriers to participation by institutional
investors. See also our answers to questions 6 and 8.

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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

Question 14
A. For insurers investing in qualifying securitised products, how could the
regulatory treatment of securitisation be refined to improve risk sensitivity? For
example, should capital requirements increase less sharply with duration?
Solvency II introduced a differentiated treatment for Type 1 securitisation. In our view,
this is an important step in moving towards a qualifying framework. Risk sensitivity could
be improved by ensuring that capital requirements increase less sharply with duration, by
differentiating capital treatment between credit quality steps and by more suitably
differentiating between the capital treatment of whole loans and the securitisation of
these loans (non-neutrality).
B. Should there be specific treatment for investments in non-senior tranches of
qualifying securitisation transactions versus non-qualifying transactions?
As stated in the answer to question 1, non-senior tranches should in our view not be
excluded from the qualifying framework. Non-senior tranches could still adhere to the
simplicity, transparency and standardisation criteria. The capital treatment of a
securitisation should subsequently make a distinction between senior and non-senior
tranches.

Question 15
A. How could the institutional investor base for EU securitisation be expanded?
We feel the qualifying framework will contribute to expanding the investor base for
securitisations through addressing the stigma that is currently attached to securitisations,
providing harmonisation and standardisation and promoting a more suitable capital
treatment in relation to the underlying risks and relative to comparable asset classes.
B. To support qualifying securitisations, are adjustments needed to other EU
regulatory frameworks (e.g. UCITS, AIFMD)? If yes, please specify.
Decisions on harmonisation of definitions and disclosure requirements made in the
context of this qualifying framework should be implemented across the different
regulatory frameworks to improve the functioning of the market and to create a level
playing field for both investors in and issuers of securitisations. Please also refer to our
remarks related to EMIR in the answer to question 8B.

Question 16
A. What additional steps could be taken to specifically develop SME
securitisation?
Investing in SME securitisation means assessing a relatively heterogeneous portfolio of
loans. The ease with which this portfolio can be assessed is therefore of great importance
for the functioning of this market. The availability of standardised and comparable
information, while considering privacy laws, is therefore crucial.
It is important for all tranches of a securitisation to qualify for the framework, although
their capital treatment should of course reflect the differences in the underlying credit
risk. As argued in the answers to questions 9 to 12, we also feel the inclusion of certain
synthetic securitisations in the qualifying framework could be considered at a later stage.
B. Have there been unaddressed market failures surrounding SME
securitisation, and how best could these be tackled?
Information asymmetry remains an important market failure in the SME securitisation.
The steps to improve information provision mentioned in earlier questions could help
alleviate these concerns.

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Response of the Netherlands – European Commission consultation document
on an EU framework for simple, transparent and standardised securitisation

C. How can further standardisation of underlying assets/loans and
securitization structures be achieved, in order to reduce the costs of issuance
and investment?
Standardisation plays an central role in the Dutch securitisation market. Using templates,
issuers can quickly provide information and investors can quickly ascertain or compare
specific information on underlying assets or the structure of the transaction.
D. Would more standardisation of loan level information, collection and
dissemination of comparable credit information on SMEs promote further
investment in these instruments?
Please see the answers to questions 16A to 16C.

Question 17
To what extent would a single EU securitisation instrument applicable to all
financial sectors (insurance, asset management, banks) contribute to the
development of the EU's securitisation markets? Which issues should be
covered in such an instrument?
Standardisation is of great importance to develop the EU’s securitisation market.
Standardisation facilitates comparison and the investment decision. We therefore
welcome a harmonized set of criteria for banks, insurers and other relevant actors that
define solid securitisations. National legal differences however exist, which make the
development of a single pan-European securitisation instrument challenging. Assets
underlying securitisations may also differ between countries because of national
legislation and market characteristics. Constructing a pan-European securitisation
instrument will most likely also be time-consuming. The benefits of doing so might
therefore not outweigh the costs.

Question 18
A. For qualifying securitisation, what else could be done to encourage the
further development of sustainable EU securitisation markets?
Some market parties indicate that they would welcome a more precise definition of what
constitutes a significant risk transfer. Additional guidelines on this subject would create
more clarity and may encourage issuance.
In addition, one of the drawbacks of a qualifying framework could be creating cliff effects
between qualifying and non-qualifying securitisations with respect to the capital
requirements attached to both categories. While differentiation is appropriate, we should
not negate part of a market that caters to a real investor demand. Attention should
therefore be paid to a suitable capital treatment for both sets of securitisations.
B. In relation to the table in Annex 2 are there any other changes to
securitization requirements across the various aspects of EU legislation that
would increase their effectiveness or consistency?
Please see the answers to questions 8B and 15B.

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