Securitisation | Recent regulatory developments

New technical standards for synthetic securitisation

On 13 October 2022, Commission Implementing Regulation 2022/1929 of 31 March 2022 was published (the "New Implementing Regulation"). The New Implementing Regulation amended the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS (simple, transparent and standardised) notification requirements for on-balance-sheet synthetic securitisations. This was necessary following the extension of the STS securitisation framework to on-balance sheet synthetic securitisations pursuant to Regulation (EU) 2021/557.

Pursuant to Regulation (EU) 2021/557, STS on-balance-sheet securitisations should feature a sequential amortisation system to be eligible for the STS label and in that context, on 20 September 2022, the EBA published its final draft regulatory technical standards (the "draft RTS") specifying the performance-related triggers for STS on-balance-sheet securitisations that feature non-sequential amortisation.

While the New Implementing Regulation entered into force on the twentieth day following its publication, the draft RTS still need to be submitted to the Commission for adoption and for scrutiny by the European Parliament and the Council.

ESAs' advice on the review of the securitisation prudential framework

In pursuit of reviving the EU securitisation market and in response to the European Commission's call for advice on the review of the securitisation prudential framework, the Joint Committee of the European Supervisory Authorities (EBA, EIOPA and ESMA) published its joint advice on 12 December 2022.

The joint advice, which consists of two parts (review of the securitisation prudential framework for banks and review of the securitisation framework in Solvency II applicable to (re)insurers), includes targeted recommendations to support the securitisation market in a prudent manner and to promote the issuance of resilient securitisations qualifying for a more beneficial capital treatment, without jeopardizing investor protection and financial stability.