EBA欧洲银行-EBA-OP-2016-06-Report-on-Securitisation-Risk-Retention-Due-Diligence-and-Disclosure_25页_799kb

EBA Report on Securitisation Risk Retention, Due Diligence and Disclosure (Under Article 410(1) of the CRR)

Core Content

This report provides an annual analysis of the compliance with securitisation risk retention, due diligence and disclosure requirements in the EU, as mandated by Article 410(1) of the Capital Requirements Regulation (CRR). It reviews the supervisory actions taken by competent authorities in 2014 and evaluates how the EBA's recommendations from 2014 were incorporated into the new EU securitisation framework.

Main Points

1. International and EU Regulatory Developments

• Securitisation Market Issues: Pre-crisis misaligned interests between originators/sponsors and investors contributed to loss of investor confidence. Post-crisis, regulations were introduced to align incentives by requiring originators/sponsors to retain a financial interest in securitisations.
• EU Risk Retention Rules: Implemented in January 2011 via Article 122a of CRD II, requiring originators/sponsors to retain at least 5% of the net economic interest in securitisations.
• CRR Updates: In January 2014, the CRR replaced CRD II's risk retention provisions with Part Five Titles II and III (Articles 405-409), introducing detailed rules.
• EBA Technical Standards: The EBA issued Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) in December 2013, effective from July 2014, to specify and implement the risk retention rules.
• US Regulations: The US implemented risk retention rules later, effective from December 2015 for residential mortgage-backed securitisations and December 2016 for other asset-backed securities.

2. Supervisory Measures in 2014

• Number of Institutions Involved: 258 institutions across the EU were exposed to securitisation in 2014, with the majority (82%) concentrated in Germany, Italy, Spain, the UK, the Netherlands, France, and Belgium.
• SSM Data: As of 30 June 2015, 86 significant institutions under the Single Supervisory Mechanism (SSM) had 15,326 securitisation positions.
• Non-Active Markets: Some Member States reported minimal or no securitisation activity due to more efficient funding tools or adverse economic conditions.
• Compliance Assessments: Most competent authorities did not significantly alter their supervisory frameworks since the 2014 compliance study. Only Germany introduced changes, including an updated audit reporting regulation.
• Supervisory Practices:
  • Dedicated teams were set up by some competent authorities for securitisation oversight.
  • In the SSM, compliance assessments are institution-specific, based on risk and proportionality.
  • Supervisory assessments typically occur annually, with both originator and investor institutions being reviewed.
  • Assessments include on-site reviews and stress tests, and are based on the CRR's prescriptive requirements.

3. Non-Compliance Cases and Sanctions

• Non-Compliance Reports: Only 10 cases of non-compliance with risk retention and due diligence rules were reported since 2011.
• Sanctions:
  • In one case, additional risk weights were applied under Article 407 of the CRR.
  • In the other non-compliance case, the credit institution applied additional risk weights for three days due to a short holding period, and the position was sold after that.
• Due Diligence Non-Compliance:
  • One Member State identified two non-compliance cases in 2014.
  • One case involved an investor outsourcing investments without sufficient control.
  • Another case involved an institution not fulfilling disclosure obligations to investors.

4. EBA Recommendations and Regulatory Proposals

• The EBA has made several recommendations to enhance the regulation of securitisation, including:
  • Improving transparency and legal certainty in compliance with retention rules.
  • Enhancing supervisory practices and frameworks.
• These recommendations were largely incorporated into the new securitisation framework proposed by the Commission in September 2015, and further amended by the EU Council in December 2015.
• The EBA is tasked with developing draft RTS to detail risk retention requirements, and may develop ITS to facilitate supervisory convergence.
• ESMA is required to publish a report on the functioning of due diligence, risk retention, and transparency requirements in the EU.

Key Information

• Compliance Status: Most competent authorities have not found significant non-compliance with the rules, suggesting that the current framework is generally effective.
• Enforcement Challenges: There is a lack of formal methodologies for enforcement, and non-compliance is often addressed on a case-by-case basis.
• Regulatory Evolution: The EU continues to refine its securitisation regulations, with the new framework aiming to enhance transparency and legal certainty.
• Role of the EBA: The EBA plays a central role in developing technical standards and providing guidance to competent authorities to ensure consistent and effective supervision.

Conclusions

• The EBA is satisfied with the incorporation of its recommendations into the new EU securitisation framework.
• Compliance with the risk retention, due diligence, and disclosure rules is generally good, with few reported breaches.
• Supervisory practices are institution-specific and often flexible, with a focus on risk and proportionality.
• Competent authorities are encouraged to keep their practices under review and adapt to potential changes in the regulatory framework.