Regulatory capital treatment of securitisations under CRR and Solvency II from 1 January 2019
Regulatory capital treatment of securitisations under CRR and Solvency II from 1 January 2019

The following Banking & Finance guidance note provides comprehensive and up to date legal information covering:

  • Regulatory capital treatment of securitisations under CRR and Solvency II from 1 January 2019
  • EU securitisation framework—background and purpose
  • CRR Amendment Regulation—Level 2 measures
  • CRR Amendment Regulation—Level 3 measures
  • UK regulatory materials
  • Regulatory capital treatment of securitisations—definitions
  • Regulatory capital treatment of securitisations—credit institutions and investment firms
  • Funding transactions vs capital relief transactions
  • Regulatory capital position of originators of traditional securitisations
  • Regulatory capital position of originators of synthetic securitisations
  • more

BREXIT: The UK is leaving the EU on Exit Day (as defined in the European Union (Withdrawal) Act 2018). This has an impact on this Practice Note. For guidance, see Practice Notes: Brexit—impact on finance transactions—Brexit planning and impact—financial services, Brexit—impact on finance transactions—Key issues for securitisation transactions , Brexit—impact on finance transactions—Derivatives and debt capital markets transactions—key SIs and Preparing for Brexit: Securitisation Regulation—quick guide.

EU securitisation framework—background and purpose

In September 2015, the European Commission published the Action Plan on Building a Capital Markets Union. The Action Plan proposed a broad range of measures which would create a unified capital market across the EU’s 28 Member States—a Capital Markets Union or CMU. This was designed to promote investment and boost growth.

The Commission’s initiative resulted in:

  1. Regulation (EU) 2017/2402 (the Securitisation Regulation), which applies to all securitisations and includes due diligence, risk retention and transparency rules together with the criteria for simple, transparent and standardised (STS) securitisations, and

  2. Regulation (EU) 2017/2401 (the CRR Amendment Regulation) which makes the capital treatment of securitisations for banks and investment firms under the Capital Requirements Regulation (EU) 575/2013 (CRR) more risk-sensitive and able to reflect properly the specific features of STS securitisations

The Securitisation Regulation and the CRR Amendment Regulation entered into force on 18 January 2018 and applied from 1 January 2019.

In