Regulatory capital treatment of securitisations under CRR and Solvency II
Regulatory capital treatment of securitisations under CRR and Solvency II

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
  • 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: As of 31 January 2020, the UK is no longer an EU Member State, but has entered an implementation period during which it continues to be treated by the EU as a Member State for many purposes. As a third country, the UK can no longer participate in the EU’s political institutions, agencies, offices, bodies and governance structures (except to the limited extent agreed), but the UK must continue to adhere to its obligations under EU law (including EU treaties, legislation, principles and international agreements) and submit to the continuing jurisdiction of the Court of Justice of the European Union in accordance with the transitional arrangements in Part 4 of the Withdrawal Agreement. For further reading, see: Brexit—introduction to the Withdrawal Agreement. 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 Impact of 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 Member States—a Capital Markets Union or CMU. This was