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

The following Banking & Finance practice 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
  • Brexit—onshoring of the EU securitisation framework
  • EU CRR Amendment Regulation—Level 2 measures
  • EU 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
  • More...

In each section of this Practice Note, links are given to the relevant provisions of EU and/or UK legislation, as applicable, and significant divergence between EU and UK legislation is explained.

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 designed to promote investment and boost growth.

The Commission’s initiative resulted in:

  1. Regulation (EU) 2017/2402 (OJ L 347, 28.12.2017, p. 35) (the EU Securitisation Regulation), which applies to all EU 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 (OJ L 347, 28.12.2017, p. 1) (the EU CRR Amendment Regulation) which makes the capital treatment of securitisations for banks and investment firms under the Capital Requirements Regulation (EU) 575/2013 (EU CRR) more risk-sensitive and able to reflect properly the specific features of STS securitisations

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

In addition, Commission Delegated Regulation (EU) 2018/1221 (OJ L 227, 10.9.2018, p. 1) (the EU Solvency II Delegated Act Amendment Regulation) was published in the Official

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