In response to a call for advice received from the European Commission in January 2014, and as a key component of ongoing dialogue regarding bank capital requirements and the rejuvenation of European securitisation, the European Banking Authority (EBA) has issued its Final Report and Opinion on a European framework for qualifying securitisation.

The Report proposes:

  • A systematic review of the regulatory framework for securitisations and other investment products, including covered bonds and whole loan portfolios;
  • Qualifying securitisation criteria based on those in the EBA’s Discussion Paper on simple standard and transparent securitisations issued in October 2014, with some improvements reflecting comments received;
  • Modified criteria for asset-backed commercial paper (ABCP) issued by bank-sponsored multi-seller ABCP programmes and for exposures to underlying transactions within those programmes; and
  • Specific changes to the bank credit risk capital charges for qualifying securitisations, using as the baseline the Revisions to the Basel securitisation framework published in December 2014, to reduce (but not eliminate) the amount of additional capital required for securitised vs. non-securitised pools of assets.

The European Commission will consider the Report and Opinion and may produce a legislative proposal later this year.