EBA launches a consultation on high quality securitisation

Yesterday, the European Banking Authority launched a consultation paper on high quality securitisation. This paper follows the formal request of the European Commission to the EBA for advice on this issue. The consultation period ends on January 14.

Two publications from the EBA on securitisation - one set of final draft technical rules and a consultation

Yesterday was a busy day for the European Banking Authority on the securitisation front with the publication of two paper. First, they published their final draft regulatory technical standards on securitisation retention rules and related requirements (together with final draft technical standards on the convergence of supervisory practices related to the implementation of additional risk weights in the case of non-compliance with the retention rules). Secondly, it published a public consultation on draft guidelines for assessing significant risk transfer for securitisation transactions. These guidelines are to be part of the EU Single Rulebook in the banking sector. The public consultation runs until […]

EBA's LCR approach to ABS is coming under fire

Following the October 23rd public hearing held by the EBA on the liquidity cover ratios (LCRs), the authority's approach to ABS seems to be coming under a growing amount of public criticism. This can be seen, for example, in this article published by Euroweek here.

EBA presentation on LCR

As indicated in yesterday's News item, the EBA had undertaken to place their presentation on LCRs at the public hearing on their website. This has now been done and the presentations may be found here.

EBA has a public hearing on the LCRs. No good news for securitisation

Today, the EBA held a public hearing on the LCRs generally. The meeting was somewhat unusual in that the hearing was on two EBA reports where no drafts had been circulated. The EBA did apologise for this, citing brutal time pressures. As a result, the hearing took place over slides that were shown for the first time at the meeting itself. The EBA was also at pains to indicate that these slides represented a draft of the report to be presented and not the final conclusions. The EBA indicated that the slides would appear on their website, although they do […]

EBA launches a consultation on large exposures and proposes to change the treatment of securitisation

EBA last Friday launched an consultation paper entitled "EBA consultation on draft Technical Standards to determine the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets". In the paper the EBA proposes to treat all tranches of securitisations as "first loss" tranches, giving no credit to subordination. Although this sentence is infelicitous, closer reading of the proposal indicates that this approach is only relevant to the calculation of exposure limits. The EBA explains why it is proposing this treatment for exposure calculation and does not call into question the efficacy of subordination […]

EBA publishes a consultation paper on the definition of liquid assets for the Liquidity Coverage Ratio

The European Banking Authority is required to provide advice to the European Commission on the types of assets that may be allowed to count toward a bank's Liquidity Coverage Ratio (LCR). On February 21st, the EBA released a discussion paper presenting the methodology and scope of its forthcoming analysis on definitions of highly liquid assets and requesting expressions of views by March 21st 2013 (http://eba.europa.eu/News--Communications/Year/2013/EBA-consults-on-the-process-to-define-highly-liqui.aspx). Following the consultation, the EBA will deliver its final report to the European Commission for integration in CRD. This is a very important consultation for the future of securitisation in Europe. Any high quality asset […]

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