PCS provides reports on two regulatory aspects associated with new regulation for the securitisation market. First, an article 270 assessment which is a service for checking whether a securitisation falls within the ambit of Article 270 of the CRR Regulation. Second, an STS report which is a service to analyse a previously completed transaction and determine whether and to what extent such transaction could achieve STS status and if not, what the gaps are in order to achieve STS designation.
The two sub-tabs to this page provide more information on the article 270 assessment and STS report respectively.
PCS, being the Belgian not-for-profit association and its UK and French subsidiaries, provides a number of services to capital market participants. These are PCS Labels (being both the True Sale Label and the Risk Transfer Label), STS Reports (including Grandfathering Reports), STS Verifications and Assessments (being both CRR Assessments and LCR Assessments). These products taken together are the “PCS Services”.
No PCS Service is a recommendation to buy, sell or hold securities. None are investment advice whether generally or as defined under Markets in Financial Instruments Directive (2004/39/EC) and none are a credit rating whether generally or as defined under the Credit Rating Agency Regulation (1060/2009/EC).
Prime Collateralised Securities (PCS) UK Ltd ("PCS UK") is authorised by the United Kingdom Financial Conduct Authority, pursuant to article 28 of the STS Regulation (2017/2402/EU), to act as a third party verifying STS compliance,. This authorisation covers STS Verifications in the European Union.
Other than as specifically set out above, none of the activities involved in providing the PCS Services are endorsed or regulated by any regulatory and/or supervisory authority nor are the PCS Association or either of its subsidiaries, PCS UK and PCS EU, regulated by any regulator and/or supervisory authority including the Belgian Financial Services and Markets Authority, the United Kingdom Financial Conduct Authority, the French Autorité des Marchés Financiers or the European Securities and Markets Authority. (PCS has indicated publicly its intention to seek authorisation as a third party verification agent under the STS Regulation in France but this authorisations is not at present in place).
By assessing the STS or CRR status of, or awarding any PCS Label to, any securities or financing, neither the PCS Association nor PCS UK nor PCS EU express any views about the creditworthiness of these securities or financings or their suitability for any existing or potential investor or as to whether there will be a ready, liquid market for these securities or financings.
Equally, by completing (either positively or negatively) any STS or CRR status assessment of, or by awarding (or declining to award or withdrawing) a PCS Label to, certain instruments, no statement of any kind is made as to the value or price of these instruments or the appropriateness of the interest rate they carry (if any).
In the provision of any PCS Service, PCS has based its decision on information provided directly and indirectly by the originator, sponsor or protection buyer of the relevant securitisation. Specifically, it has relied on statements made in the relevant prospectus or deal sheet, documentation and/or in certificates provided by, or on behalf of, the originator, sponsor or protection buyer in accordance with PCS’ published procedures for the relevant PCS Service. You should make yourself familiar with these procedures to understand fully how any PCS Service is completed. These can be found the website. Neither the PCS Association nor PCS UK nor PCS EU undertake their own direct verification of the underlying facts stated in the prospectus, deal sheet, documentation or certificates for the relevant instruments and the completion of any PCS Service is not a confirmation or implication that the information provided by or on behalf of the originator, sponsor or protection buyer as part of the relevant PCS Service is accurate or complete.
The PCS entities take reasonable measures to ensure the quality and accuracy of the information on this site. However, neither the PCS Association nor PCS UK nor PCS EU can be held liable in any way for the inaccuracy or incompleteness of any information that is available on or through this website. In addition, neither the PCS Association nor PCS UK nor PCS EU can in any way be held liable or responsible for the content of any website linked to this site.
When entering any of the “Transaction” sections of the PCS website, you will be asked to declare that you are allowed to do so under the legislation of your country. The circulation and distribution of information regarding securitisation instruments (including securities) that is available on this site may be restricted in certain jurisdictions. Persons receiving any information or documents with respect to or in connection with instruments (including securities) available on this site are required to inform themselves of and to observe all applicable restrictions.
The PCS Labels are labels that seek to identify asset backed securities that comply with the published eligibility criteria chosen by the PCS Association. These criteria seek to capture some of the aspects of securities and risk transfer instruments that are indicative of simplicity, asset quality and transparency and reflect some of the best practices available in the European securitisation market for both true sale and risk transfer securitisations.
They also reflect the PCS Labels’ focus on securitisations that fund the real economy and, in the case of true sale securitisations, are compatible with good liquidity. The selection of the PCS Label criteria cannot reflect an objective, scientific process but is a subjective view as to what constitutes today simplicity, asset quality and transparency in the European asset-backed market. Other market participants may disagree with this selection. The notion of “best practice” in the capital markets is also a subjective notion and each investor will need to satisfy himself, based on his . /her own analysis, whether any security does meet “best practice”, requisite levels of simplicity, asset quality and transparency as such investor determines them to be. You should make yourself familiar with the eligibility criteria for both PCS Labels which can be found on the PCS website.
In compiling an STS Report or completing an STS Verification (together “the STS Assessments”), PCS bases its analysis on the STS criteria appearing in Articles 20 to 26 of the Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 (the “STS Regulation”) together with, if relevant, the appropriate provisions of Article 43, (together, the “STS criteria”). Unless specifically mentioned in the STS Assessment, PCS relies on the English version of the STS Regulation.
In addition, Article 19.2 of the STS Regulation requires the European Banking Authority, from time to time, to issue guidelines and recommendations interpreting the STS criteria. The EBA has issued such guidelines and recommendations on 12 December 2018 (the “EBA Guidelines”).
Finally, the task of interpreting individual STS criteria rests with national competent authorities (“NCAs”). Any NCA may publish or otherwise publicly disseminate from time to time interpretations of specific criteria (“NCA interpretations”).
The STS criteria, as drafted in the STS Regulation, are subject to a potentially wide variety of interpretations. In compiling an STS Assessment, PCS uses its discretion to interpret the STS criteria based on (a) the text of the STS Regulation, (b) any relevant EBA Guideline and (c) any relevant NCA Interpretation. Although PCS believes its interpretations reflect a reasonable approach based on PCS’ reading of the various sources and knowledge of the legislative history, there can be no guarantees that any regulatory authority or any court of law interpreting the STS criteria will agree with the PCS interpretation.
There can be no guarantees that any future EBA Guidelines or NCA interpretations may not differ in their approach from those used by PCS in interpreting any STS criterion prior to the issuance of such new guideline or interpretation.
In particular, EBA Guidelines are not binding on any NCA. There can be no guarantees that any interpretation by any NCA will be the same as that set out in the EBA Guidelines and therefore used, prior to the publication of such NCA interpretation, by PCS in completing an STS Assessment.
Finally, although PCS will use all reasonable endeavours to ascertain the position of any relevant NCA as to STS criteria interpretation, PCS cannot guarantee that it will have been made aware of any NCA interpretation in cases where such interpretation has not been officially published by the relevant NCA.
No PCS entity is a law firm and nothing in any PCS Assessment constitutes legal advice in any jurisdiction.
Accordingly, the provision of an STS Assessment is only an opinion by PCS and not a statement of fact. It is not a guarantee or warranty that any national competent authority, court, investor or any other person will accept the STS status of the relevant securitisation. Therefore, no entity should rely on a STS Assessment in determining the STS status of any securitisation and must perform its own due diligence and reach its own conclusions.
An STS Assessment speaks only as of the date on which it issued. PCS has no obligation to monitor (nor any intention to monitor) any securitisation the subject of an STS Assessment. PCS has no obligation and does not undertake to update any STS Assessment to account for (a) any change of law or regulatory interpretation or (b) any act or failure to act by any person relating to those STS criteria that speak to actions taking place following the close of any transaction such as – without limitation - the obligation to continue to provide certain mandated information.
PCS will not monitor any ongoing disclosures required by Article 7 of the STS Regulation. PCS shall have no liability for any loss of any kind suffered by any person as a result of a securitisation whose STS Assessment indicated that it met, in whole or in part, the STS criteria being held for any reason as not so meeting the relevant criteria save in the case of deliberate fraud by PCS. PCS shall also not have any liability for any action taken or action from which any person has refrained from taking as a result of the compilation of an STS Assessment.
In compiling a CRR Assessment or an LCR Assessment (together “the CRR/LCR Assessments”), PCS bases its analysis on the additional criteria appearing in the Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 (the “CRR Regulation”) setting out additional factors that STS securitisations are required to meet before (a) in the case of a CRR Assessment, benefiting from lower capital requirements for European bank investors and (b) in the case of an LCR Assessment, being eligible for inclusion by a European bank in its “liquidity cover ratio pool” (together the “CRR/LCR criteria”). Unless specifically mentioned in the CRR/LCR Assessment, PCS relies on the English version of the CRR Regulation.
The task of interpreting individual CRR/LCR criteria as well as the final determination of the capital required by a bank to allocate for any investment or the type of assets it may put in its LCR pool rests with prudential authorities (“PRAs”) supervising any European bank.
The CRR/LCR criteria, as drafted in the CRR Regulation, are subject to a potentially wide variety of interpretations. In compiling a CRR/LCR Assessment, PCS uses its discretion to interpret the CRR/LCR criteria based on the text of the CRR Regulation, and any relevant and public interpretation by the European Banking Authority. Although PCS believes its interpretations reflect a reasonable approach, there can be no guarantees that any prudential authority or any court of law interpreting the CRR/LCR criteria will agree with the PCS interpretation.
PCS also draws attention to the fact that, in assessing capital requirements and the composition of any bank’s LCR pool, prudential regulators possess wide discretions.
Accordingly, when performing a CRR/LCR Assessment, PCS is not confirming or indicating that the securitisation the subject of such assessment will be allowed to have lower capital allocated to it under the CRR Regulation or that it will be eligible to be part of any bank’s LCR pool. PCS is merely addressing the specific CRR/LCR criteria and determining whether, in PCS’ opinion, these criteria have been met.
Therefore, no bank should rely on a CRR/LCR Assessment in determining the status of any securitisation in relation to capital requirements or liquidity cover ratio pools and must make its own determination.
No PCS entity is a law firm and nothing in any CRR/LCR Assessment constitutes legal advice in any jurisdiction.
A CRR/LCR Assessment speaks only as of the date on which it issued. PCS has no obligation to monitor (nor any intention to monitor) any securitisation the subject of a CRR/LCR Assessment. PCS has no obligation and does not undertake to update any CRR/LCR Assessment to account for any change of facts, law or regulatory interpretation.
PCS shall have no liability for any loss of any kind suffered by any person as a result of a securitisation whose CRR/LCR Assessment indicated that it met, in whole or in part, the relevant CRR/LCR criteria being held for any reason as not so meeting the relevant criteria or not being able to have lower capital allocated against it or not being eligible for inclusion in a liquidity cover ratio pool save in the case of deliberate fraud by PCS. PCS shall also not have any liability for any action taken or action from which any person has refrained from taking as a result of the compilation of a CRR/LCR Assessment.