News - PCS

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03/11/2023

UK PRA publishes a paper on future capital calibrations

Following publication of HM Treasury’s near final statutory instrument and consultations by the PRA and FCA, all aiming to adapt the inherited EU Securitisation Regulation for a post-Brexit UK, the PRA has now issued a Discussion Paper on the Capital Requirements for Securitisation. The paper focuses on the consequences for the capital requirements of securitisations of the Basel 3 output floor, the hierarchy of methods for determining these capital requirements and a possible STS for on-balance-sheet (synthetic) securitisations. The initial suggestions of the PRA in all 3 areas deviate from the current trends in EU regulation and are not altogether […]

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16/10/2023

October 2023 Newsletter

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27/09/2023

New PCS Member

It is a great pleasure to announce that Piraeus Bank, a leading systemic Greek Bank, has become the newest member of the PCS Association. We welcome them to the PCS family and look forward to their participation and input.

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24/09/2023

PCS files its response to the Financial Stability Board's request for feedback

PCS filed its response to the FSB's request for feedback on the success or otherwise of the G20 reforms of the rules surrounding securitisation. Although the FSB is a body with a global remit, in line with our social purpose and our area of expertise, PCS' response deals with the impact of securitisation regulations in Europe, including both the European Union and the United Kingdom. In view of the very short time provided by the FSB for comments - a mere three weeks - our piece is short and provides a high-level view of the impact of the current regulations […]

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31/08/2023

An invitation for feedback from the FSB (...no, not that one)

Europe’s Financial Stability Board published, on August 30th, an invitation for feedback on the effects of G20 financial regulatory reforms on securitisation . This is a precursor to a report the FSB intends to write on the topic by mid-2024 and on the draft of which they have committed to consult. With a tight deadline for submission of 22nd September, it is not clear what European securitisation stakeholders will be able to provide. The three week deadline leaves no time for the gathering of meaningful data beyond what is already on stakeholders’ shelves or the articulation of complex argumentation additional […]

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07/08/2023

UK FCA issues a consultation on proposed new rules for securitisation

As a consequence of the UK leaving the European Union, the shaping of the regulatory landscape for finance, including securitisation, became the responsibility of the British government and British regulatory institutions. Following the publication of HM Treasury's near final statutory instrument modifying the European Securitisation Regulation and the UK PRA's consultation on its proposed changes, it is now the turn of the UK FCA to issue its own consultation on changes it would like to see to the existing rules inherited from the EU. A quick glance at the just issued document appears to show at attempt at fixing some […]

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27/07/2023

UK PRA launches public consultation on proposed reforms

UK PRA launches public consultation on proposed reforms The UK Prudential Regulatory Authority (UK PRA) has taken a significant step forward by launching a public consultation on proposed changes to the retained EU Securitisation Regulation and the accompanying technical standards on risk retention and disclosure. The deadline for submissions is Monday 30 October 2023. Rather than undertaking a complete overhaul, the UK PRA aims to introduce targeted adjustments to the existing EU securitisation framework with a target to implement the proposed changes by Q2'24. At headline level, key changes include: While adhering closely to the current technical standards, the UK […]

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23/07/2023

New PCS Member

It is both a pleasure and an honour for us to announce that Attica Bank has become a member of the PCS Association. Headquartered in Athens, Attica Bank shares PCS' commitment to the growth of the securitisation market both in Greece and throughout Europe.

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17/07/2023

New PCS Members

PCS is honoured to receive three new members to the PCS Association. These are Alpha Bank, Eurobank and Waselius & Wist. Alpha Bank and Eurobank are two leading banks in Greece, both active in the securitisation market on the synthetic side. Waselius & Wist is a prominent Finnish law firm based in Helsinki and also active in securitisation having represented the biggest players in the market. We welcome them to the growing PCS family and look forward to their contributions to PCS’ continued mission of assisting European securitisation grow as an essential tool for the funding of the economy.

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13/07/2023

ESMA publishes an updated securitisation Q&A

It would appear policy makers and regulators are clearing their decks before departing for their summer holidays and the welcoming beach. After the publication on Monday of the retention RTS by the Commission and the publication of the near final draft of the UK securitisation statutory instrument by HMT on Wednesday, it is now the turn of ESMA. The European securities regulator has just published an updated set of securitisation Q&As. Unsurprisingly, in view of their remit, these deal primarily with disclosure and templates. Helpfully, ESMA has highlighted additions and amendments. Market participants can now add this to their beach […]

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12/07/2023

UK Treasury publishes near-final draft of the rules replacing the EU Securitisation Regulation

The UK Treasury has published a near final draft of the statutory instrument that will, in due course, fully replace the European Union Securitisation Regulation for the UK market. This draft updates the December 2022 draft on which we commented back then. It comes with a handy and helpful policy note. This new draft does not substantially alter the December version. To summarise the key points: The approach, in line with other changes to the legal and regulatory landscape of UK finance, is to remove large parts of the rules from primary law making and the UK Parliament to vest […]

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11/07/2023

PCS responds to the EBA consultation on STS synthetic guidelines and the Commission issues final RTS on retention

Two for one on news today. First, PCS filed its response to the EBA's consultation on the draft guidelines for synthetic/on-balance-sheet STS securitisations. As we approach the final implementation of the Basel III rules, the issue of capital management has loomed ever larger for many European banks. The increase in synthetic/on-balance-sheet securitisations reflects this trend. Going forward, the creation of a large and successful STS synthetic securitisation segment is likely to be a key element of the future development of the European banking system. This is why this seemingly exceedingly technical and dry consultation is, in reality, of great importance. […]

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07/06/2023

June 2023 Newsletter

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26/05/2023

Joint-Committee publishes final draft of sustainability disclosure templates for STS

Yesterday, the Joint-Committee of the ESA's published the final draft of the RTS on sustainability disclosure templates for STS. To remind everyone, the original STS rules passed in 2017 required mortgage and auto transactions to disclose sustainability information for the underlying assets but only to the extent it was available to the originator. In the 2021 amendment, an additional but entirely optional measure provided that originators of mortgage or auto STS could, should they wish, disclose slightly different information on the "principal adverse impact of the assets financed by underlying exposures on sustainability factors". The legislators then mandated the ESAs […]

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25/04/2023

EBA publishes the RTS on “synthetic excess spread” achieving a sensible and balanced approach

Following their consultation last August the EBA has just published the final draft regulatory technical standard (“RTS”) on the capital treatment of synthetic excess spread. Although a seemingly exceedingly dry and technical subject, the impact of this paper on the European banking industry should not be underestimated. In the last few years, synthetic securitisations have become a key capital management tool for an increasing number of European banks. Without such a tool, the risk of the exiguity of bank capital, in the near future, constraining the credit available to European borrowers was substantial. The regulatory treatment of synthetic excess spread […]

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21/04/2023

EBA publishes consultation paper on Guidelines on the STS criteria for on-balance-sheet (synthetic) securitisation

The European Banking Authority has just launched a consultation on the guidelines for the STS criteria for on-balance-sheet securitisation. Given the growth of on-balance-sheet (synthetic) securitisations since the inclusion in Q2 2021 of synthetic securitisations to the STS framework this is quite important. We will, in due course, review the paper and publish our views. A public hearing will take place via conference call on 30 May 2023 from 14:30 to 15:30 (CEST). The deadline for this consultation is the 7 July, PCS will, of course, be responding.

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03/03/2023

EU Green Bond Standard getting close

This week the European Parliament, European Council and European Commission reached an agreement on a text for the European Union Green Bond Standard. This much anticipated piece of legislation will create a statutory standard for EU green bonds. As those in the securitisation community following these issues know, there was some controversy early on as to how to define "green securitisations" - particularly around whether a green securitisation ought to be a securitisation of green assets or, like other green bonds, a securitisation whose proceeds would be used for EU taxonomy compliant financings. There was also a subsidiary, if connected, […]

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02/03/2023

Under the radar

One that we suspect passed most of you by is a call for papers by CEBRA, the Central Bank Research Association, to be discussed at their annual meeting in New York this July. As many as 37 topics will be discussed, but we spotted this one, organised by Europe’s Financial Stability Board: 19*. “Effects of Financial Reforms on Securitisation Markets” With a deadline of March 10th 2023 (!) for submission of papers, it is unlikely that CEBRA will be deluged. But the fact that the FSB chose to organise this session is not uninteresting, taking into account all the discussions […]

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19/02/2023

Busy Week for the EBA - Homogeneity(Final draft) RTS and Green Lending

Last week was a busy week for the EBA when it comes to items of importance to securitisations. First, the EBA published a final draft RTS on homogeneity for synthetic securitisations. In PCS’ view, this is a thoughtful and altogether excellent proposal. First, it leaves unchanged the division for corporate loans between SMEs and larger corporates but without an artificial line being drawn between the two. On the contrary, the EBA makes it clear that the dividing line should lie where it is drawn by the bank’s own underwriting procedures (and therefore as approved by their prudential regulator. as part […]

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15/12/2022

2022 - The STS Year in Review

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12/12/2022

Joint-Committee of the ESAs response to the Commission is published - expected disappointment has materialised

Today, the Joint-Committee of the ESAs (grouping the EBA, EIOPA and ESMA) has published the long awaited response to the European Commission's Call for Advice on a possible reform of the securitisation capital calibrations under CRR and Solvency II. The response comes in two reports: one for banking and one for insurance. These can be found here and here. As they have just been published, we have yet to read the full conclusions. But the EBA announcement page gives some indication as to the proposals (or lack thereof) contained in the documents. For the CRR, the EBA has proposed to […]

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11/12/2022

UK publishes proposed amendments to the Securitisation Regulation

At the end of last week, the Chancellor of the Exchequer unveiled the government’s roadmap to a new regulatory framework for British finance. Although overlooked by most commentators, the announcement contained detailed proposals to revise the Securitisation Regulation inherited from the EU. These proposals may be found in a draft statutory instrument. There are quite a few highly technical drafting changes the implications of which are still somewhat unclear. But here are the highlights. The definition of “securitisation” remains unchanged. The STS regime remains in place. However, the STS criteria have disappeared from the legislative text altogether and are now […]

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06/11/2022

Stakeholders' letter to European policy makers: "Securitisation cannot play its vital role for the European economy without reform"

PCS has added its name to a securitisation market stakeholders' letter to European policy makers. In addition to PCS, the letter is co-signed by AFME representing wholesale markets, the European Banking Federation representing the banking sector, Leaseurope representing the leasing sector, Eurofinas representing consumer lenders, IACPM representing credit portfolio managers as well as the DSA, Europlace and TSI respectively representing market participants based in The Netherlands, France and Germany. The letter comes back to themes that those who follow PCS have often seen us write about. The importance of a safe but deep securitisation market for the health and growth […]

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31/10/2022

November 2022 Newsletter

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30/10/2022

PCS responds to the EBA's consultation on the draft "homogeneity" RTS

PCS filed its response to the EBA's consultation on the draft "homogeneity" RTS. Broadly, PCS is very supportive of the EBA's overall approach. We are especially in agreement with the idea of keeping a single definition of "homogeneity" for all types of STS transactions, whether true sale or synthetic. We also agree with the need to clarify the definition of "large corporate". We do, however, depart from the EBA in the best way to do this and have concerns with the proposed solution being the only solution on offer. Our response also draws attention to the vital importance of the […]

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16/10/2022

PCS responds to EBA Consultation on Synthetic Express Spread

PCS filed its response to the European Banking Authority's consultation paper on synthetic excess spread. Although this might appear the most abstruse of technical issues, fit only for quants and CRR geeks, the truth is - as PCS sets out in the introduction to its response - that this highly technical matter will have substantially damaging effects on the European economy as a whole if not properly calibrated. Unfortunately, PCS feels that the current EBA proposals are indeed not only miscalibrated but would result in the virtual eradication of the use of synthtetic excess spread in Europe. This, we feel, […]

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10/10/2022

Commission's report on the securitisation regulation is out - but the real battle is yet to come

The European Commission released its report on the review of the Securitisation Regulation on Monday. This was mandated by the Securitisation Regulation itself as part of a normal review process often found in European legislation. There was little to cause surprise to anyone who had been listening to the clear messaging coming from Brussels. The headline was that the Regulation having come into force in 2019 the Commission felt it was too early to tell whether it was working and so no meaningful changes were being proposed. Suggestions of changes to the disclosure rules were welcome, the rejection of a […]

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08/09/2022

The AMF publishes its investigation of STS practices by French banks – it was not impressed

The French AMF, in its capacity as national competent authority under the Securitisation Regulation, did a spot check of five unnamed financial institutions issuing STS securitisations. The regulator looked at the institutions’ procedures around the issuance of STS securitisations generally, then examined in detail a number of transactions. Their conclusions are now published in the form of a report (in English) It would be fair to say that the regulator was deeply unimpressed by what it found in a number of cases. They expressed the view that, for several institutions (unnamed to spare blushes), the processes around the due diligences […]

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06/09/2022

PCS Launches New Website

PCS is excited to announce that today its new website had gone live: www.pcsmarket.org (same place as before, so no need to update those bookmarks). Our website has not just been updated but entirely recreated with a cornucopia of new functionality and up to date information on the European securitisation market. We strongly encourage you to take a tour through the new site and see how much of the information you always wanted to have in an easily readable format in an easily accessible place you can now find there. For clients and potential clients, we have introduced an easy […]

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11/08/2022

EBA publishes consultation on synthetic excess spread

The European Banking Authority has just launched a consultation on the treatment of "synthetic excess spread" or "SES". The issue of the capital treatment of synthetic excess spread in the context of synthetic STS securitisation is a topic that is as arcane as it is important. We will not review here the arguments and possible approaches as this would take way more space that is appropriate for a news item. To summarise, though, in a synthetic securitisation the originator and the investor can agree to an amount which will be deducted from any losses suffered on the securitised pool before […]

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