It is a formality, since the market has been referring to them ever since they were published, but technically the EBA non-ABCP Guidelines that were published on 12 December 2018 became applicable with effect from 15 May (as did the ABCP Guidelines). Any analysis whether a deal is STS or not will have to refer […]
The Securitization Regulation became applicable on 1st January 2019, and applies to both STS and non-STS issues, both public issues (i.e. where there is a prospectus required) and private ones (where no prospectus is required). There are various RTS contemplated, in particular regarding homogeneity (an STS requirement) and on risk retention – and these two […]
On Wednesday, the UK issued the draft Securitisation (Amendment) (EU Exit) Regulations 2019, the SI that would domesticate the Securitisation Regulation on 29th March 2019 if we have a hard Brexit. There are two interesting changes: whereas EU27 STS must have all three of the originator, sponsor and issuer in the EU27, UK STS will […]
AFME’s position paper, issued last Friday, on ESMA’s 339-page proposed RTS and ITS on disclosure (which would apply to all securitisations, STS or not, from 1st January 2019) pulls no punches. As foreshadowed last month, AFME expresses “grave concerns” that they would, if implemented, cause serious damage and “severe problems” to both STS and non-STS […]
European automotive captives are “a vital part of the European car industry” say die Banken der Automobilwirtschaft, das Verband der Automobilindustrie and le Comité des Constructeurs Français d’Automobiles in their LCR ratio position paper issued on Wednesday. The captives are subsidiaries of the large European manufacturers. They lend to buyers of new cars over a […]
Basel and other regulators seem to regard credit risk as being under control and have identified reputational and IT risks – risk you cannot close off with prudential capital charges – as the sources of the next crisis. Another one being talked about is potential illiquidity for funds, which are buying more illiquid assets in […]
A letter sent jointly by AFME, ICMA, and various pan-European, Dutch and German trade bodies repeats the points you have read in this blog about the continuing very uneven playing field for securitisation compared to other fixed income instruments, and especially covered bonds: for Solvency II, the risk factors remain too high for non-senior tranches […]
Last Friday afternoon the EC adopted the Solvency II Delegated Act, which (if approved by the EP and the Council) would improve the capital treatment of STS-senior position for insurers (to be more closely aligned with covered bonds) as from 1st January 2019, but leaving non-senior STS and non-STS transaction holdings unattractive.