The STS Securitisations Regulation (STS-R), one of the cornerstones of the Capital Markets Union, establishes a general framework for securitisations and a framework for simple, transparent and standardised (‘STS’) securitisations.
Securitisations are cash-flow transactions, whereby the credit risk associated with an exposure or a pool of exposures is broken down into tranches. These credit exposures are thereby able to be made tradeable. According to market data in the Association for Financial Markets in Europe’s (AFME) Securitisation Data Report – Q2 2020, as at year-end 2019 European securitisations boasted an outstanding volume of EUR 1,155 bn. A substantial part (55%) of this volume is in securitisations of mortgage loans. Due to the effects of the Covid-19 pandemic, the volume of issuances of European securitisations was substantially lower during the second quarter of 2020 at EUR 49.2 bn, one of the lowest amounts since the Global Financial Crisis of 2008/2009. There is a certain degree of uncertainty attached to the market data on European securitisations, not least due to the high number of private transactions, however as a result of the transparency requirements in the STS-R, in the future there will be an improved and harmonised reporting system and consequently more easily comparable market data available.
On 23 September 2020 a total of 7 implementing regulations supplementing the STS-R enter into force. The technical standards about transparency requirements laid down in the STS-R will permit the registration of securitisation repositories under the supervision of ESMA. Until a first securitisation repository has authorised, the relevant information about the respective securitisation must continue to be published via appropriate websites. Notifications from the reporting date of 23 September 2020 must be made in XML format using the new templates. The technical standards constitute a significant step towards the standardisation of transparency requirements, and thereby contribute towards a more efficient securitisation market.
The following 7 implementing regulations in relation to the STS Regulation enter into force on 23 September:
Technical Standards on Disclosure Obligations under the STS Regulation:
- Commission delegated regulation supplementing Regulation (EU) 2017/2402 with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (Disclosure RTS);
- Commission implementing regulation laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE (Disclosure ITS);
Technical Standards on STS Notification under the STS Regulation:
- Commission delegated regulation supplementing Regulation (EU) 2017/2402 of 12 December 2017 and laying down regulatory technical standards specifying the information to be provided in accordance with the STS notification requirements (RTS on STS notifications);
- Commission implementing regulation laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements with associated Annexes (ITS on STS notifications)
Technical Standards regarding Trade Repositories under the STS Regulation:
- Commission delegated regulation supplementing Regulation (EU) 2017/2402 with regard to regulatory technical standards on securitisation repository operational standards for data collection, aggregation, comparison, access and verification of completeness and consistency (RTS on operational standards);
- Commission implementing regulation laying down implementing technical standards with regard to the format of applications for registration as a securitisation repository or for extension of a registration of a trade repository pursuant to Regulation (EU) 2017/2402 (ITS on registration);
- Commission delegated regulation supplementing Regulation (EU) 2017/2402 with regard to regulatory technical standards specifying the details of the application for registration of a securitisation repository and the details of the simplified application for an extension of registration of a trade repository (RTS on registration).