The Joint Committee of the European Supervisory Authorities (ESAs) – ESMA, EBA and EIOPA – wish to highlight the impact in the change of status of ‘Simple, Transparent and Standardised’ (STS) securitisation transactions after the end of the Transition Period on 31 December 2020.
For a securitisation transaction to qualify as an STS securitisation, the Securitisation Regulation[1] requires that the originator, sponsor and the securitisation special purpose vehicle (SSPE) be established in the Union[2].
Accordingly, those securitisation transactions currently labelled as
“STS securitisations” will lose the STS status where one or all the
securitisation parties (originator, sponsor and/or the SSPE) are
established in the UK after the end of the transition period. This will
apply to STS asset-backed commercial paper (ABCP) securitisations and
STS non-ABCP securitisations. ESMA is working with national competent
authorities to ensure that ESMA’s STS securitisation public register is
up to date on 1 January 2021.
The loss of the STS status implies that the preferential capital
treatment available for investments in this type of securitisations will
come to an end. This will affect EU institutional investors, such as
credit institutions and insurance entities, holding positions in STS
securitisations where the originator, sponsor or the SSPE are
established in the UK. The ESAs therefore advise these investors to
assess the impact of this change of status on their balance sheet and
investments ahead of 31 December 2020.
[1]
Regulation 2017/2402 of the European Parliament and of the Council
laying down common rules on securitisation and creating a European
framework for simple, transparent, and standardized securitisation and
amending Directives 2009/65/EC, 2009/138/EC, 2011/61/EU, and Regulations
(EC) No 1060/2009 and (EU) No 648/2012.
[2]
Article 18 last paragraph of the Securitisation Regulation states: “The
originator, sponsor and SSPE involved in a securitisation considered
STS shall be established in the Union”.
© ESMA
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