19 January 2015

EBF（欧州銀行協会）、EBA（欧州銀行機構）によるシンプルで標準化された透明性の高い証券化に関するディスカッション・ペーパーへのコメントを公表

The European Banking Federation (EBF) notes that the European Banking Authority (EBA) paper distils the essence of other papers recently issued and puts forward a pragmatic solution to identify simple standard and transparent securitisations which is a necessary step to move forward and take concrete actions. Importantly, the proposals have to be assessed together with the revisions to the Securitisation Framework which latest version has been published by the BCBS in December 2014 after two consultations.

Additionally, the Committee and IOSCO have issued a consultative document with proposed criteria for identifying simple, transparent and comparable securitisations. Moreover, it has been announced that the Committee will consider in 2015 how to incorporate such criteria into the Securitisation Framework.

The identification of simple standard and transparent securitisations in Europe is a necessary step but not sufficient to revive the European securitization market. It needs to be coupled with slight changes to the capital requirements framework that would permit the revival to happen. For that purpose, the EBF response begins with a section of introductory remarks on the securitisation prudential framework including a plausible proposal to promote the EU qualifying securitisation market with no further delay.

This EBF response document is based on the EBF stance elaborated in previous answers to relevant consultations on the subject by the Basel Committee and the BoE and the ECB. The EBF position is enhanced with specific suggestions as to the questions raised in the EBA Discussion Paper.

Introductory remarks on the securitisation prudential framework

The EBA analysis of the situation of the securitisation market rightly starts with a first recommendation for a holistic review of the regulatory framework which includes a number of policy measures of different nature that have been (or are to be) enacted with a direct effect on diverse securitisation instruments. Only in the light of that information the effects of new initiatives could be rightly construed.

Evidence suggests that the current prudential framework implies capital for all tranches that is a large multiple of the capital required for holding the underlying assets. For many asset classes, the multiplying factor is more than 2 in all EU countries and it scales up to 4 or 5 in some countries. This is clearly reflected in the EBA analysis of SME retail portfolios .Against this background, it is imperative to address this issue in the first place.

The EBF has long advocated approaches based on the concept of capital neutrality pre-and post-securitisation, Arbitrage-Free-Approach (AFA) as well as its conservative calibrated version, the Conservative Monotone Approach (CMA) for the prudential treatment of securitisations3. In this vein, the EBF, with the agreement of the vast majority of its members ,would like to propose as an effective and immediate measure that European policy makers can take without any significant departure from the international standards, to put in place with no delay a European Simplified Supervisory Formula Approach (SSFA) for qualifying securitisations. The use of a European SSFA will set a more stable and fair prudential scheme for European originated securitisations for the following reasons:

• It will remove the uncertainty entailed in sudden rating fluctuations
• It will limit the pro-cyclicality associated to credit ratings
• It will avoid the bias implied by the domicile effect of external ratings documented in the EBA analysis

European policy makers should play a crucial role in the international debate to ensure that the European case is carefully taken into account by the Basel Committee in the design of a prudential framework for securitisations that incorporates a preferential treatment for Simple Standard and Transparent Securitisations.

The tradability of securitised instruments is important for the sustainability of a liquid market. For that purpose, the prudential rules of the wider scope of financial institutions should be revised including those of asset managers and insurers.

Full response

© EBF