Draft ID: 0532be7a-3d02-402a-bede-508fa5f50657
Date: 04/12/2024 14:46:21
Targeted consultation on the functioning of
the EU securitisation framework
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Introduction
When soundly structured,
securitisation
can play a positive role for the economy as a tool for attracting new investor
money, and a risk management tool transferring credit risk from banks (or non‑bank lenders) to a broad set of EU or
third country institutional investors, which in turn would benefit from greater exposure diversification. Securitisation can
help deepen capital markets and provide greater financing opportunities. It should also free up the balance sheets of
banks and non‑bank lenders, thereby enabling them to provide additional lending to the real economy. Promoting
sustainable growth of the EU securitisation market is a key initiative under the
2020 capital markets union action plan
.
With future investment needs for the green and digital transition projected to grow, and in order to enhance the EU’
s productivity, competitiveness, and resilience, optimal allocation of capital will become increasingly necessary. It is
important to ensure that bank and non‑bank lenders have at their disposal all the necessary tools, including
securitisation, to fund strategic priorities, while safeguarding financial stability.
The overall size of the European securitisation market has decreased significantly since the 2008‑2009 global financial
crisis (GFC), from
approximately EUR 2trn at its peak
to
EUR 1.2trn at the end of 2023
. In the meantime, securitisation
has recovered fully and even surpassed pre‑GFC records in non‑EU jurisdictions like the US where it increased from
USD 11.3tn in 2008 to
USD 13.7tn in 2021
, and this despite the higher default rates of US‑originated securitisations in
the wake of the GFC.
In light of the above, the 2019 EU securitisation framework
[1]
was introduced with the core objective of reviving an
EU securitisation market that helps finance the economy without creating risks to financial stability. In particular, the
Securitisation Regulation introduced common rules on due diligence, risk retention and transparency, and created a
category of simple, transparent and standardised (STS) securitisation products. While the 2019 framework and its
subsequent amendments
[2]
improved transparency and standardisation in the securitisation market, stakeholder
feedback gathered in preparation of the
Commission Report on the functioning of the Securitisation Regulation
, and
subsequent stakeholder engagement
[3]
, indicates that issuance and investment barriers remain high, impeding the
EU economy from fully reaping the benefits that securitisation can offer. Originators and investors argue that issuance
and investment barriers are partly driven by the conservativeness of specific aspects of the regulatory framework, such
as transparency and due diligence requirements, as well as the capital and liquidity treatment of securitisations.
Against this background, the
Eurogroup statement of 11 March 2024
invited the Commission to assess all the supply
and demand factors hampering the development of the securitisation market in the EU, including the prudential
treatment of securitisation for banks and insurance companies and the transparency and due diligence requirements
1