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Securitisation Regulation

The Securitisation Regulation has been in effect since 1 January 2019 and applies to all securitisations of which the securities were issued on or after that date. Therefore, the Securitisation Regulation applies to securitisations of which the securities were issued on or after 1 January 2019 or that created new securitisation positions on or after that date.

The objective of the regulation is to stimulate the securitisation market and to address the risks inherent in highly complex, opaque and risky securitisations.

About the Regulation

Securitisation involves pooling otherwise non-marketable or difficult-to-market assets by means of risk segmentation (known as ‘tranching’) into marketable securities. The EU’s Securitisation Regulation lays down a general framework for securitisations, accompanied by criteria and procedures. The Regulation also introduces a specific framework for simple, transparent and standardised (STS) securitisations.

Investors in STS securitisations (with the exception of UCITS and AIF managers) are subject to lower capital requirements. This stimulates the market for securitisations, which helps to free up more funds for investments in businesses and business financing. The Regulation also sets new requirements for the issue of non-STS securitisations.

The requirements under the Securitisation Regulation applying to investors in securitisations concern investments in both types of securitisations: STS and non-STS. Specific requirements apply to institutional and other investors, issuers and third-party verifiers, respectively.

Which requirements apply to institutional and other investors in securitisations?

Requirements apply to institutional and other investors (who are not originators, sponsors or original lender). These requirements include:

  • Checking whether the issuing institutions satisfy the credit-granting requirements, risk retention and transparency.
  •  Checking the risk characteristics and other structural characteristics of the securitisation.
  • Having written procedures in place to continuously monitor these careful checks.

Performing stress tests on the solvency and liquidity of the sponsor (the credit institution placing or administrating the securitisation bonds) in the event of a fully-supported ABCP programme.

Which requirements apply to institutions involved in the issue of a securitisation?

Requirements apply to institutions that are involved in the issue of a securitisation. Institutions that are involved in the issue are original lenders, originators, sponsors and securtisation special purpose entities (SSPE).

Originator, sponsor, original lender

The following applies for these institutions (and for SSPEs when they act in these roles):

• a risk retention requirement - continuously retaining a material net economic interest in the securitisation of not less than 5%.
• transparency requirements - making information available to holders of a securitisation position, competent authorities and, upon request, for potential investors via a securitisation repository or the website of the issuing institution (this requirement only applies to SSPEs, originators and sponsors)
• a resecuritisation ban – a securitisation where at least one of the underlying exposures is a securitisation position, save for some exemptions.
• criteria for lending - when providing securitised loans, the same criteria must be applied as for non-securitised loans.

Securitisations may only be sold to retail clients under certain strict conditions.

SSPE

Furthermore, SSPEs may not be established in a country that:

• has been placed on the list of non-cooperative countries and areas with a high risk by the Financial Action Task Force (FATF); and/or
• has not signed an agreement with a Member State to ensure that that third country fully complies with the standards of the model treaties of the Organisation for Economic Cooperation and Development (OECD)regarding taxation and the exchange of information.

Which requirements apply to third parties / certifying parties?

Third parties can offer to act as certifiers of STS securitisations. They must have a licence for this. The AFM grants these licences if third parties:

• only charge non-discriminatory and cost-based fees
• are not credit institutions, investment firms, insurance companies or rating agencies
• do not endanger the independence or integrity of the assessment by carrying out other activities
• do not provide any form of advisory, audit or equivalent service to the originator, sponsor or SSPE involved in the securitisations which the third party verifier assesses
• have a management body of which the members have professional qualifications, knowledge and experience that are adequate for the task of the third party verifier and they are of good repute and integrity
• have a managerial body that consists of at least one third, but no fewer than two, independent directors
• have procedures and systems in place to avoid and report conflicts of interest
can demonstrate that they have proper operational safeguards and internal processes that enable it to assess STS compliance

Supervision of securitisations

A securitisation is subject to supervision by the competent authorities in the Netherlands when one or more of the following four parties is established in the Netherlands:

• the originator;
• the sponsor;
• the original lender; or
• the securitisation special purpose entity (SSPE).

Securitisations of which the originator, sponsor or original lender is licensed by the Dutch Central Bank (De Nederlandsche Bank, DNB) are subject to the DNB’s supervision. All other securitisations are subject to the AFM’s supervision. Securitisations may be subject to supervision in multiple EU/EEA Member States.

You can find more information about the reporting requirements on this page.

Deregistration of SSPEs

Dutch SSPEs subject to the AFM’s supervision must annually pay the AFM levies in respect of this supervision. When a Dutch SSPE has materially ceased to exist, it can deregister with the AFM (by sending an email to securitisaties@afm.nl). The SPPE will then no longer have to pay any more levies as of the date on which the SPPE is no longer subject to the exposures referred to in the Securitisation Regulation, on which it no longer has securities outstanding and on which the final distribution of all balances has taken place.

In transaction documentation, this date is in some cases also referred to as the ‘final redemption date’. In addition, in some cases, all assets may be migrated to a foreign SSPE. SSPEs must provide evidence to substantiate on which date this took place. If an SSPE does not deregister, the AFM will continue to impose levies until the entity has been formally dissolved.

Questions?

If you have any questions regarding the Securitisation Regulation, please contact the AFM via securitisaties@afm.nl.