The new securitisation regulation

The supervisory authorities have been working on implementing a new securitization regulation to strengthen capital requirements for more than five years. It is finally set to take effect on 01-01-2018. In addition to raising capital requirements, this change entails increased reporting requirements for financial institutions as well. 

Because external ratings are set to be of less importance in the future, a new uniform calculation approach hierarchy for the internal (formula based) approach will be paramount. This approach is, in essence, based on the internal capital requirements of the underlying securitization pools according to IRBA. As a result, the external-ratings-based approach in place to date is intended to become the second level of the new hierarchy while simultaneously being expanded in terms of its data requirements. The standard approach based on CRSA-capital requirements is set to form the third and final level of calculation approaches prior to divestment.

To incentivize the creation of securitization products that are fundamentally more simple and transparent, regulators have created a new supervisory category: STC securitizations. STC-securitizations are, as the name suggests, intended to be simple, transparent und comparable. A catalogue of diverse qualitative and quantitative requirements is set to test for each of these attributes in the future. Reduced capital requirements are to be imposed on STC-classified securitizations. However, it is the investors themselves who are to be obligated to furnish proof that the necessary requirements have been fulfilled, which, to a certain extent, brings about new procedural challenges. 

If you need support implementing and complying with the supervisory requirements laid out in the new securitization regulations, just let us know. Our unparalleled expertise in designing and implementing projects—especially in all matters related to securitization—as well as our wide-ranging technical knowledge mean we have what it takes it takes to provide you with optimal support throughout all phases of the project.