In der Presseerklärung der EU heißt es dazu:
The European Commission has today adopted delegated acts under the Solvency II Directive and the Capital Requirements Regulation which will help promote high quality securitisation, ensure that banks have sufficient liquid assets in testing circumstances and introduce international comparability to leverage ratios. …
„These detailed rules put more flesh on the bones of the Solvency II Directive and the Capital Requirements Regulation“, said EU Commission Vice-President Michel Barnier, responsible for Internal Market and Services. „They show that Europe is serious about creating a framework to support investment in the economy, particularly through promoting safe and transparent securitisation and encouraging insurers to invest for the long term. They also show that Europe is at the forefront of implementing internationally agreed principles and is making our financial institutions more resilient, while allowing for the financing needs of the real economy and respecting the diversity of our financial sector.“ …
The Solvency II and Liquidity Coverage Ratio delegated acts establish a risk-sensitive prudential treatment for banks and insurance undertakings acting as investors in securitisations. A more favourable treatment applies to highly transparent, simple and sound securitisation instruments with a view to supporting investment in Europe’s economy. …
Solvency II, a new harmonised sound and robust prudential framework for insurance and reinsurance firms in the EU, will apply from 1 January 2016. Solvency II also aims to ensure that the rules do not present any unnecessary obstacles to insurance and reinsurance firms investing in the European economy with a long term focus, creating sustainable, inclusive, resource-efficient and job-creating growth in Europe. …
The new capital requirements will be more risk-sensitive and more sophisticated than in the past and allow individual insurers to have better coverage of the real risks they run. They will incentivise insurers, acting as investors, to channel more funds into safe, simple and transparent securitisation markets in Europe, contributing to their development and liquidity. The new requirements also put a greater focus on risk management, and introduce stricter rules on the disclosure of certain information. …
The liquidity coverage requirement sets out the detailed rules for the calculation of the general liquidity coverage requirement already established in the Capital Requirements Regulation (CRR). This regulation was adopted in June 2013 as the single rulebook for prudential requirements for all banks in the EU…..
Securitisation can constitute an important funding instrument for the economy. Securitisation markets can enable banks and non-banks to refinance loans/assets by pooling them and converting them into securities that may be liquid, tradable and attractive to institutional investors.
However, highly complex, opaque and risky instruments such as subprime instruments were one of the triggers of the financial crisis. Therefore there is a need to identify transparent, simple and sound securitisation instruments. This issue is currently being explored at both EU and international level.
The Solvency II and Liquidity Coverage Ratio delegated acts are, however, the first legislative acts to provide a differentiated approach to securitisation. Securitisation positions will be eligible for a more proportionate and risk-sensitive prudential treatment for banks and insurance undertakings acting as investors, provided that they meet a set of eligibility criteria, which are set out in the delegated acts.
Liquidity Coverage Requirement Delegated Act: Frequently Asked Questions
Des Weiteren wurde auch der delegated act zur Leverage Ratio verabschiedet
Of particular note, this act allows “high quality securitisations” for certain asset classes to be counted as level 2B high-quality liquid assets (“HQLA”), including:
|
HQLA |
Tier |
Cap applicable |
Haircut applicable |
|
Covered bonds ECAI 1 |
1 |
70% |
7% |
|
Covered bonds ECAI 2 |
2A |
40% |
15% |
|
RMBS securitisation |
2B |
15% |
25% |
|
Auto loan securitisations |
2B |
15% |
25% |
|
SME loan securitisations |
2B |
15% |
35% |
|
Consumer loan securitisations |
2B |
15% |
35% |
|
Unrated high quality covered bonds |
2B |
15% |
30% |