The ESAs published their final report together with the final Draft RTS on the disclosure of sustainability factors for STS securitisations on 25 May. This was prompted by the 2020 Capital Market Relief Package, which called on the EBA to explore how technical standards for ESG disclosure of TST securitisations could be designed (see TSI kompakt of 11 January 2021). In May 2022, the ESAs made initial proposals on sustainability factors for STS securitisations (see TSI kompakt of 2 May 2022). TSI participated in this consultation together with its stakeholders. Noteworthy is the relative voluntariness, titled in the report as “The mandatory nature of the optional disclosure regime”.
Main contents of the final Draft RTS
- Originators who opt for reporting environmental performance information can do so under the final Draft RTS. However, those who do so must report in accordance with the currently consulted SFDR RTS (see TSI kompakt of 17 April).
- The final Draft RTS only applies to STS securitisations whose underlying exposures are residential loans, auto loans and leases. There is no corresponding disclosure option for other asset classes.
- The focus is on the reporting of the principal adverse impact (PAI) of the financed real estate or vehicles and thus deviates significantly from the use-of-proceeds approach of the European Green Bond Standard.
- ABCP transactions and programmes are not covered.
Next steps
The Draft RTS for ESG disclosure of STS securitisations will be submitted to the European Commission in due time. The Commission has three months to decide whether to endorse these technical standards. Subsequently, the Draft RTS will enter into force 20 days after publication in the Official Journal.