TSI and the German Banking Industry Committee (GBIC), together with Leaseurope and Eurofinas, have responded to the European Commission’s consultation on the new draft Delegated Regulation on the LCR, which closed today (see also TSI kompakt of 17 June). The Commission’s proposal was assessed positively overall, as it addresses key market concerns. The planned opening for lower rating categories, the removal of the WAL limits, and the harmonisation with STS requirements represent important progress. At the same time, linking the LCR rules to the new category of “resilient” transactions could lead to additional complexity, market fragmentation, and disincentives – particularly for low-risk asset classes such as auto ABS or trade receivables.
The assessment of TSI, DK, Leaseurope and Eurofinas is summarised as follows:
Positive aspects of the LCR proposal
- Expansion of credit quality steps: CQS1 to CQS7 are now eligible for Level 2B – thus also covering securities with a rating of A–.
- Removal of the 5-year maturity (WAL) limit: The specifically European maturity restriction is eliminated – this increases flexibility.
- Harmonisation with STS requirements: Homogeneity criteria are aligned with the STS framework – this facilitates application.
- As a result, more transactions and asset classes will be able to meet the LCR criteria, including, as we understand it, ABCP transactions.
Negative aspects from TSI’s perspective
- The new category of “resilient” securitisations creates added complexity: The additional regulatory layer increases effort without clear added value.
- Disincentives through a minimum “attachment point”: The rule favours riskier structures over conservative ABS, e. g. of auto or trade receivables. Linking this to the LCR criteria would disadvantage these high-quality asset classes.
- Risk of market segmentation: The proposed “resilient” securitisation category would cover only a small portion of the market – this could undermine the overall effectiveness of the LCR reform.
- Therefore, the LCR should only be aligned with the “resilient” transactions category after a meaningful revision of that category under the CRR proposal.
Impact on the securitisation market
The reform has the potential to strengthen securitisations as an LCR instrument. Most of the Commission’s proposals are to be welcomed. While securitisation positions will not be upgraded to Level 2A, they will receive the same haircut if all criteria are met. The link to “resilient” transactions, however, urgently needs revision.
Outlook and next steps
The Commission launched its public consultation on 17 June 2025, with feedback possible until today. TSI, DK, Leaseurope and Eurofinas submitted their joint statement on time. It is expected that the feedback on the LCR consultation will feed into the ongoing discussion on the European Commission’s proposals for securitisation regulation.