asset-backed commercial paper (ABCP)

EBA Opinion and Report on the Establishment of a European Framework for Qualifying Securitizations

The European Banking Authority (EBA) has published an Opinion and Report on the establishment of a European framework for qualifying securitizations.

The Opinion contains five recommendations for establishing of a European framework for qualifying securitizations including a need to:

  • conduct a review of the entire regulatory framework for securitizations and other investment products;
  • create a framework for qualifying securitizations; and
  • establish criteria to define both qualifying term securitizations and qualifying asset-backed commercial paper (ABCP).

The Report proposes a more risk-sensitive approach to capital regulation for long-term securitization instruments, as well as for ABCP and illustrates how the capital charges set out in the recent revision of the Basel Committee on Banking Supervision 2014 securitization framework should be lowered to recognize the relatively lower risk of qualifying products, while at the same time maintaining restraints on regulatory capital.