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    EC Amends Rule on Securitizations; ESRB Updates Reciprocation Measures

    July 27, 2022

    The European Commission published a Delegated Regulation 2022/1301 on the information to be provided in accordance with the simple, transparent, and standardized (STS) notification requirements for on-balance-sheet synthetic securitizations Additionally, the European Systemic Risk Board (ESRB) published the Recommendation ESRB/2022/4 on the reciprocation of macro-prudential measures in Belgium, Germany, France, Lithuania, Luxembourg, the Netherlands, Norway, and Sweden.

    Regulation 2022/1301 amends the regulatory technical standards set out in Regulation (EU) 2020/1226 on the information to be provided in accordance with the STS notification requirements for on-balance-sheet synthetic securitizations. Regulation 2022/1301 shall enter into effect on August 15, 2022 (as mentioned in the Official Journal of the European Union). To improve the transparency and consistency of information between interrelated fields and to clarify specific features of certain securitizations, including master trust securitizations, it is necessary to clarify the information to be reported under the columns “Field name” and “Content to be reported” for certain fields in Annexes I, II, and III to Regulation 2020/1226. Therefore, Regulation 2020/1226 has been amended as follows:

    • Article 1 on information to be included in the STS notification and Article 2 on additional information relevant to the STS notification have been amended
    • Annexes I, II, and III have been amended as set out in Annex I to Regulation 2022/1301
    • Annex IV, as set out in Annex II to Regulation 2022/1301, has been added

    Recommendation ESRB/2022/4, which amends Recommendation ESRB/2015/2, has been published in the Official Journal of the European Union. Via this recommendation, the General Board of ESRB decided to include:

    • a macro-prudential policy measure imposing a systemic risk buffer rate on credit institutions authorized in Germany, in the list of macro-prudential measures that are recommended for reciprocation under Recommendation ESRB/2015/2
    • amended text on the reciprocation of certain macro-prudential measures from Belgium, France, Lithuania, Luxembourg, Norway, and Sweden

     

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    Keywords: Europe, EU, Belgium, Germany, France, Lithuania, Luxembourg, Netherlands, Norway, Sweden, Banking, Regulatory Technical Standards, Securitization Framework, STS Securitization, Regulatory Capital, Systemic Risk, Reciprocity, Macro-Prudential Policy, IRB Approach, Systemic Risk Buffer, Basel, Credit Risk, EC, ESRB

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