Regulatory Initiatives
8 June, 2009
ESF Response to CEIOPS CP36
Here are the ESF comments filed to the Committee of European Insurance and Occupational Pensions Supervisors (CEIOPS) in response to the comment paper (CP) on "Advice for Level 2 Implementing Measures on Solvency II for Special Purpose Vehicles (SPVs)". The CP focuses on providing advice for Level 2 measures with SPVs, as required in Article 209 of the Solvency II Directive. The ESF response is mainly focused on the following five issues for SPVs under Solvency II:
1) the scope of authorisation;
2) mandatory conditions to be included in contracts issued;
3) governance requirements;
4) supervisory reporting; and
5) solvency requirements.
19 June, 2008
Joint response to the EC consultation on the CRD
Please find attached the joint response to the European Commission consultation on the Capital Requirements Directive potential changes from the European Securitisation Forum (ESF), London Investment Banking Association (LIBA), British Bankers Association (BBA), and International Swaps and Derivatives Association (ISDA). Please note that a separate letter will be sent to the Commissioner Charlie McCreevy focusing specifically on the new proposed capital charge in Article 95. The response is in modular format and it is divided into the following seven documents:
1. Cover Letter to Patrick Pearson, Head of Banking Unit DG Market, European Commission;
2. Executive Summary describing the specific sections below;
3. Hybrid Capital;
4. Large Exposures;
5. Supervisory Arrangements;
6. Securitisation focusing, among other things, on the minimum capital charge (15%) and the treatment of significant risk transfer;
7. Technical Amendments.
16 January, 2008
Italian Interpretation of Significant Risk Transfer
Following a review with the Bank of Italy, the ESF published the Italian interpretation of significant risk transfer (SRT) for securitisation transactions under the new Capital Requirements Directive (CRD). The interpretation of SRT is up to the national regulators and it is applied differently in the European jurisdictions. The Italian interpretation includes six different scenarios for a basic RMBS transaction with four tranches for a total issuance volume of €100mil. The tranches are as follows: a senior AAA tranche with a risk weight of 20%; a mezzanine A tranche with a risk weight of 50%; an additional mezzanine BBB tranche with a risk weight of 100%; and a junior tranche or equity piece with a risk weight of 1.250%. The analysis for the six different scenarios looks into the options for the issuers in terms of initial risk transfer, risk retained, risk transferred post securitisation, and the ratio between the risk transferred and initial risk for the specific RMBS transaction. Following the quantitative analysis, it is announced if the significant risk transfer rule is applied to the six different scenarios and to what extent.
23 August, 2007
Re: Preliminary Comments on Framework Solvency II Directive
The ESF’s Solvency II Working Group submits initial comments on the draft Solvency II framework directive. Forms of risk mitigation are discussed and evaluated, with suggestions made for their implementation in the directive. Recommendations are made regarding the appropriate level of prudential supervision required for SPVs.
12 January, 2007
Consultation Paper 19: Draft Advice to the European Commission in the Framework of the Solvency II Project on Safety Measures (Limits on Assets)
The ESF’s Solvency II Working Group comments on the FSA’s Consultation Paper 19 (CP05-06). It addresses the prudent person approach versus the prudent person plus approach and outlines the reasons. The difficulty in applying quantitative restrictions to ABS and securitisations is also discussed. Following this, specific commentary regarding Consultation Paper 19 is outlined.
