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Level-2 measures under the new Securitisation framework

29-08-2018

This briefing focuses on the state of play of the implementing measures under the new Securitisation Regulation (EU) 2017/2402 and the amending Regulation (EU) 2017/2401 on the treatment of regulatory capital requirements for credit institutions that originate, sponsor or invest in securitisations. Items for discussion include the draft measures that have been prepared by the European Supervisory Agencies, and those currently under preparation, including – for the European Securities and Markets ...

This briefing focuses on the state of play of the implementing measures under the new Securitisation Regulation (EU) 2017/2402 and the amending Regulation (EU) 2017/2401 on the treatment of regulatory capital requirements for credit institutions that originate, sponsor or invest in securitisations. Items for discussion include the draft measures that have been prepared by the European Supervisory Agencies, and those currently under preparation, including – for the European Securities and Markets Authority (ESMA) – technical standards on information in the STS notification and information to be provided in the application for the authorisation of a third party verifying STS compliance, and – for the European Banking Authority (EBA) – on the homogeneity of asset classes and on risk retention.

The effects and risks of ECB collateral framework changes

16-07-2018

During the crisis, the ECB modified its collateral framework to face increased liquidity needs of commercial banks. This has taken two forms: the minimum required rating for different classes of assets has been reduced and the haircut associated to these assets has evolved conditional on the default risks of these assets. The benefits in terms of cushioning a liquidity crisis and enhancing monetary policy transmission have most probably exceeded the costs in terms of riskier central bank balance ...

During the crisis, the ECB modified its collateral framework to face increased liquidity needs of commercial banks. This has taken two forms: the minimum required rating for different classes of assets has been reduced and the haircut associated to these assets has evolved conditional on the default risks of these assets. The benefits in terms of cushioning a liquidity crisis and enhancing monetary policy transmission have most probably exceeded the costs in terms of riskier central bank balance sheet and potential capital losses. This document was provided by Policy Department A at the request of the Economic and Monetary Affairs Committee.

Autor extern

Christophe BLOT, Jérôme CREEL, Paul HUBERT (Sciences Po – OFCE)

ECB non-standard-policies and collateral constraints

16-07-2018

Collateral constitutes an indispensable lubricant for the financial system. Government bonds constitute the most important source of collateral, for use in inter-bank and repo transactions. But, the vast bond buying program of the ECB in the context of the Public Sector Purchase Programme has not led to any collateral scarcity. Banks still hold very large amounts of sovereign bonds and they have ample other collateral should they want to borrow more from the ECB for ‘standard’ monetary policy operations ...

Collateral constitutes an indispensable lubricant for the financial system. Government bonds constitute the most important source of collateral, for use in inter-bank and repo transactions. But, the vast bond buying program of the ECB in the context of the Public Sector Purchase Programme has not led to any collateral scarcity. Banks still hold very large amounts of sovereign bonds and they have ample other collateral should they want to borrow more from the ECB for ‘standard’ monetary policy operations. Banks tend to use less liquid assets as collateral with the ECB, but this does not mean necessarily more risk for the ECB for which liquidity is not important. This document was provided by Policy Department A at the request of the Committee on Economic and Monetary Affairs.

Autor extern

Daniel GROS, Willem Pieter de Groen (CEPS)

Implementing measures under the Benchmarks Regulation

11-07-2018

This briefing focuses on the implementing measures under Regulation (EU) No 2016/1011 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (BMR). Items for discussion at the monthly scrutiny session could include the forthcoming Regulatory Technical Standards under BMR, including rules on input data and the authorisation/registration of an administrator, as well as other outstanding issues, such as Regulated Data Benchmarks ...

This briefing focuses on the implementing measures under Regulation (EU) No 2016/1011 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (BMR). Items for discussion at the monthly scrutiny session could include the forthcoming Regulatory Technical Standards under BMR, including rules on input data and the authorisation/registration of an administrator, as well as other outstanding issues, such as Regulated Data Benchmarks.

ECB non-standard monetary measures, collateral constraints and potential risks for monetary policy

02-07-2018

This paper takes a wide view of nonstandard measures in difficult situations. We explore how, and to what extent, prudential metrics written into the new prudential and surveillance regulations can be used as policy instruments. The paper does not try to reach a judgment on which measures will work best. Instead we explore how these policies work; why they depend on high quality collateral/assets; what happens if policymakers are driven to expand the bounds of “sufficient quality or liquidity”; how ...

This paper takes a wide view of nonstandard measures in difficult situations. We explore how, and to what extent, prudential metrics written into the new prudential and surveillance regulations can be used as policy instruments. The paper does not try to reach a judgment on which measures will work best. Instead we explore how these policies work; why they depend on high quality collateral/assets; what happens if policymakers are driven to expand the bounds of “sufficient quality or liquidity”; how new credit risks arise and for whom. Some of these risks are quite subtle, implicit or indirect. But they all reduce the effective-ness of the measures in question (a transmission problem). As a result, they require larger interventions to reach certain target values (a feasibility question, given the side effects). Thus, the new prudential regulation regimes offer several nonstandard policy instruments. But they depend of the availability of high quality and liquid collateral/assets. Poor collateral makes nonstandard measures less effective. Less credit and less cheap credit will be offered due to the increasing credit risks. This document was provided by Policy Department A at the request of the Economic and Monetary Affairs Committee.

Autor extern

Andrew Hughes Hallett, Paul Fisher

The ECB Collateral Policy Beyond Conventional Monetary Stimulus

02-07-2018

The importance of collateral as an instrument for monetary policy has increased in recent years not only in the light of the changes in the ECB’s collateral framework during the crisis but also due to the progressive replacement of the unsecured money market segment with the secured one in the euro area. Both aspects are set to have consequences for collateral availability and the scarcity of high-quality assets, particularly as these interact with non-standard monetary policy. In this note, we look ...

The importance of collateral as an instrument for monetary policy has increased in recent years not only in the light of the changes in the ECB’s collateral framework during the crisis but also due to the progressive replacement of the unsecured money market segment with the secured one in the euro area. Both aspects are set to have consequences for collateral availability and the scarcity of high-quality assets, particularly as these interact with non-standard monetary policy. In this note, we look for evidence of the ECB’s Expanded Asset Purchase Programme (EAPP) effects through the quantity and quality of collateral, based on the Eurosystem Collateral Data, as well as a review of the literature. We conclude that collateral is vital to the well-functioning of money markets, and the availability in principle of monetary policy beyond conventional remains an important tool to deal with the issue of potential shortages of high-quality collateral, at least in the short-term. This document was provided by Policy Department A at the request of the Economic and Monetary Affairs Committee.

Autor extern

Corrado MACCHIARELLI and Mara MONTI

The UK's Potential Withdrawal from the EU and Single Market Access under EU Financial Services Legislation

15-03-2018

This note, prepared by Policy Department A for the Committee on Economic and Monetary Affairs, summarises the main points presented by the study on “The UK’s Potential Withdrawal from the EU and Single Market Access under EU Financial Services Legislation”.

This note, prepared by Policy Department A for the Committee on Economic and Monetary Affairs, summarises the main points presented by the study on “The UK’s Potential Withdrawal from the EU and Single Market Access under EU Financial Services Legislation”.

Brexit Literature Update 02/2018

21-02-2018

Following a relevant request by the Committee on Constitutional Affairs, the Policy Department for Citizens’ Rights and Constitutional Affairs has been compiling, on a regular basis, academic and scholarly material related to the process of, and the negotiations on, the withdrawal of the UK from the EU. Since the June 2016 referendum in the UK, Brexit-related literature has grown significantly and it is probably going to expand further in the future. Thus, this compilation is far from exhaustive; ...

Following a relevant request by the Committee on Constitutional Affairs, the Policy Department for Citizens’ Rights and Constitutional Affairs has been compiling, on a regular basis, academic and scholarly material related to the process of, and the negotiations on, the withdrawal of the UK from the EU. Since the June 2016 referendum in the UK, Brexit-related literature has grown significantly and it is probably going to expand further in the future. Thus, this compilation is far from exhaustive; rather, it identifies some of the more useful articles, taking into account, in particular, the following elements: • Scholarly rather than a journalistic character of the publication • Originality and interest • Recent publication • Be of interest for the EU • Constitutional or institutional relevance.

Securitisation and capital requirements

25-01-2018

As part of its ambition to create a Capital Markets Union, the European Commission wants to revive the securitisation market in the EU, in order to offer new financing tools and ease credit provision, especially for small and medium-sized enterprises. Its 'securitisation initiative', set out in a proposed regulation on 30 September 2015, would establish a new framework for 'simple, transparent, and standardised' (STS) securitisations. This new initiative also has implications for the overall prudential ...

As part of its ambition to create a Capital Markets Union, the European Commission wants to revive the securitisation market in the EU, in order to offer new financing tools and ease credit provision, especially for small and medium-sized enterprises. Its 'securitisation initiative', set out in a proposed regulation on 30 September 2015, would establish a new framework for 'simple, transparent, and standardised' (STS) securitisations. This new initiative also has implications for the overall prudential framework for credit institutions and investment firms, therefore the Commission proposed to amend the Capital Requirements Regulation (EU) No 575/2013 accordingly. The proposed amendments would adjust risk retention profiles to reflect properly the specific features of STS securitisations. The most significant changes are: a new hierarchy of risk calculation methods and lower capital requirements for STS. The Council agreed on a general approach on both dossiers in early December 2015. Parliament’s ECON Committee adopted its report a year later, and the two institutions reached agreement on the text in trilogue in June 2017. This briefing further updates an earlier edition of July 2016: PE 573.935. See also our updated briefing on the related proposal: PE 608.777.

Review of the European supervisory authorities (ESAs)

20-12-2017

This note seeks to provide an initial analysis of the strengths and weaknesses of the European Commission's impact assessment (IA) accompanying the above proposal, adopted on 20 September 2017 and referred to Parliament's Committee on Economic and Monetary Affairs (ECON). Against the backdrop of the financial crisis and global efforts to safeguard financial stability, in 2011 the EU established three European Supervisory Authorities (ESAs) for the supervision of individual banking, investment, insurance ...

This note seeks to provide an initial analysis of the strengths and weaknesses of the European Commission's impact assessment (IA) accompanying the above proposal, adopted on 20 September 2017 and referred to Parliament's Committee on Economic and Monetary Affairs (ECON). Against the backdrop of the financial crisis and global efforts to safeguard financial stability, in 2011 the EU established three European Supervisory Authorities (ESAs) for the supervision of individual banking, investment, insurance and pension markets: the European Banking Authority (EBA), the European Insurance and Occupational Pensions Authority (EIOPA) and the European Securities and Markets Authority (ESMA). These ESAs also contribute to the development and application of a single rulebook for financial regulation in the European Economic Area. In 2015, in view of further integration of the financial sector, the EU launched the Capital Markets Union, stressing the need to strengthen both regulatory and supervisory convergence. The latter was particularly highlighted in the Five Presidents' 2015 report on completing Europe's economic and monetary union and in a reflection paper of May 2017. In this context, the Commission's 2017 work programme announced the review of the European System of Financial Supervisors (ESFS), which comprises the ESAs and the European Systemic Risk Board. Accordingly, the review of the current ESA regulations addresses the micro-prudential aspects of the continuing financial integration, together with the extension of ESA responsibilities through a number of recent pieces of sectoral legislation, also covered in the IA (IA, pp. 8-9, 25). Finally, the prospect of Brexit – which will entail a relocation of the EBA – further increases the need for the EU27 to strengthen EU-wide convergence of supervisory practices, in order to protect consumers and investors and to promote financial stability. While the ESA regulations are considered to have worked well in general, a first review in 2014 found several shortcomings (IA, p. 9). The IA notes that for specific cross-border activities in particular, the balance between ESA and national supervision is problematic. Also, the considerable divergence between national supervisory practices across the EU makes the current system inconsistent, since the day-to-day supervision of small financial actors remains a national competence, as does the implementation of the cited sectoral regulations involving ESA activities (IA, pp. 20, 142).

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