The EBA finds Italian waiver for STS on-balance-sheet securitisation justified

The European Banking Authority (EBA) today published an Opinion addressed to Consob, the Italian Securities Commission, in response to the Competent Authority’s notification of its decision to grant the permission referred to in Article 26e(10) of the Securitisation Regulation, which specifies the eligibility criteria for high-quality collateral for on-balance-sheet securitisations to qualify as Simple, Transparent, and Standardised (STS).

The EBA has assessed the evidence provided by the Consob, namely the current classification of Italian credit institutions and the composition of the Italian synthetic securitisation market. On the basis of the evidence provided, the EBA is of the opinion that due to the objective impediments related to the credit quality step (CQS) assigned to Italy, the use of a partial waiver to allow collateral in the form of cash on deposit with the originator, or one of its affiliates, qualifying for CQS 3 is justified.

Legal basis, background, and next steps

The EBA’s competence to deliver this Opinion is based on Article 29(1)(a) of Regulation (EU) No 1093/2010. In accordance with the process set forth in Decision of the European Banking Authority EBA/DC/462 , the Opinion has been adopted.

Article 26e(10) of the Securitisation Regulation (EU) No 2017/2402 specifies that the credit protection provided in on-balance-sheet securitisations must meet high-quality collateral standards. By way of derogation, if certain conditions are met, the originator may use high-quality collateral in the form of cash on deposit with the originator or its affiliates, provided they qualify for at least CQS 2. Competent authorities may, under specific conditions and after consulting the EBA, permit collateral in the form of cash on deposit with the originator or its affiliates if they qualify for CQS 3.

Consob will regularly review the conditions of the waiver and appropriate measures will be taken if the impediments cease to exist.