Commission Delegated Regulation (EU) 2018/1221 of 1 June 2018 amending Delegated Regulation (EU) 2015/35 as regards the calculation of regulatory capital requirements for securitisations and simple, transparent and standardised securitisations held by insurance and reinsurance undertakings (Text with EEA relevance.)
Commission Delegated Regulation (EU) 2018/1221of 1 June 2018amending Delegated Regulation (EU) 2015/35 as regards the calculation of regulatory capital requirements for securitisations and simple, transparent and standardised securitisations held by insurance and reinsurance undertakings(Text with EEA relevance)THE EUROPEAN COMMISSION,Having regard to the Treaty on the Functioning of the European Union,Having regard to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II)OJ L 335, 17.12.2009, p. 1., and in particular Article 111(1)(c) and Article 135(2) thereof,Whereas:(1)A well-functioning securitisation market provides additional funding sources to capital markets, thus improving the funding capacity of the real economy and contributing to completing the Capital Markets Union. In addition, a well-functioning securitisation market provides alternative investment opportunities to insurance and reinsurance undertakings, which need to diversify their portfolios in a low yield environment. As institutional investors, insurance and reinsurance undertakings should therefore be fully integrated into the Union's securitisation market.(2)To ensure a sound recovery of the Union's securitisation market, a new regulatory framework for securitisation was laid down, based on lessons learned during the financial crisis. Regulation (EU) 2017/2402 of the European Parliament and of the CouncilRegulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35). lays down the substantive elements of an overarching securitisation framework, with criteria to identify simple, transparent and standardised ("STS") securitisations and a system of supervision to monitor the correct application of those criteria by originators, sponsors, issuers and institutional investors. Furthermore, that Regulation provides for a set of common requirements in relation to risk retention, due diligence and disclosure for all financial services sectors. In addition, Regulation (EU) 2017/2401 of the European Parliament and of the CouncilRegulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (OJ L 347, 28.12.2017, p. 1). amends, with effect from 1 January 2019, Regulation (EU) No 575/2013 of the European Parliament and of the CouncilRegulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1). to provide for revised prudential requirements for credit institutions and investment firms originating, sponsoring or investing in securitisations, in particular revised capital requirements for investments in STS securitisation.(3)To the extent that the revised legislative framework for securitisation overlaps with the scope of provisions laid down in Commission Delegated Regulation (EU) 2015/35Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17.1.2015, p. 1)., it is necessary, in order to avoid double regulation and for reasons of clarity and consistency, to adapt the prudential framework applicable to insurance and reinsurance undertakings.(4)Regulation (EU) 2017/2402 sets out definitions of several concepts related to securitisation. As that Regulation applies to insurance and reinsurance undertakings falling within the scope of Directive 2009/138/EC it is appropriate, for the purposes of defining concepts that are also defined in Regulation (EU) 2017/2402, to refer in Delegated Regulation (EU) 2015/35 to the relevant definitions laid down in Regulation (EU) 2017/2402. For the same reasons, insofar as requirements related to risk retention and due diligence are set out in Regulation (EU) 2017/2402 for all institutional investors, such requirements should be deleted from Delegated Regulation (EU) 2015/35.(5)Regulation (EU) 2017/2402 sets qualifying criteria for STS securitisations in order to provide a harmonised definition of a higher quality securitisation product for Union capital markets. The "type 1 securitisation" asset category in Delegated Regulation (EU) 2015/35 was created to achieve a similar objective for insurance and reinsurance undertakings, with comparable qualifying criteria. To ensure consistency and a level playing field on the securitisation market, the general provisions on the "type 1 securitisation" asset category should be deleted from Delegated Regulation (EU) 2015/35 and reference should instead be made to the relevant provisions on STS securitisation laid down in Regulation (EU) 2017/2402. In order to avoid those amendments leading to adverse effects, transitional measures should be provided for with respect to existing assets falling within the "type 1 securitisation" category.(6)The calibration of the Solvency Capital Requirement pursuant to Directive 2009/138/EU is risk-based and is intended to provide the right incentives across the different forms of securitisation investments. In order to achieve that objective, the level of the calibration and the risk sensitivity across tranches should be commensurate with the features of STS securitisation, and consistent with the prudential requirements developed for credit institutions and investment firms. Therefore, the existing provisions of Delegated Regulation (EU) 2015/35 on calibration for "type 1 securitisation" should be replaced by a more risk-sensitive calibration for STS securitisation covering all possible tranches that also meet additional requirements in order to minimise risks.(7)The entry into application of the revised framework should not adversely affect the existing investments in securitisation, in particular for those institutional investors which have maintained some investments despite the financial crisis. Therefore, transitional measures should be laid down.(8)In light of the application dates of Regulation (EU) 2017/2402 and Regulation (EU) 2017/2401 as well as the transitional provisions contained in those pieces of legislation, it is important to ensure that this Regulation becomes applicable on the same date, on 1 January 2019.(9)Delegated Regulation (EU) 2015/35 should therefore be amended accordingly,HAS ADOPTED THIS REGULATION: