On 23 October 2019, the European Banking Authority (EBA) published an opinion on the regulatory treatment of securitisations of non-performing exposures (NPE).

In the opinion, the EBA explains that the current regulatory framework imposes constraints on credit institutions using securitisation technology to dispose of NPE holdings. These constraints include:

  • very high capital requirements on investor credit institutions under the Capital Requirements Regulation (CRR) through the internal ratings-based approach for securitisations and the standardised approach for securitisations;
  • caps for NPE securitisations under Articles 267 and 268 of the CRR; and
  • compliance challenges as regards certain risk retention and due diligence requirements under the Securitisation Regulation.

The opinion recommends a number of targeted amendments to the CRR and the Securitisation Regulation to remove these constraints, whilst maintaining the integrity of the prudential framework.