EU Securitisation Regulation

Since 1 January 2019, the EU Securitisation Regulation (the “Regulation”), is applicable to EU Securitisation transactions whose securities (or other securitisation positions) are issued on or after that date.

eu securitisation

What is considered a securitisation within EU SR?

“Securitisation” means a transaction or scheme, whereby the credit risk associated with an exposure or a pool of exposures is tranched, having all of the following characteristics:

credit risk
Credit risk

Payments in the transaction or scheme are dependent upon the performance of the exposure or of the pool of exposures

tranching securitisation

The subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme

no specialised lending
No specialised lending

The transaction or scheme does not create exposures which possess all of the characteristics listed in Article 147(8) of Regulation (EU) No 575/2013

What is considered as “Tranching” within EU SR? 

“Tranche” means a contractually established segment of credit risk […] where a position in the segment entails a risk of credit loss greater than or less […] another segment without taking account of credit protection provided by third parties […]

What is considered as “Tranching” within EU SR?

Parties subject to the Regulation

An institutional investor in the meaning of the Regulation may be a European Union-based:

  • Insurance or reinsurance undertakings

  • Institution for occupational retirement provisions

  • Alternative investment fund manager (“AIFM”)

  • Undertakings for the collective investment in transferable securities (“UCITS”) if internally managed, or otherwise its management company

  • Credit institutions or investment firms.

Key requirements from the Regulation

  • Due Diligence

  • Risk Retention

  • Transparency

  • Ban on Resecuritisations

  • Criteria for Credit Granting

For more details on the above requirements, please refer to our Securitisation Brochure

Contact us

Holger  von Keutz

Holger von Keutz

Partner & Securitisation Leader, PwC Luxembourg

Tel: +352 49 48 48 2383

Xavier Balthazar

Xavier Balthazar

Partner, PwC Luxembourg

Tel: +352 49 48 48 3299

Luc Petit

Luc Petit

Partner, PwC Luxembourg

Tel: +352 49 48 48 3148

Markus Zenz

Markus Zenz

Partner, PwC Luxembourg

Tel: +352 49 48 48 2647

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