Publications

Among the major innovations put in place by the new Securitisation Law we highlight the creation of a general regime for non STS (simple, transparent and standardised) securitisation as well as the creation of a specific regime for the identification of simple, transparent and standardised securitisations (STS securitisation), also establishing a more risk-sensitive prudential framework for these types of operations. Also, an in addition to the traditional securitization, it is foreseen the ‘synthetic securitisation’ where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator.

Securitisation Parties

The recently approved legislation determines that only the following entities may be considered as parties in the securitisation process:

• Securitisation Special Purpose Entities (SSPE): in this category are included the securitisation funds and the securitisation companies;

• Originator: the entities referred in Article 2, paragraph 3 of the Regulation, including the State and all other public entities, credit institutions, financial companies, investment firms, insurance undertakings, pension funds and pension funds managers;

• Sponsor: a credit institution or an investment fund, whether located in the EU or not, other than an originator;

• Credit Managers;

• Original Lenders;

• Independent Entities;

• Third Party Entities, as per article 27, paragraph 2 of the Regulation.

Non STS Securitisation

Non STS Securitisation of credits and risks may occur under the following conditions:

• The assignment of the referred credits and risks is not subject to any legal or contractual restrictions;

• They refer, notably through statistical models, to financial quantifiable or predictable monetary flows;

• The grantor guarantees the credits are due, valid and existing;

• The credits are not contentious and have not been granted as guarantee, nor are they judicially attached or apprehended.

STS Securitisation

On the other hand, it was deemed essential to ensure that rules are adopted to better differentiate simple, transparent and standardised products from complex, opaque and risky instruments and to apply a more risk-sensitive prudential framework. Bearing this in mind, the new legislation introduced rules that allow investors and third parties to identify STS Securitisations. Nonetheless, it is paramount to determine whether they are asset-backed commercial paper (ABCP) securitisations or non-ABCP securitisations, as the rules for its identification are different. On 12 December 2018, the EBA published Guidelines on the STS criteria for non-ABCP securitisation and ABCP securitisation (www.eba.europa.eu).

Furthermore, the law only allows “true-sale” securitisations to be designated as STS. In a true-sale securitisation, the ownership of the underlying exposures is transferred or effectively assigned to an issuer entity which is a SSPE.

Once the requirements of the Regulation, which has now been implemented by the national legislation, are met, the STS notification shall take place. This notification shall be jointly presented before ESMA by the originators and sponsors. Afterwards, the referred entities shall notify the Portuguese Securities and Markets Authority (CMVM) and designate, amongst themselves, one entity to be the first contact point for investors and the regulators. ESMA shall publish the STS notification on its official website.