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Securitisation in Europe: quick fixes or deep overhaul?

Day 2 Afternoon

Thursday 08 September

Room :

CONGRESS HALL 2

Speakers

Chair
François-Louis Michaud
Executive Director - European Banking Authority (EBA)
Public Authorities
Carlos Cuerpo Caballero
Secretary General of the Treasury and International Financing - Ministry of Economy and Digitalization, Spain
Dominique Laboureix
Secretary General - Autorité de Contrôle Prudentiel et de Résolution (ACPR)
Fausto Parente
Executive Director - European Insurance and Occupational Pensions Authority (EIOPublic Authority Speaker)
Paul Tang
Member of European Parliament - Committee on Economic and Monetary Affairs, European Parliament
Industry Representatives
Philippe Bordenave
Senior Executive Advisor to General Management and the Chair of the Board - BNP Paribas
Mascha Canio
Head of Credit & Insurance Linked Investments - PGGM
Other stakeholder & expert
Alexander Batchvarov
Structured Finance Expert -

Objectives of the session

It is now increasingly acknowledged that the EU securitisation market is not taking off.

In the face of this fact, some observers consider that securitisation products merely continue to face the stigma that rooted in the great Financial Crisis (GFC) the main triggers and amplifier of which has been securitisation (in the USA). The complexity of the product as well as the one of the regulatory frameworks, are possible explanations for the lack of investors.

An increasing number of market participants, though, are of the opinion that while the EU securitisation regulatory framework made essential and necessary progress in the wake of the GFC, critical flaws still need to be removed without endangering securitisation holders, which would enable the EU to fully leverage the potential of such a financial product. A weak a risk adjusted return on capital (RAROC) is also mentioned.

More specifically, it is the so called “agency risks” and modelling risk and the difficulties to assess them, which for most explains possible excesses of calibration, in the context of the renewed EU regulatory framework.

However, fixing this will not consist of mere technical adjustments since to be up to the current huge EU investment challenges, securitisation is expected to become a crucial component of the EU continent’s future financial architecture.

This requires building a strong consensus on the effective risks specific to the product, and on the appropriate regulatory measures necessary to mitigate them. These are the topics the session will touch upon.

Points of discussion

  1. What is the expected macroeconomic role of securitisation, including as a key investment tool as well as a bank deconsolidation and refinancing tool?
  2. What are the main calibration issues identified and their specific rationale? What are the main features of EU Commission’s proposals (and EBA/ Advice beforehand)? How do they address the difficulties listed during the consultation phase? What should still evolve?
  3. How to build a strong consensus on both policy makers, regulators, and private sector sides?