Dutch Securitisation Association
DSA
The mission of the DSA is the promotion of the interests of both issuers of and investors in Dutch securitisation transactions.
ID: 086841820492-53
Lobbying Activity
5 Sept 2025
European Commission Consultation, as part of the Securitisation Package of 17 June, on amending Delegated Regulation (EU) 2015/35 specifying technical rules of the Solvency II Directive. This document provides the response of the Dutch Securitisation Association (DSA) on the Consultation. We welcome the opportunity to respond on this Consultation. Individual DSA members may respond as well. General comments As a representative organisation for the securitisation industry, we will only comment on the sections of the draft Delegated Regulation covering securitisation: recitals 31-33 and Par. 56 amending Art. 178. We have taken notice of the recognition by the Commission of the specific due diligence and transparency requirements applicable to STS securitisations (Recital 32), but we would like to stress that most of these requirements apply to all securitisations and that STS provides additional safeguards against agency and model risk on top of the due diligence and transparency requirements. So a level playing field treatment should apply to all securitisations and even more so to STS securitisations. As a second general comment, we appreciate the intention of the Commission to bring the Solvency II requirements for insurance investors more in line with the CRR requirements for bank investors (Recital 33). However, due to the difference in approach between the Solvency II and CRR capital models and the (understandable) reluctance of the Commission to redesign the Solvency II capital model, comparison between Solvency II and CRR remains very difficult. Senior STS Securitisations Positions (Art. 178.3) We welcome the improvements proposed. It is important that Senior STS tranches are given at least the same treatment as Corporate and Covered Bonds that are not subject to the STS criteria and due diligence and transparency requirements of the Securitisation Regulation. It could be argued that with all these additional safeguards the risk profile of Senior STS tranches is superior to that of Corporate and Covered Bonds. Non-Senior STS Securitisations Positions (Art. 178.4) We notice that the improvements proposed are proportional to the improvements in Art 178.3. The gap between Senior STS and non-Senior STS in terms of capital charges remains however high. We wonder whether insurance investors will be attracted by the proposed risk factor stresses. Senior and Non-Senior Non-STS Securitisations Positions (Art. 178.8 and 178.8a) We appreciate the efforts of the Commission to increase risk-sensitivity by both separately treating Senior and Non-Senior STS Positions and reducing the difference in capital requirements between STS and Non-STS Securitisation Positions (recital 33). The resulting risk factor stresses for Senior Non-STS Securitisation Positions are a major improvement compared to the existing requirements for Non-STS Securitisation Positions. Also the risk factor stresses for Non-Senior Non-STS Securitisation Positions are a clear improvement compared to the existing requirements for Non-STS Securitisation Positions. We are however struggling to find the basis on which the stresses are calibrated. The result in terms of capital requirements also still seems to exceed the capital that has to be set aside by bank investors for comparable Non-STS Securitisation Positions. Again we wonder whether insurance investors will be attracted by the proposed risk factor stresses.
Read full responseResponse to Heavy Duty Vehicles CO2 and fuel consumption certification
14 Jul 2025
European Commission Consultation, as part of the Securitisation Package of 17 June, on amending Delegated Regulation (EU) 2015/61 as regards the eligibility conditions for securitisations in the liquidity buffer of credit institutions This document provides the response of the Dutch Securitisation Association (DSA) on the Consultation. We welcome the opportunity to respond on this Consultation. Individual DSA members may respond as well. General comments The LCR is an important building block of the Securitisation Package. Due to several restrictive requirements, banks have used securitisations as HQLAs to only a limited extent. One of the main reasons for the limited usage was the classification as level 2B with the associated haircuts. Unfortunately, level 2B still applies in the proposal. This is partly remedied by the lower haircut of 15% for resilient transactions. However, the conditions to qualify as resilient, as described in the CRR amendments as proposed by the EC in the Securitisation Package, are very hard to meet for public transactions in an economically viable way. On the other hand we are see a lot of positive elements in the proposals with regard to ratings, asset classes and the elimination of the WAM restriction. Level 2B securitisations and haircuts The main problem of securitisations as HQLAs is the haircut of 25% which is not competitive with Level 2A (15%), let alone Level 1 (Covered Bonds: 7%). So a haircut of 15%, as proposed, would be a step in the right direction but not create a level playing field with Covered Bonds, which seems to be contrary to the intentions of the Securitisation Package. But also the 15% haircut may be hard to achieve, since it depends on the resilient status of a transaction. The formulas for the attachment point of a resilient transaction do not take excess spread into account which may lead to uneconomic outcomes; a AAA tranche that is smaller than required for rating agency purposes, but needed to be resilient, will increase the average spread of a transaction to a level where the benefit of being resilient is fully eliminated. Another limitation of the resilient concept is that it only applies to banks subject to the CRR (and maybe also insurance companies under Solvency II, depending on what the Solvency II Consultation will propose)), so not to non-bank financial institutions. Some kind of equivalence for non-CRR institutions would be really helpful. And a final negative on resilient, it does not apply to legacy transactions, unless by coincidence. On the positive side, we do not see the minimum 250 mln as an impediment. Ratings The widening of the CQS requirements eliminates the cliff effect for transactions that lose their AAA status, since the resulting haircuts will still be compatible with Level 2 status. Allowing CQSs all the way down to investment grade would have been a better option, but with a 50% haircut lower rated positions will not be attractive to hold in de HQLA anyway. More asset classes The widening of the eligible asset classes to the full spectrum of senior-STS is certainly appreciated; also adding non-STS with sufficient ratings to Level 2B might have been consistent with overall Level 2B eligibility, but is not a major omission. Removing the 35% haircut (and replacing it by 25%) for certain securitisations is a welcome alignment. Homogeneity Replacing the very specific LCR homogeneity clauses by the STS homogeneity requirement is a welcome streamlining, irrespective of the (in the Securitisation Package) proposed broadening of SME homogeneity, since this will be less relevant for public transactions anyway. WAM < 5 year Since the Securitisation Package is targeting the lowest risk categories in securitisation, like prime RMBS, the deletion of the 5 year WAM requirement is a key improvement of the LCR criteria.
Read full responseResponse to Review of the Securitisation Framework
26 Mar 2025
We would like to highlight the following points from the summary report on the consultation: On effectiveness we notice that the only successful areas have been standardisation, STS and (just) reducing the stigma; responses were very negative on operational costs and, most importantly against the current geopolitical background, improving the financing of the EU economy. Views on SME securitisation are mixed. SME securitisation is mainly successful in SRT and ABCP transactions. True sale term transactions in the private or public market are not the easiest way to support SME credit. The jurisdictional scope and the inclusion of AIFMs as well as the definition of securitisation are not irrelevant, but these should not be the key priorities when the aim is to revive the market. So we urge the EC to address the main issues that limit the effectiveness of the European securitisation market. These are 1) the prudential treatment and 2) disclosure and due diligence. Respondents have been very clear on what is needed on due diligence: a more principle-based, proportionate, less burdensome and where possible more risk-sensitive regime. This would especially benefit secondary markets and repeat issuance. Also the double (or, including STS verification even triple) checking by investors of STS criteria is seen as a major hurdle. On transparency the conclusions are very clear: streamlining the current disclosure templates for public transactions and introducing a simplified template for private transactions are the main priorities. Very clearly, most stakeholders propose enhanced coordination between supervisors. We fully agree, but that should not lead to additional costs. Supervisory costs for the industry, incl. service providers, are already extremely high. For the same reason we would be careful in promoting TPVs from regulated to supervised; fees charged by these small entities would be seriously impacted by the excessive costs supervisors would charge them for double checking their work. Many stakeholders argued that to achieve success with STS, the criteria must be simplified. While we agree that this might be appropriate, we do not support a weakening of the criteria. Rather, together with many other stakeholders, we would emphasise that reforms in the non-STS sector might be an important route to reviving that part of the market. As nearly all respondents indicated, the creation of securitisation platform is not the main issue in the market, and it should be addressed at a later stage, following comprehensive feasibility studies and consultations. In the views on the prudential and liquidity risk treatment for banks, there are significant discrepancies between the market and the regulators. The market is clear in their assessment. The disproportional prudential treatment is holding back securitisation in the EU. This should be addressed with the utmost urgency. While admittedly there may be some cliff effects associated with changes in the p-factor, there are solutions available, like a scalar p-factor or 2 p-factors. As regards the LCR, it looks like regulators are fighting the war of the past. Securitisations are very liquid instruments as long as we do not make the mistakes of the pre-GFC period which eroded the trust in the securitisation product. Finally, the financing challenges for the EU need to be addressed urgently. Therefore, waiting for Basel to come with solutions is unwise in a changing world where global agreements are becoming less reliable. The variety in responses on the liquidity and capital treatment for insurers is driven by the very diverse questions raised about STS versus non-STS, senior versus mezzanine etc. This somewhat hides the big issue: the calibration of Solvency II capital charges makes it extremely unattractive for insurers to invest in the product. Finally, the prudential framework for IORPs and other pension funds currently does not seem to be the biggest issue at stake.
Read full response15 May 2018
The Dutch Securitisation Association (DSA), representing the Dutch issuers of securitisations,
would like to provide you with the following feedback:
1) Calibration of non-senior tranches of STS Securitisations:
The level of and steepness (when moving to lower ratings) of the increases in risk factor stresses for non-senior tranches have decreased substantially. We acknowledge this downward recalibration, but this still seems to be punitive for investors subject to Solvency II.
In our view, the increased transparency of STS should reduce the cliffs between credit quality steps or, within a certain credit quality step, between different levels of seniority.
Also, as a consequence of the relative high non-senior risk factor stresses, an investor under Solvency II that buys a pro rata share of all tranches of a single securitisation on Dutch residential mortgages has to take into account higher risk factor stresses in total than in case this investor was directly exposed to the underlying pool of residential mortgages. This is odd given that the actual exposure is exactly the same in both cases.
In this respect, we also would like to point to the importance of not having just AAA investors being attracted to securitisations.
One of the reasons why securitisation is such an important instrument in the financing
through capital markets, as also emphasized in the plans for a European Capital Markets Union, is that it allows investors to add different risk/reward profiles to their portfolio, and banks to effectively reduce their balance sheets and capital requirements by selling the different tranches of a securitisation.
The proposed calibrations of Solvency II however may on the one hand very well bring
insurance companies back in investing in the highest rated, senior classes of STS
transactions, but on the other hand most likely not in the non-senior classes.
2) Unchanged calibrations for non-STS (and legacy type 2):
Also for non-STS/legacy type 2 transactions we expect (insurance) investor appetite to continue to be minimal as long as capital charges are not reduced. We fear that initially many transactions will not be able to achieve STS status for the following reasons:
-For a large number of “pre 1-1-2019” transactions, grandfathering will not apply because of Art 178a.2.: “no new underlying exposures were added or substituted after 31 December 2018”. This problem could be addressed by adding “for active portfolio management”, which would align this limitation with the STS criteria (Art 20(7) of Regulation (EU) 2017/2402).
Also, we would appreciate if you could confirm that “new underlying exposures” are not intended to include further advances under existing exposures.
-For new transactions, fulfilling the CRR Art 243 requirements will be a challenge. Specifically for Dutch RMBS meeting the 100% LTV condition will take time: until 2017, mortgages were originated with higher LTV’s and RMBS transactions cannot just be composed of newly originated mortgages, but have to contain a mix of vintages.
A solution could be to allow grandfathering for the LTV requirement for STS transactions
until 31 December 2025, just like the current Art 177(5) provides grandfathering for LTV and LTI requirements for type 1 transactions until 31 December 2015.
For those transactions that will not be able to qualify for STS status or grandfathering, we see differences in capital charges that seem hard to justify (like a 5 year senior AAA STS tranche, 5%, compared to a similar non-STS, 62.5%). A possible improvement could be to apply the current type 1 capital charges to non-STS tranches; this would reduce the difference to 5% for STS compared to a 10.5% for non-STS.
3) Reference to CRR Art 243
We also wonder how cumbersome it can be to require (insurance) investors subject to Solvency II, to interpret CRR banking regulation and f.i. calculate CRR risk weighting under the standardised approach.
Read full responseResponse to Draft Delegated Act amending the Commission Delegated Regulation on the Liquidity Coverage Ratio ('LCR')
20 Feb 2018
The Dutch Securitisation Association (DSA), representing the Dutch issuers of securitisations, would like to provide you with the following feedback:
-In your proposal, securitisations that meet the very strict STS requirements will still not be eligible for more than Level 2B treatment. This level does not reflect the highly liquid character of “cash equivalent” securitisations like Dutch RMBS or Auto ABS. We are aware that the current BCBS rules also limit securitisations to Level 2B, but these rules are also pre-STC (the BCBS equivalent of STS) and we have noticed that in other areas (like the hierarchy of methods to calculate risk-weighted exposure amounts) well justified deviations from the BCBS framework have been applied. So we would recommend to add to Article 11.1 a point (f) exposures in the form of asset-backed securities meeting the requirements laid down in Article 11a and insert this new Article 11a Level 2A Securitisations defining Level 2A securitisations as those meeting requirement (g) (i),(ii) or (iv) of Article 13 and amending Article 13 by deleting requirements (g) (i),(ii) or (iv).
-Furthermore we would like to comment as follows on Article 13:
-in the amended point 1(a) there is a drafting error: please replace “2017/42” by
“2107/2402”.
-in paragraph 2 point g(i) please add “and equally” between “first” and “ranking” and
“or improvement” after “acquisition”. This reflects the Dutch practice of mortgage
loans consisting of loan parts for the acquisition as well as the later improvement of
the property.
-also in paragraph 2 point g(i) please amend the loan-to-value requirement to bring it
in line with the CRR amendments related to the STS Regulation (EU 2017/2401:
CRR Article 243 point (2)(d)), inserting “at the time of inclusion in the securitisation”
after “meet”.
-we suggest to delete paragraph 12. This maximum WAL requirement is an important
factor preventing the development of a liquid market for securitisations on the longer
end of the curve.
-We would recommend to add a Grandfathering Article for those transactions that do not meet the STS criteria, by maintaining the existing wording of Article 13 for asset-backed securities issued before the application date of the STS Regulation (1 January 2019).
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