Core topics
The EU Securitisation Regulation
A single cross-sectoral rulebook since 2019 — scope, structure and the Level 2/3 architecture that keeps evolving.
Traditional Securitisation
True sale of receivables to a bankruptcy-remote SPV, financed through the issuance of asset-backed securities.
Synthetic Securitisation
Credit risk transfer through a protection agreement — the originator keeps the assets, but not the risk.
ABCP Programmes
Asset-backed commercial paper — short-term funding, receivables pools, and a bank sponsor providing liquidity.
NPE Securitisations
Non-performing exposures — the 2021 amendment and the framework for securitising distressed loan books.
The STS Label
Simple, transparent and standardised — criteria, supervision and the regulatory capital privilege for qualifying deals.
Risk Retention
The 5% material net economic interest rule — who retains, how it is measured, and why it matters.
Transparency & Due Diligence
Mandatory disclosures by the originator and mirror-image due diligence duties of institutional investors.
Sustainable Securitisation
Green, social and ESG-linked securitisations — the evolving rules, taxonomy alignment and disclosure expectations.
Reform of the EU Framework
Commission proposal (June 2025), Council general approach, Parliament draft report and the road to trilogue in H2 2026.
Why these notes
The European Securitisation Regulation has been in force since 1 January 2019. Several Level 2 measures are still being drafted; consultations on further changes — notably around sustainable securitisation and the capital framework — are ongoing. These notes distil the core concepts and track the current policy debate in short, practice-oriented posts.
They are written as personal notes by Dr. Thomas Prüm. They are not legal advice and do not create an attorney-client relationship. For the full legal notice, see the Disclaimer.