AUSTRIA Law and Practice

Contributed by: Markus Fellner, Florian Kranebitter and Florian Henöckl, Fellner Wratzfeld & Partners

work, the frequency and content of required disclosures depend on the classification of each institution as a large, small or non-complex or other institution as defined by the Regulation. In particular, CRR2 introduced less onerous reporting requirements and reduced the administrative burdens for smaller institutions in the form of targeted simplifications.

The disclosure requirements of exposures to securitisation positions are considerable for institutions evaluating risk-weighted exposure amounts. CRR2 requires sufficiently comprehensive information for both trading book and non-trading book activities. Among other matters, institutions must disclose information on behalf of their (synthetic) securitisation and resecuritisation activities, their role in securitisation and resecuritisation transactions, their use of the “simple, transparent and standardised securitisation” as defined in CRR2 and the extent to which they use securitisation transactions for transferring the credit risk of exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy. They shall also disclose the carrying amount of securitisation exposures for which they act as originator, sponsor or investor. The information is essential for investors for conducting risk analysis and due diligence on the risk profile of a securitisation position and for interpreting credit quality and performance of the respective underlying exposures.

EU Regulation No 2020/873 and Further Amendments of CRR

Regulation 2020/873 was published on 26 June 2020 in the Official Journal of the EU as the socalled “CRR quick fix”, a further amendment to the former CRR. In order to absorb COVID19-related losses and maintain the resilience of the banking system, the objective was to make the CRR framework more flexible and thereby ease the burden on institutions and ensure lending in the EU.

Furthermore, the EU Commission adopted a first draft of a new regulation (CRR3) on 27 October 2021, which is the official start for implementing the Basel IV-requirements at EU level. The current draft includes adjustments regarding the Credit Risk Standardised Approach, the Internal Ratings Based Approach, the capital requirements for operational risks and the introduction of an output floor.

EU Regulation (EC) No 1060/2009 on Credit Rating Agencies (CRAs)

Pursuant to this regulation, information on the credit quality, the performance of the underlying exposures of the securitisation transaction, the cash flows and any relevant collateral in terms of the transaction as well as any other necessary information must be jointly published by the issuer, the originator and the sponsor of a structured finance instrument on the website of the European Securities and Markets Authority (ESMA).

EU Regulation No 2017/2402 (STS Regulation)

The STS Regulation entered into force on 1 January 2019 and stipulates disclosure requirements. It applies to all securitisations and to the “simple, transparent and standardised” securitisation types, for which it provides a comprehensive regulatory framework.

Apart from the transparency requirements (Article 7) that are relevant here, the Regulation defines securitisation (Article 2) and establishes requirements for: