CDOs/CLOs

摘要

The Loan Market Association has voiced its concern over the EU's framework for simple, transparent and standardised (STS) securitisations in its response to the consultation document. The LMA says the European Banking Authority and BCBS/IOSCO have included a number of detailed criteria for identifying STS securitisations - a number of which have been included in delegated acts of Solvency Ⅱ. But it warns that: "The criteria proposed and in some cases adopted thus far gives CLO market participants significant cause for concern." The main worry is that the current proposals, if implemented, would exclude managed CLOs from STS eligibility on the basis that the portfolio is actively managed. "We do not share the view that a securitisation should be excluded on the basis that it is actively managed. This seems to be predicated on the belief that active management of a portfolio adds a layer of complexity to a securitisation which would make it ineligible for inclusion as an STS Securitisation."