Pre-2019 ABS ‘very unlikely’ to stay in EU liquidity buffers
Issuers will struggle to adapt old deals to new STS rules, forcing banks to reshuffle HQLAs
Banks in the European Union are unlikely to be able to count asset-backed securities (ABS) issued before 2019 as part of their prudential liquidity buffers beyond April 2020. This could force them to replace those legacy assets from a much smaller pool of more recent deals that qualify for the new simple, transparent and standardised (STS) label.
The EU Securitisation Regulation, which entered into force in January and established the legal framework for STS notes, permits a transition period
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