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DNB supervision under the Securitisation Regulation


Published: 26 September 2019

Latest update: 09 November 2022

As of January 1, 2019, the Securitisation Regulation 2017/2402 (“SR”) came into effect. The SR applies to all securitisations issued in the EU and applies to all transactions that qualify as a securitisation. The SR includes rules regarding due diligence, risk retention and transparency, as well as a set of criteria for labeling securitisations as Simple, Transparent and Standardized ("STS") ("STS criteria"). The regulation aims to strengthen the securitisation market in Europe. The regulations can be found here.

Generic and additional requirements

The requirements in the SR can be divided into generic and specific requirements:

  • Generic requirements that apply to all securitisations are described in chapter 2 of the SR. These include requirements for transparency and risk retention.

  • In addition to the generic requirements, the regulations contain additional specific requirements on the basis of which securitisations can qualify as STS. These requirements are described in chapter 4 of the SR.

The SR provides a distinction between asset-backed commercial paper (“ABCP”) and securitisations with longer maturities (“non-ABCP”). In addition to traditional securitisations, synthetic securitisations (“on-balance sheet securitisations”) are also covered by the SR.

Supervision of SR

DNB monitors compliance with the generic requirements by institutions that fall under DNB’s supervision. With regard to transactions that do not qualify as STS, institution(s) must inform the DNB account team about such transaction. DNB will check these transactions on a random basis by means of information requests.

For the institutions that are under AFM’s supervision and for Dutch institutions that are not supervised by DNB or the AFM, the AFM is responsible for SR supervision.

The ECB monitors compliance with the generic requirements by institutions that are directly supervised by the ECB. See also: Guide on the notification of securitisation transactions.

STS securitisations

DNB supervises the additional requirements for all Dutch securitisations that have been notified by issuers (originator, SSPE and/or sponsor) as STS to ESMA (“STS transactions”).

Until 1 November 2022, the usual practice was for DNB to assess whether institutions correctly used the STS label for issued securitisations. The result of the assessment was then communicated to the institution by email.

From 1 November 2022, DNB will no longer send an assessment email with regard to STS transactions. For STS transactions issued before 1 November 2022 that have not yet been assessed by DNB, no assessment e-mail will follow.

From 1 November 2022, DNB will conduct a number of investigations at institutions that have been involved in STS transactions to review the arrangements, processes and mechanisms that have been implemented in order to comply with the SR. As part of the investigation also one or more transactions will be fully evaluated. In addition, DNB can on a continuous and random basis impose questions with regard to STS transactions.

The STS process is as follows:

  • In the event that the originator and/or sponsor believes that a securitisation meets the STS criteria, it submits a notification to ESMA. Unless the notification relates to a private transaction, it will be published on ESMA's website.

  • As soon as an STS securitisation has been notified to ESMA, the originator and/or sponsor must also inform DNB and the AFM. This can be done by e-mail to: STS@dnb.nl and securitisaties@afm.nl. The email should include the following information:
    • the contact person for the relevant securitisation;
    • the entity designated to comply with the transparency requirements;
    • the securitisation repository or website where all necessary information is made public (in case of public transactions);
    • the type of transaction (public/private and ABCP, non-ABCP or synthetic);
    • the original deal size;

  • Relevant non-public transaction documentation (included as an attachment), including:
    • A complete structure diagram that provides insight into the securitisation transaction and, if applicable, any prior transfers (including the names of the entities involved and any transfers to and by a warehouse).
    • Legal opinion(s) regarding the securitisation transaction and, if applicable, regarding any prior transfer.
    • Deed of assignment and pledge with regard to the securitisation transaction and, if applicable, with regard to any prior transfer (being a signed and dated version and (if registered with the tax authorities) signed proof of registration).
    • The signed and dated agreement underlying the transfer of the assets to the SSPE (for example, a mortgage receivables purchase agreement) and, if applicable, the signed and dated agreement underlying any prior transfer (for example, a mortgage receivables purchase agreement).
    • Any additional documentation regarding derivatives.
    • External verification through pool audit in the form of an agreed upon procedures (AUP) letter.
    • Liability cash flow model (link or Bloomberg code).

DNB will send a confirmation email if it has received the notification in good order.

If the relevant institution is eligible for an investigation, DNB will inform the institution in a timely manner. If findings emerge from the investigation, DNB will share these findings with the institution(s) and communicate the (potential) consequences of these findings. An investigation can consist of one or more physical/online meeting(s) with the institution(s), several written rounds of questions and an analysis of process documentation and transaction documentation.

Supervision DNB

Institutions should ensure that the securitisations they issue meet the generic and – where relevant – specific requirements. The SR also stipulates that investors shall carry out a due-diligence assessment verifying that certain requirements set out in Article 5 of the SR have been complied with. Together with other supervisors, DNB ensures that issuing institutions and investors fulfil these roles properly and therefore contribute to a well-functioning European securitisation market.

Institutions have the option to use Third Party Verifiers (TPV) to validate that a securitisation complies with the SR, but they remain responsible for ensuring that the securitisations issued by them comply with the requirements in the SR.


Institutions supervised by DNB can contact STS@dnb.nl if they have any questions. The AFM can be reached for this subject via securitisaties@afm.nl.

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