Joint ESAs-ECB Statement on disclosure on climate change for structured finance products

Fostering a level playing field by promoting consistent and harmonised requirements for similar instruments

Finally, the introduction of new climate change-related disclosure requirements for securitisations may become also relevant for similar funding instruments backed by the same type of underlying assets, such as covered bonds^{^[7]}. Consistent and harmonised requirements for these instruments are necessary for properly assessing and addressing climate-related risks and would ensure a level playing field across similar asset classes, foster comparability for investors and facilitate equal treatment by EU supervisors. The ESAs and the ECB are committed to supporting the comparability of future disclosure requirements within their respective mandates.

[1] The European Authority Insurance and Occupational Pensions Authority (EIOPA) established by Regulation (EU) No 1094/2010, the European Securities and Markets (ESMA) established by Regulation (EU) No 1095/2010 and the European Banking Authority (EBA) established by (EU) Regulation 1093/2010.

[2] The three ESAs provided separate, but coordinated, advice in response to the European Commission’s Call for Advice on Article 8 of the Taxonomy Regulation (for more information, see the EBA, EIOPA and ESMA responses to the Commission’s Call for Advice).

[3] See Joint RTS on ESG disclosure standards for financial market participants”, ESAs, 2 May 2022 (Link).

[4] See ECB takes further steps to incorporate climate change into its monetary policy operations”, press release, ECB, 4 July 2022. ⁵ See STS securitisations-related sustainability disclosures, joint consultation paper, ESAs, 2 May 2022..

[5] See Developing a Framework for Sustainable Securitisation”, EBA, 2 March 2022 (Link).

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[6] The SFDR” requires financial market participants to disclose the extent to which their financial products with sustainable characteristics or objectives invest in sustainable and environmental assets. Although securitisations are not financial products” covered by SFDR, they are indirectly subject to SFDR through the entity-level disclosure requirements (PAI indicators cover all investment decisions, including investments into securitisations) and when investments by financial products in securitisation positions result in investments in Taxonomy-aligned economic activities (see Article 17(1)(f) of the SFRD Delegated Regulation); the European Green Bond Regulation (EU GBS) will likely require that any green bond including securitisation transactions - must fund environmentally sustainable economic activities that align with the EU taxonomy.

[7] Covered bonds are not financial products” under Article 2(12) of SFDR, and therefore they are not subject to the financial product disclosures rules set out under Articles 6 to 11 of the SFDR (2019/2088) or under the templates in Annexes II-V of the SFDR Delegated Regulation. However, they are captured as investments” under Article 4 principal adverse impact (PAI) disclosure at entity level, just as securitisations are. Covered bonds related ESG-disclosure, if any, is also regulated by Article 14 of the Covered Bond Directive (2019/2162) which applies on an aggregated basis.

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