LUXEMBOURG Law and Practice Contributed by: Vassiliyan Zanev and Natalja Taillefer, Loyens & Loeff Luxembourg S.à r.l.
assets resulting from a securitisation transac - tion or scheme, as defined in the Securitisation Regulation), the CRA Regulation establishes a requirement of a double credit rating. It also pro - vides that the issuer of the securitisation instru - ment must consider appointing at least one credit rating agency with no more than 10% of the total market share. The CRA Regulation also sets out a number of requirements with regard to ratings on re- securitisations, notably a mandatory rotation of credit rating agencies issuing ratings on re- securitisations with underlying assets from the same issuer every four years. ESMA is in charge of the supervision of credit rating agencies and may impose pecuniary penalties on infringing credit rating agencies. The CSSF and the CAA are the competent authorities in Luxembourg for the purposes of implementing the CRA Regulation and verifying compliance with the obligations arising from this regulation by the entities subject to their respec - tive supervision. 4.6 Treatment of Securitisation in Financial Entities The CRR and CRD set out a legal framework with regard to the prudential regulation of cred - it institutions and investment firms in the EU and provide, inter alia, for capital requirements (including capital adequacy calculation method - ology), disclosure obligations and operational requirements for entities holding securitisation exposures. The new banking package (CRR III/CRD VI) implements the outstanding elements of the Basel III regulatory reforms in the EU (ie, output floor, credit risk, market risk, operational risk). It also introduces changes in other non-Basel
key areas such as fit-and-proper, third-country branches and environmental, social and govern - ance (ESG) risks. The introduction of the output floor could have a significant impact on the own-funds require - ments for securitisation positions held by insti - tutions using the Securitisation Internal Ratings Based Approach or the Internal Assessment Approach. Although such positions are generally small relative to other exposures, the introduc - tion of the output floor could affect the economic viability of the securitisation operation because of an insufficient prudential benefit of the trans - fer of risk. CRD VI must be transposed into national law by 10 January 2026. In general, it will be applicable from 11 January 2026 apart from provisions on third-country branches applicable one year later, from 11 January 2027. CRR III will generally be applicable from 1 January 2025 (a Luxembourg draft law No 8427 implementing inter alia CRR III, was filed on 25 July 2024). Solvency II is applicable with regard to solvency capital requirements pertaining to securitisation positions held by insurance and reinsurance undertakings. As most securitisation transactions in Luxem - bourg involve originators and investors located outside Luxembourg, local capital adequacy laws applicable to such originators and inves -
tors need to be considered. 4.7 Use of Derivatives
EMIR is directly applicable in Luxembourg and also applies to non-financial counterparties, which are very broadly defined. The CSSF con - firmed in its press release 13/26 dated 24 June 2013 that securitisation undertakings are also
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