In 2000 a Committee of Wise Men chaired by Alexandre Lamfalussy, former president of the European Monetary Institute was appointed by the Economics and Finance Ministers Council to make recommendations on the regulation of the European securities markets. It proposed a four-level system to improve the legislative process while ensuring what it called a democratic and institutional balance. Our paper questions to what extent the concepts of two basic modes of delegation – agency and trust relationships – are appropriate tools to interpret the new structure set up by the Committee. It formulates hypotheses about its policy effectiveness and the balance of power between Community institutions. Evidence supports the agency hypothesis: the Lamfalussy process has reduced the average time taken to negotiate and adopt the first framework directives at level 1 and it has facilitated the removal of bottlenecks in the process through parallel working at levels 1 and 2. In this sense, delegation has enhanced policy effectiveness in the securities sector. But it is much more difficult to assess the trustee hypothesis: that is, whether the Commission and the Committee of European Securities Regulators (CESR) in fact act as trustees of the member states for the benefit of market actors. For the time being, whether CESR might evolve into a European securities regulator remains an open question.