Sittings · Document
Amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions as regards requirements for securitisation exposures
Committee on Economic and Monetary Affairs
Amendment 54
Martin Schirdewan, Manon Aubry, Jussi Saramo
Proposal for a regulation
–
| Proposal for rejection | |
| The European Parliament rejects the Commission proposal. |
Or. en
Justification
The Commission proposal introduces further deviations from internationally agreed regulatory standards established in the aftermath of the 2008 financial crisis to safeguard financial stability. The proposed amendments would weaken capital requirements and increase opacity and complexity in securitisation practices, thereby heightening risks to financial stability. Moreover, the proposal fails to establish effective mechanisms to ensure that changes to the securitisation framework translate into tangible benefits for the productive economy.
Amendment 55
Aurore Lalucq
Draft legislative resolution
Paragraph 1
| Draft legislative resolution | Amendment |
| 1. Adopts its position at first reading hereinafter set out; | 1. Rejects the Commission proposal |
Or. en
Amendment 56
Aurore Lalucq
Draft legislative resolution
Paragraph 2
| Draft legislative resolution | Amendment |
| 2. Calls on the Commission to refer the matter to Parliament again if it replaces, substantially amends or intends to substantially amend its proposal; | 2. Calls on the Commission to withdraw its proposal; |
Or. en
Amendment 57
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Draft legislative resolution
Citation 7 a (new)
| Draft legislative resolution | Amendment |
| – having regard to the report of 9 September 2024 by Mario Draghi entitled ‘The future of European competitiveness’ 1a , | |
| _________________ | |
| 1a https://commission.europa.eu/topics/competitiveness/draghi-report_en |
Or. en
Amendment 58
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Draft legislative resolution
Citation 7 b (new)
| Draft legislative resolution | Amendment |
| – having regard to the report of 17 April 2024 by Enrico Letta entitled 'Much More Than A Market' 1a, | |
| _________________ | |
| 1a https://european-research-area.ec.europa.eu/sites/default/files/documents/2024-05/LETTA%20Report%20-%20Much%20more%20than%20a%20market_April%202024.pdf |
Or. en
Amendment 59
Auke Zijlstra
Proposal for a regulation
Recital 2
| Text proposed by the Commission | Amendment |
| (2) The Union needs significant investment to remain resilient and competitive. The securitisation framework can contribute to a more diversified financial system and greater risk-sharing. However, there are material impediments to the issuance of and investment in securitisations. These impediments weigh on the development of the securitisation market. The regulatory capital requirements laid down in Regulation (EU) No 575/2013 of the European Parliament and of the Council4 for institutions originating, sponsoring or investing in securitisations are not sufficiently risk sensitive, and they also incorporate an unjustified level of conservatism. The current requirements fail to accurately recognise the good credit performance of Union securitisations and the risk mitigants that have been implemented in the Union’s regulatory and supervisory frameworks for securitisation. These frameworks have significantly reduced the agency and model risks embedded in securitisation transactions. | deleted |
| _________________ | |
| 4 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj). |
Or. en
Amendment 60
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Recital 2
| Text proposed by the Commission | Amendment |
| (2) The Union needs significant investment to remain resilient and competitive. The securitisation framework can contribute to a more diversified financial system and greater risk-sharing. However, there are material impediments to the issuance of and investment in securitisations. These impediments weigh on the development of the securitisation market. The regulatory capital requirements laid down in Regulation (EU) No 575/2013 of the European Parliament and of the Council4 for institutions originating, sponsoring or investing in securitisations are not sufficiently risk sensitive, and they also incorporate an unjustified level of conservatism. The current requirements fail to accurately recognise the good credit performance of Union securitisations and the risk mitigants that have been implemented in the Union’s regulatory and supervisory frameworks for securitisation. These frameworks have significantly reduced the agency and model risks embedded in securitisation transactions. | (2) The Union needs significant investment to remain resilient and competitive. The securitisation framework can contribute to a more diversified financial system and greater risk-sharing. However, there are material impediments to the issuance of and investment in securitisations. These impediments weigh on the development of the securitisation market. The regulatory capital requirements laid down in Regulation (EU) No 575/2013 of the European Parliament and of the Council4 for institutions originating, sponsoring or investing in securitisations are not sufficiently risk sensitive. The current requirements fail to accurately recognise the good credit performance of Union securitisations and the risk mitigants that have been implemented in the Union’s regulatory and supervisory frameworks for securitisation. These frameworks have significantly reduced the agency and model risks embedded in securitisation transactions. |
| _________________ | _________________ |
| 4 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj). | 4 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj). |
Or. en
Amendment 61
Auke Zijlstra
Proposal for a regulation
Recital 3
| Text proposed by the Commission | Amendment |
| (3) Capital requirements for securitisations under Regulation (EU) No 575/2013 should be amended to increase the risk sensitivity and reduce excessive capitalisation by better aligning the capital treatment with the underlying risks. In addition, targeted amendments should be introduced to mitigate undue discrepancies between the capital requirements under two different approaches: the securitisation internal ratings-based approach (SEC-IRBA) and the securitisation standardised approach (SEC-SA). Such mitigation should increase the participation of smaller and medium-sized credit institutions that make use of the standardised approach. | deleted |
Or. en
Justification
The current capital requirements are sufficiently calibrated and don't need to be amended. Increased risk-sensitivity will make calculations more opaque, while the aim of the Securitisation Package is to simplify, not to complicate the existing rules.
Amendment 62
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Recital 3
| Text proposed by the Commission | Amendment |
| (3) Capital requirements for securitisations under Regulation (EU) No 575/2013 should be amended to increase the risk sensitivity and reduce excessive capitalisation by better aligning the capital treatment with the underlying risks. In addition, targeted amendments should be introduced to mitigate undue discrepancies between the capital requirements under two different approaches: the securitisation internal ratings-based approach (SEC-IRBA) and the securitisation standardised approach (SEC-SA). Such mitigation should increase the participation of smaller and medium-sized credit institutions that make use of the standardised approach. | (3) Capital requirements for securitisations under Regulation (EU) No 575/2013 should be amended to increase the risk sensitivity by better aligning the capital treatment with the underlying risks. In addition, targeted amendments should be introduced to mitigate undue discrepancies between the capital requirements under two different approaches: the securitisation internal ratings-based approach (SEC-IRBA) and the securitisation standardised approach (SEC-SA). Such mitigation should increase the participation of smaller and medium-sized credit institutions that make use of the standardised approach. |
Or. en
Amendment 63
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Recital 4
| Text proposed by the Commission | Amendment |
| (4) Risk weight floors are minimum risk weights that credit institutions must apply to their senior securitisation exposures, even where the capital calculations suggest a lower risk weight could be applied. Risk weight floors for senior positions of securitisations should be made more risk sensitive, making it possible to reflect the riskiness of the underlying pool of exposures of each specific securitisation. Senior securitisation positions of securitisation of low-risk portfolios should be allowed to benefit from lower risk weight floors than senior securitisation positions in securitisations of higher-risk portfolios. This new approach, which would mean that risk weight floors are calculated based on a specific formula, should replace the existing approach where risk weight floors are set at flat levels, irrespective of the credit quality of the underlying pool of exposures. The new formula should make it possible to reflect the simple, transparent and standardised (STS) or non-STS status of a securitisation. To avoid excessive reductions of the capital requirements, a minimum threshold to the risk weight floors should be introduced. | deleted |
Or. en
Amendment 64
Auke Zijlstra
Proposal for a regulation
Recital 4
| Text proposed by the Commission | Amendment |
| (4) Risk weight floors are minimum risk weights that credit institutions must apply to their senior securitisation exposures, even where the capital calculations suggest a lower risk weight could be applied. Risk weight floors for senior positions of securitisations should be made more risk sensitive, making it possible to reflect the riskiness of the underlying pool of exposures of each specific securitisation. Senior securitisation positions of securitisation of low-risk portfolios should be allowed to benefit from lower risk weight floors than senior securitisation positions in securitisations of higher-risk portfolios. This new approach, which would mean that risk weight floors are calculated based on a specific formula, should replace the existing approach where risk weight floors are set at flat levels, irrespective of the credit quality of the underlying pool of exposures. The new formula should make it possible to reflect the simple, transparent and standardised (STS) or non-STS status of a securitisation. To avoid excessive reductions of the capital requirements, a minimum threshold to the risk weight floors should be introduced. | (4) Risk-weight floors shall remain simple, transparent and proportionate, in order to preserve risk sensitivity and avoid undue complexity. |
Or. en
Amendment 65
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Recital 4
| Text proposed by the Commission | Amendment |
| (4) Risk weight floors are minimum risk weights that credit institutions must apply to their senior securitisation exposures, even where the capital calculations suggest a lower risk weight could be applied. Risk weight floors for senior positions of securitisations should be made more risk sensitive, making it possible to reflect the riskiness of the underlying pool of exposures of each specific securitisation. Senior securitisation positions of securitisation of low-risk portfolios should be allowed to benefit from lower risk weight floors than senior securitisation positions in securitisations of higher-risk portfolios. This new approach, which would mean that risk weight floors are calculated based on a specific formula, should replace the existing approach where risk weight floors are set at flat levels, irrespective of the credit quality of the underlying pool of exposures. The new formula should make it possible to reflect the simple, transparent and standardised (STS) or non-STS status of a securitisation. To avoid excessive reductions of the capital requirements, a minimum threshold to the risk weight floors should be introduced. | (4) Risk weight floors are minimum risk weights that credit institutions must apply to their senior securitisation exposures, even where the capital calculations suggest a lower risk weight could be applied. Only senior securitisation positions backed by securitisations of demonstrably low-risk portfolios should be eligible to benefit from the reduced risk-weight floors applicable to STS securitisations. This approach should replace the current framework under which risk-weight floors for STS securitisations are set at uniform levels, irrespective of the underlying credit quality of the securitised exposures. |
Or. en
Amendment 66
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Recital 5
| Text proposed by the Commission | Amendment |
| (5) To provide for more risk sensitivity in the securitisation framework, while maintaining a prudent regulatory treatment, it is necessary to adjust, under the SEC-IRBA approach, the formula for the (p) factor to reduce the floor and to reduce the scaling factor, and to introduce a cap to the (p) factor, mainly for the senior securitisation positions of originator/sponsor credit institutions. For the same reason, under the SEC-SA approach, it is necessary to reduce the (p) factor, for senior securitisation positions. Changes to the (p) factor for non-senior securitisation positions should be minimal, to prevent undercapitalisation of these positions. Changes to the (p) factor for positions of investors in non-STS securitisations and in non-senior securitisation positions of STS securitisations should be minimal, as those positions do not feature reduced agency and model risks. | deleted |
Or. en
Amendment 67
Auke Zijlstra
Proposal for a regulation
Recital 5
| Text proposed by the Commission | Amendment |
| (5) To provide for more risk sensitivity in the securitisation framework, while maintaining a prudent regulatory treatment, it is necessary to adjust, under the SEC-IRBA approach, the formula for the (p) factor to reduce the floor and to reduce the scaling factor, and to introduce a cap to the (p) factor, mainly for the senior securitisation positions of originator/sponsor credit institutions. For the same reason, under the SEC-SA approach, it is necessary to reduce the (p) factor, for senior securitisation positions. Changes to the (p) factor for non-senior securitisation positions should be minimal, to prevent undercapitalisation of these positions. Changes to the (p) factor for positions of investors in non-STS securitisations and in non-senior securitisation positions of STS securitisations should be minimal, as those positions do not feature reduced agency and model risks. | (5) Risk-weight floors shall remain simple, transparent and proportionate, in order to preserve risk sensitivity and avoid undue complexity. |
Or. en
Amendment 68
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Recital 5
| Text proposed by the Commission | Amendment |
| (5) To provide for more risk sensitivity in the securitisation framework, while maintaining a prudent regulatory treatment, it is necessary to adjust, under the SEC-IRBA approach, the formula for the (p) factor to reduce the floor and to reduce the scaling factor, and to introduce a cap to the (p) factor, mainly for the senior securitisation positions of originator/sponsor credit institutions. For the same reason, under the SEC-SA approach, it is necessary to reduce the (p) factor, for senior securitisation positions. Changes to the (p) factor for non-senior securitisation positions should be minimal, to prevent undercapitalisation of these positions. Changes to the (p) factor for positions of investors in non-STS securitisations and in non-senior securitisation positions of STS securitisations should be minimal, as those positions do not feature reduced agency and model risks. | (5) To provide for more risk sensitivity in the securitisation framework, while maintaining a prudent regulatory treatment, it is necessary to adjust, under the SEC-IRBA approach, the formula for the (p) factor to reduce the floor and to reduce the scaling factor for the senior securitisation positions of originator credit institutions which are directly or indirectly involved in the original agreement which created the obligations or potential obligations of the debtors giving rise to the exposures being securitised. This adjustment ensures that only the abovementioned originators fall within the measure’s scope of application, in respect of which reduced agency and model risks can be assumed, unlike in the case of investors. As a consequence, this would also exclude any originator that purchases and then securitises a third party’s exposures on its own account. This exclusion is justified in order to avoid credit institutions expanding beyond their core businesses solely for the purpose of securitising the respective exposures with the intention of benefiting from the reduction under the measure. For the same reason, under the SEC-SA approach, it is necessary to reduce the (p) factor, for senior securitisation positions. Changes to the (p) factor for non-senior securitisation positions not occur, to prevent undercapitalisation of these positions. Changes to the (p) factor for positions of investors s should not occur, as those positions do not feature reduced agency and model risks. |
Or. en
Amendment 69
Auke Zijlstra
Proposal for a regulation
Recital 6
| Text proposed by the Commission | Amendment |
| (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date and on an ongoing basis thereafter. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. Positions of credit institution investors in senior securitisation positions of non-STS securitisations should not be allowed to benefit from those further reductions, as they are not characterised by reduced agency and model risk. | (6) Risk-weight floors shall remain simple, transparent and proportionate, in order to preserve risk sensitivity and avoid undue complexity. |
Or. en
Amendment 70
Tomáš Kubín
Proposal for a regulation
Recital 6
| Text proposed by the Commission | Amendment |
| (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date and on an ongoing basis thereafter. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. Positions of credit institution investors in senior securitisation positions of non-STS securitisations should not be allowed to benefit from those further reductions, as they are not characterised by reduced agency and model risk. | (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. |
Or. en
Amendment 71
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Recital 6
| Text proposed by the Commission | Amendment |
| (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date and on an ongoing basis thereafter. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. Positions of credit institution investors in senior securitisation positions of non-STS securitisations should not be allowed to benefit from those further reductions, as they are not characterised by reduced agency and model risk. | (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. |
Or. en
Amendment 72
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Recital 6
| Text proposed by the Commission | Amendment |
| (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date and on an ongoing basis thereafter. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. Positions of credit institution investors in senior securitisation positions of non-STS securitisations should not be allowed to benefit from those further reductions, as they are not characterised by reduced agency and model risk. | (6) Senior securitisation positions in STS securitisations are resilient where they have sufficient credit enhancement from subordinated tranches at the origination date. This requirement, along with the STS eligibility criteria ensures the protection of the senior securitisation position and further mitigates agency and model risks. Such resilient securitisation positions ensure more robust loss-absorbing capacity. Only positions of originator credit institution which are a), directly or indirectly involved in the original agreement which created the obligations or potential obligations of the debtors giving rise to the exposures being securitised and, which are b) in senior securitisation positions of STS securitisations should be allowed to benefit from those further reductions, as they are characterised by reduced agency and model risk. |
Or. en
Amendment 73
Christophe Gomart
Proposal for a regulation
Recital 6
| Text proposed by the Commission | Amendment |
| (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date and on an ongoing basis thereafter. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. Positions of credit institution investors in senior securitisation positions of non-STS securitisations should not be allowed to benefit from those further reductions, as they are not characterised by reduced agency and model risk. | (6) Senior securitisation positions are resilient if the securitisation satisfies a set of eligibility criteria at the origination date and on an ongoing basis thereafter. This set of eligibility criteria ensures the protection of the senior securitisation position and mitigates agency and model risks. Such resilient securitisation positions, whether synthetic or traditional, should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with positions that do not satisfy the eligibility criteria. Positions of credit institution investors in senior securitisation positions of non-STS securitisations should not be allowed to benefit from those further reductions, as they are not characterised by reduced agency and model risk. These two reductions should benefit both forms of securitisation, synthetic and traditional, without disproportionately favouring one over the other. |
Or. en
Justification
The EU is the largest market for synthetic securitisation, accounting for around half of the global market. At the end of 2023 (the most recent date for which global data is available), outstanding synthetic securitisations in the EU – referring here and in the rest of this text to outstanding securitised exposures – amounted to around €300 billion, or around 50% of the global market. There is therefore no justification for disproportionately favouring so-called traditional securitisation.
Amendment 74
Angelika Winzig
Proposal for a regulation
Recital 6 a (new)
| Text proposed by the Commission | Amendment |
| (6a) To ensure a smooth transition for existing market participants and to maintain legal certainty, securitisations that were issued before the date of application of this Regulation should continue to be governed by the rules in force at the time of their inception. However, to allow for flexibility and to avoid a fragmented prudential treatment, institutions should be granted the option to voluntarily apply the new framework to these outstanding transactions if they deem it beneficial. |
Or. en
Amendment 75
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Recital 7
| Text proposed by the Commission | Amendment |
| (7) Because of the changes to the risk weight floor for senior securitisation positions and to the (p) factor under the SEC-IRBA and SEC-SA approaches, the risk weights in the look-up tables under SEC-ERBA should be recalibrated accordingly. | deleted |
Or. en
Amendment 76
Auke Zijlstra
Proposal for a regulation
Recital 7
| Text proposed by the Commission | Amendment |
| (7) Because of the changes to the risk weight floor for senior securitisation positions and to the (p) factor under the SEC-IRBA and SEC-SA approaches, the risk weights in the look-up tables under SEC-ERBA should be recalibrated accordingly. | (7) Risk-weight floors shall remain simple, transparent and proportionate, in order to preserve risk sensitivity and avoid undue complexity. |
Or. en
Amendment 77
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Recital 8 a (new)
| Text proposed by the Commission | Amendment |
| (8a) In line with the objectives of Regulation (EU) 2017/2402 to promote financing to the real economy while safeguarding financial stability, capital relief for securitisation transactions granted under Chapter 5 of this Regulation should contribute to lending to households and non-financial undertakings and should not be used primarily for balance-sheet optimisation, dividend or interest distributions to shareholders or holders of Additional Tier 1 instruments, or variable remuneration. To that end, the use of capital relief should be assessed on the basis of net lending, measured as changes in outstanding loans and adjusted to exclude non-lending transactions, and compared against a bank-specific benchmark reflecting the originating institution’s starting position. Where originating institutions do not meet the binding lending benchmarks set under this Regulation, such failure should have forward-looking supervisory consequences, including under the supervisory review and evaluation process, and should lead to restrictions on dividend and interest distributions, limitations on variable remuneration, and requirements to use net profits to strengthen own funds, as well as affecting the recognition of capital relief for future transactions. |
Or. en
Amendment 78
Auke Zijlstra
Proposal for a regulation
Recital 9
| Text proposed by the Commission | Amendment |
| (9) A new principle-based approach test should be introduced to replace the existing mechanical tests, to measure the significance of the risk transferred through securitisation. Given its very limited use, the current permission-based approach, where the SRT is achieved through a permission granted by the competent authority, should be removed and should no longer be allowed. To further streamline the SRT assessment, and to increase transparency and predictability for originators, a new requirement should be introduced for originators to submit a self-assessment to demonstrate that the requirements related to the SRT are met, including in stress conditions. As part of the self-assessment, originators should develop a cash-flow model analysis to provide evidence on the resilience of the SRT. | (9) Agency risk and modelling risk inherent in securitisation structures do not affect originators, sponsors and investors equally; whereas investors are more exposed to such risks due to reliance on models and sell-side information; whereas prudential treatment should continue to reflect these asymmetries, in line with the Basel Committee’s framework. |
Or. en
Amendment 79
Ralf Seekatz
Proposal for a regulation
Recital 9
| Text proposed by the Commission | Amendment |
| (9) A new principle-based approach test should be introduced to replace the existing mechanical tests, to measure the significance of the risk transferred through securitisation. Given its very limited use, the current permission-based approach, where the SRT is achieved through a permission granted by the competent authority, should be removed and should no longer be allowed. To further streamline the SRT assessment, and to increase transparency and predictability for originators, a new requirement should be introduced for originators to submit a self-assessment to demonstrate that the requirements related to the SRT are met, including in stress conditions. As part of the self-assessment, originators should develop a cash-flow model analysis to provide evidence on the resilience of the SRT. | (9) A new principle-based approach test should be introduced to replace the existing mechanical tests, to measure the significance of the risk transferred through securitisation. Competent authorities should in exceptional cases be able to increase the minimum amount of transferred unexpected losses under the PBA. Given its very limited use, the current permission-based approach, where the SRT is achieved through a permission granted by the competent authority, should be removed and should no longer be allowed. To further streamline the SRT assessment, and to increase transparency and predictability for originators, a new requirement should be introduced for originators to submit a self-assessment to demonstrate that the requirements related to the SRT are met, including in stress conditions. As part of the self-assessment, originators should develop a cash-flow model analysis to provide evidence on the resilience of the SRT. |
Or. en
Amendment 80
Christophe Gomart
Proposal for a regulation
Recital 10 a (new)
| Text proposed by the Commission | Amendment |
| (10a) The concept of “single purpose” was introduced in 2015 by the Commission for the sole purpose of addressing a potential risk retention gap identified by the European Banking Authority (EBA). In this regard, the EBA has implemented a “single purpose test” (SPT) to prevent an entity that has been created or operates for the sole purpose of securitizing exposures from being considered an operator. | |
| The lack of clarity regarding the conditions and interpretation of this test currently excludes some real companies, particularly those operating in the direct lending and CLO (collateralized loan obligation) markets, from being considered originators, despite the EBA's intention not to target such cases. | |
| Clarification of this test should be considered in order to: (i) simplify its implementation for companies or platforms that can clearly demonstrate that they are compliant (specialized European credit companies or platforms acting as originators and servicers, such as those that grant loans to SMEs, consumer credit, or residential mortgages), and (ii) avoid permanently excluding entities that do not currently meet the test but may be actively involved in financing the European real economy. |
Or. en
Amendment 81
Sirpa Pietikäinen, Marco Falcone
Proposal for a regulation
Recital 10 a (new)
| Text proposed by the Commission | Amendment |
| (10a) The link between securitisation and financing of the real economy needs to be clear so that the benefits from widening the use of securitised assets and lowering of the risk levels also reaches the necessary and direly needed investments on the ground. Therefore, the Commission needs to be given a clear mandate to monitor how banks use their increased capital headroom and how the conditions for financing the real economy continue to develop. Moreover, the effects of the securitisation reforms on existing and well-functioning instruments, such as covered bonds, need to be scrutinised to avoid a crowding-out effect. |
Or. en
Amendment 82
Siegfried Mureşan, Janusz Lewandowski, Hanna Gronkiewicz-Waltz
Proposal for a regulation
Recital 11 a (new)
| Text proposed by the Commission | Amendment |
| (11a) Public financing through the issuance of government bonds denominated in the domestic currency of another Member State has been necessary to support public measures to fight the consequences of the severe, double economic shock caused by the COVID-19 pandemic and Russia’s war of aggression against Ukraine. These consequences are still perceptible and adequate public financing may remain necessary. The concerned Member States should also have sufficient time to regularise the level of public financing that has been necessary to address these exceptional situations. Therefore, to avoid unnecessary constraints on institutions investing in such bonds, it is appropriate to prolong the transitional arrangements for exposures to central governments and central banks of non-euro Member States, where those exposures are denominated and funded in euro, with respect to the treatment of such exposures under the credit risk framework and under the large exposure limits. |
Or. en
Amendment 83
Tomáš Kubín
Proposal for a regulation
Recital 11 a (new)
| Text proposed by the Commission | Amendment |
| (11a) Public financing through the issuance of government bonds denominated in the domestic currency of another Member State has been necessary to support public measures to fight the consequences of the severe, double economic shock caused by the pandemic and Russia’s war of aggression against Ukraine. These consequences are still perceptible and adequate public financing may remain necessary. The concerned Member States should also have sufficient time to regularise the level of public financing that has been necessary to address these exceptional situations. Therefore, to avoid unnecessary constraints on institutions investing in such bonds, it is appropriate to prolong the transitional arrangements for exposures to central governments and central banks of non-euro Member States, where those exposures are denominated and funded in euro, with respect to the treatment of such exposures under the credit risk framework and under the large exposure limits. |
Or. en
Amendment 84
Markus Ferber
Proposal for a regulation
Recital 11 a (new)
| Text proposed by the Commission | Amendment |
| (11a) In order to maintain coherence within the prudential framework following the recalibration of capital requirements for high-quality securitisations, it is appropriate to adjust the prudential treatment of covered bonds accordingly. Covered bonds benefit from a strong and stable risk profile, underpinned by their specific structural features and the applicable regulatory framework. Ensuring an appropriate relationship between the prudential treatment of covered bonds and securitisations is necessary to prevent unintended effects on market incentives and to safeguard the continued functioning of covered bond markets as an important source of stable funding. Therefore, the risk weight for the highest quality covered bond exposures should be reduced from 10% to 5%. |
Or. en
Amendment 85
Markus Ferber
Proposal for a regulation
Recital 14 a (new)
| Text proposed by the Commission | Amendment |
| (14a) In order to ensure a consistent and proportionate application of the amended prudential framework and to avoid unnecessary complexity in the calculation of capital requirements, originator institutions should be allowed to apply the provisions of this amending Regulation relating to the calculation of capital requirements and risk-weighted exposure amounts also to securitisation positions created before the entry into force of this amending Regulation. Allowing such application should facilitate implementation, enhance comparability and support a smooth transition to the amended framework without undermining prudential objectives. |
Or. en
Amendment 86
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point -1 (new)
Regulation (EU) No 575/2013
Article 129 – paragraph 4 – table 1 – column 2 – row 2
| Text proposed by the Commission | Amendment |
| 10% | 5% |
Or. en
Justification
Adjusts the risk weight for credit quality step 1 covered bonds down from 10% to 5% in order to maintain an appropriate balance between the prudential treatment of covered bonds and securitisations.
Amendment 87
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point -1 (new)
Regulation (EU) No 575/2013
Article 161 – paragraph 1 – point a b (new)
| Text proposed by the Commission | Amendment |
| (-1) in Article 161(1), the following point is inserted: | |
| "(ab) exposures to insurance and reinsurance undertakings subject to Directive 2009/138/EC, or to prudential requirements of a third country deemed equivalent according to Articles 172, 227 and 260 of that Directive, where those exposures consist of credit risk insurance policies that are used as unfunded credit protection: 22.5 %;" |
Or. en
(Regulation (EU) No 575/2013 / Article 161 – paragraph (1))
Amendment 88
Ralf Seekatz
Proposal for a regulation
Article 1 – paragraph 1 – point -1 (new)
Regulation (EU) No 575/2013
Article 161 – paragraph 1 – point d
| Present text | Amendment |
| (-1) in Article 161(1), point d is replaced by the following: | |
| (d) covered bonds eligible for the treatment set out in Article 129(4) or (5) may be assigned an LGD value of 11,25 %; | "(d) covered bonds eligible for the treatment set out in Article 129(4) or (5) may be assigned an LGD value of 11.25%, or an LGD value of 5.625% for covered bonds that qualify for credit quality step 1." |
Or. en
(Regulation (EU) No 575/2013)
Justification
To ensure coherence in the prudential framework following the recalibration of capital requirements for high-quality securitisations, the treatment of covered bonds under the Standardised Approach should be aligned with the Internal Ratings-Based Approach. Without a corresponding adjustment under the IRB framework, the recalibration applies unevenly across institutions, limiting its effectiveness.
Amendment 89
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point a
Regulation (EU) No 575/2013
Article 242 – point 6
| Text proposed by the Commission | Amendment |
| (a) point (6) is replaced by the following: | deleted |
| ‘(6) ‘senior securitisation position’ means a position with the attachment point above KIRB or KA and backed or secured by a first claim on the whole of the underlying exposures, disregarding for these purposes amounts due under interest rate or currency derivative contracts, fees or other similar payments, and irrespective of any difference in maturity with one or more other senior tranches with which that position shares losses on a pro-rata basis;’ |
Or. en
Amendment 90
Regina Doherty
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point a
Regulation (EU) No 575/2013
Article 242 – point 6
| Text proposed by the Commission | Amendment |
| (a) point (6) is replaced by the following: | deleted |
| ‘(6) ‘senior securitisation position’ means a position with the attachment point above KIRB or KA and backed or secured by a first claim on the whole of the underlying exposures, disregarding for these purposes amounts due under interest rate or currency derivative contracts, fees or other similar payments, and irrespective of any difference in maturity with one or more other senior tranches with which that position shares losses on a pro-rata basis;’ |
Or. en
Amendment 91
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point a
Regulation (EU) No 575/2013
Article 242 – point 6
| Text proposed by the Commission | Amendment |
| (6) ‘senior securitisation position’ means a position with the attachment point above KIRB or KA and backed or secured by a first claim on the whole of the underlying exposures, disregarding for these purposes amounts due under interest rate or currency derivative contracts, fees or other similar payments, and irrespective of any difference in maturity with one or more other senior tranches with which that position shares losses on a pro-rata basis; | deleted |
Or. en
Amendment 92
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point a
Regulation (EU) No 575/2013
Article 242 – point 6
| Text proposed by the Commission | Amendment |
| (6) ‘senior securitisation position’ means a position with the attachment point above KIRB or KA and backed or secured by a first claim on the whole of the underlying exposures, disregarding for these purposes amounts due under interest rate or currency derivative contracts, fees or other similar payments, and irrespective of any difference in maturity with one or more other senior tranches with which that position shares losses on a pro-rata basis; | deleted |
Or. en
Amendment 93
Fernando Navarrete Rojas, Isabel Benjumea Benjumea
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point a a (new)
Regulation (EU) No 575/2013
Art 242 – point 10
| Text proposed by the Commission | Amendment |
| (aa) point (10) is replaced by the following: | |
| (10) ‘simple, transparent and standardised securitisation’ or ‘STS securitisation’ means a securitisation that meets the requirements set out in Article 18 of Regulation (EU) 2017/2402; | (10) ‘simple, transparent and standardised securitisation’ or ‘STS securitisation’ means a securitisation satisfying the requirements set out in Article 18 of Regulation (EU) 2017/2402 or a securitisation recognised as equivalent pursuant to Article 28a of that Regulation. |
Or. en
Amendment 94
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point b
Regulation (EU) No 575/2013
Article 242 – point 18
| Text proposed by the Commission | Amendment |
| (b) point (18) is deleted; | deleted |
Or. en
Amendment 95
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point b
Regulation (EU) No 575/2013
Article 242 – point 18
| Text proposed by the Commission | Amendment |
| (b) point (18) is deleted; | deleted |
Or. en
Amendment 96
Regina Doherty
Proposal for a regulation
Article 1 – paragraph 1 – point 2 – point b
Regulation (EU) No 575/2013
Article 242 – point 18
| Text proposed by the Commission | Amendment |
| (b) point (18) is deleted; | deleted |
Or. en
Amendment 97
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point b
Regulation (EU) No 575/2013
Article 243 – paragraph 2 – point b – point ii and point iii
| Text proposed by the Commission | Amendment |
| (b) in paragraph 2, point (b) is amended as follows: | deleted |
| (1) point (ii) is replaced by the following: | |
| ‘(ii) 60 % on an individual exposure basis where the exposure is a loan secured by a commercial mortgage; | |
| (2) point (iii) is deleted;’ |
Or. en
Amendment 98
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point b – point 2
Regulation (EU) No 575/2013
Article 243 – paragraph 2 – point b – point iii
| Text proposed by the Commission | Amendment |
| (2) point (iii) is deleted; | (2) point (iii) is replaced by the following: |
| (iii) 130 % on an individual exposure basis where the exposure is a project finance exposure during the pre-operational phase;' |
Or. en
Amendment 99
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point b – point 2
Regulation (EU) No 575/2013
Article 243 – paragraph 2 – point b – point iii
| Text proposed by the Commission | Amendment |
| (2) point (iii) is deleted; | (2) point (iii) is replaced by the following: |
| 130 % on an individual exposure basis where the exposure is a project finance exposure during the pre-operational phase; |
Or. en
Amendment 100
Ralf Seekatz
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point b – point 2
Regulation (EU) No 575/2013
Article 243 – paragraph 2 – point b – point iii
| Text proposed by the Commission | Amendment |
| (2) point (iii) is deleted; | (2) point (iii) is replaced by the following: |
| (iii) 130 % on an individual exposure basis where the exposure is a project finance exposure during the preoperational phase; |
Or. en
Amendment 101
Angelika Winzig
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point b – point 2
Regulation (EU) No 575/2013
Article 243 – paragraph 2 – point b – point iii
| Text proposed by the Commission | Amendment |
| (2) point (iii) is deleted; | (2) point (iii) is replaced by the following: |
| (iii) 130 % on an individual exposure basis where the exposure is a project finance exposure during the pre-operational phase; |
Or. en
Amendment 102
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point b a (new)
Regulation (EU) No 575/2013
Article 243 – paragraph 2 – subparagraph 1 a (new)
| Text proposed by the Commission | Amendment |
| (ba) in paragraph 2, the following subparagraph is added: | |
| ‘In the case of trade receivables, point (a) of the first subparagraph shall not apply where the credit risk of those trade receivables is fully covered by eligible credit protection in accordance with Chapter 4, provided that the protection provider is an institution, an investment firm, an insurance undertaking or a reinsurance undertaking.’ |
Or. en
Amendment 103
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – introductory part
| Text proposed by the Commission | Amendment |
| 3. Senior position in a STS securitisation shall be eligible for the treatment set out in Article 260(2), Article 262(2), Article 264(2a) and Article 264(3a) where the following requirements are met: | 3. A senior position in an STS securitisation shall be eligible for the treatment set out in Article 260(2), Article 262(2), Article 264(2a) and Article 264(3a) where the following requirements at the origination date are met: |
Or. en
Amendment 104
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – introductory part
| Text proposed by the Commission | Amendment |
| 3. Senior position in a STS securitisation shall be eligible for the treatment set out in Article 260(2), Article 262(2), Article 264(2a) and Article 264(3a) where the following requirements are met: | 3. Senior position in a STS securitisation shall be eligible for the treatment set out in Article 260, Article 262 and Article 264 where the following requirements are met: |
Or. en
Amendment 105
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3– introductory part
| Text proposed by the Commission | Amendment |
| 3. Senior position in a STS securitisation shall be eligible for the treatment set out in Article 260(2), Article 262(2), Article 264(2a) and Article 264(3a) where the following requirements are met: | 3. Senior position in a STS on-balance sheet securitisation shall be eligible for the treatment set out in Article 260(2) and Article 262(2) on the closing date of the securitisation: |
Or. en
Amendment 106
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point a
| Text proposed by the Commission | Amendment |
| (a) for a position in an ABCP programme or ABCP transaction: | deleted |
Or. en
Amendment 107
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point a
| Text proposed by the Commission | Amendment |
| (a) for a position in an ABCP programme or ABCP transaction: | (a) for a position in an ABCP transaction: |
Or. en
Amendment 108
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point b
| Text proposed by the Commission | Amendment |
| (b) the requirements of the Article 243(1) | deleted |
Or. en
Amendment 109
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point b
| Text proposed by the Commission | Amendment |
| (b) the requirements of the Article 243(1) | (i) the requirements of the Article 243(1) |
Or. en
Amendment 110
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c
| Text proposed by the Commission | Amendment |
| (c) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (c) the attachment point of the senior securitisation position is determined as follows: |
Or. en
Amendment 111
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c
| Text proposed by the Commission | Amendment |
| (c) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (2) at the origination date, the attachment point of the senior securitisation position shall comply with: |
Or. en
Amendment 112
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c
| Text proposed by the Commission | Amendment |
| (c) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (c) at the origination date, the attachment point of the senior securitisation position is determined as follows: |
Or. en
Justification
Continuous monitoring is opaque for both the supervisors and the supervised parties.
Amendment 113
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 242 – paragraph 3 – point c
| Text proposed by the Commission | Amendment |
| (c) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (c) at the origination date, the attachment point of the senior securitisation position is determined as follows: |
Or. en
Amendment 114
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c
| Text proposed by the Commission | Amendment |
| (c) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (ii) at the origination date the attachment point (A) of the senior securitisation position is determined as follows: |
Or. en
Amendment 115
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c –indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | (1) if the securitisation features a sequential amortisation of the tranches, |
| A >= (EL * WAL of the initial reference securitised portfolio + UL) | |
| (2) otherwise, A >= 1.4 * (EL * WAL of the initial reference securitised portfolio + UL); |
Or. en
Amendment 116
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KA, when using SEC-SA or SEC-ERBA, or |
Or. en
Amendment 117
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KSA, when using SEC-SA, or |
Or. en
Amendment 118
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c – indent 2
| Text proposed by the Commission | Amendment |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA. | deleted |
Or. en
Amendment 119
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point c – indent 2
| Text proposed by the Commission | Amendment |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA. | A >= 1.1 * KIRB, when using SEC-IRBA. |
Or. en
Amendment 120
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point d
| Text proposed by the Commission | Amendment |
| (d) for a position a securitisation other than ABCP programme or ABCP transaction: | deleted |
Or. en
Amendment 121
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point d
| Text proposed by the Commission | Amendment |
| (d) for a position a securitisation other than ABCP programme or ABCP transaction: | (b) for a position in a securitisation other than ABCP programme or ABCP transaction: |
Or. en
Amendment 122
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point e
| Text proposed by the Commission | Amendment |
| (e) the requirements of the Article 243(2) | deleted |
Or. en
Amendment 123
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point e
| Text proposed by the Commission | Amendment |
| (e) the requirements of the Article 243(2) | (i) the requirements of the Article 243(2) |
Or. en
Amendment 124
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f
| Text proposed by the Commission | Amendment |
| (f) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | deleted |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA. |
Or. en
Amendment 125
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – introductory part
| Text proposed by the Commission | Amendment |
| (f) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (2) at the origination date, the attachment point of the senior securitisation position shall comply with: |
Or. en
Amendment 126
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – introductory part
| Text proposed by the Commission | Amendment |
| (f) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (f) at the origination date, the attachment point of the senior securitisation position is determined as follows: |
Or. en
Justification
Continuous monitoring id opaque for both the supervisors and the supervised parties.
Amendment 127
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – introductory part
| Text proposed by the Commission | Amendment |
| (f) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (f) at the origination date, the attachment point of the senior securitisation position is determined as follows: |
Or. en
Amendment 128
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – introductory part
| Text proposed by the Commission | Amendment |
| (f) at the origination date and on an ongoing basis thereafter, the attachment point of the senior securitisation position is determined as follows: | (ii) at the origination date, the attachment point of the senior securitisation position is determined as follows: |
Or. en
Amendment 129
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | (1) if the securitisation features a sequential amortisation of the tranches; |
| A >= (EL * WAL of the initial reference securitised portfolio + UL) | |
| (2) otherwise, A >= 1.4 * (EL * WAL of the initial reference securitised portfolio + UL). |
Or. en
Amendment 130
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KA, when using SEC-SA, or |
Or. en
Amendment 131
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – indent 2
| Text proposed by the Commission | Amendment |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA. | deleted |
Or. en
Amendment 132
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 3 – point f – indent 2
| Text proposed by the Commission | Amendment |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA. | A >= 1.1 * KIRB, when using SEC-IRBA. |
Or. en
Amendment 133
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4
| Text proposed by the Commission | Amendment |
| 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date and on an ongoing basis thereafter: | deleted |
| (a) for an on-balance-sheet securitisation: | |
| (1) the requirement of Article 26c(5) of Regulation (EU) 2017/2402 and the requirements of Commission Delegated Regulation (EU) 2024/920; | |
| (2) the requirements of Article 26(e)8, 9 and 10 of Regulation (EU) 2017/2402; | |
| (3) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (4) the requirement of Article 243(2), point (a) of this Regulation; | |
| (5) the position is not a position of investor; | |
| (b) for an ABCP programme or ABCP transaction: | |
| (1) the requirements of Article 24(17), point (b), of Regulation (EU) 2017/2402; | |
| (2) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (3) the requirements of Article 243(1), point (b) of this Regulation; | |
| (4) the position is not a position of investor; | |
| (c) for non-ABCP traditional securitisation: | |
| (1) the requirements of Article 21(4), point (b), and Article 21(5) of Regulation (EU) 2017/2402; | |
| (2) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (3) the requirement of Article 243(2), point (a), of this Regulation; the position is not a position of investor. |
Or. en
Amendment 134
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4
| Text proposed by the Commission | Amendment |
| 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date and on an ongoing basis thereafter: | deleted |
| (a) for an on-balance-sheet securitisation: | |
| (1) the requirement of Article 26c(5) of Regulation (EU) 2017/2402 and the requirements of Commission Delegated Regulation (EU) 2024/920; | |
| (2) the requirements of Article 26(e)8, 9 and 10 of Regulation (EU) 2017/2402; | |
| (3) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (4) the requirement of Article 243(2), point (a) of this Regulation; | |
| (5) the position is not a position of investor; | |
| (b) for an ABCP programme or ABCP transaction: | |
| (1) the requirements of Article 24(17), point (b), of Regulation (EU) 2017/2402; | |
| (2) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (3) the requirements of Article 243(1), point (b) of this Regulation; | |
| (4) the position is not a position of investor; | |
| (c) for non-ABCP traditional securitisation: | |
| (1) the requirements of Article 21(4), point (b), and Article 21(5) of Regulation (EU) 2017/2402; | |
| (2) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (3) the requirement of Article 243(2), point (a), of this Regulation; the position is not a position of investor. |
Or. en
Amendment 135
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – introductory part
| Text proposed by the Commission | Amendment |
| 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date and on an ongoing basis thereafter: | 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b) and Article 261(1b), where the securitisation is a traditional securitisation, including ABCP positions, or a synthetic securitisation fulfilling the following requirements at the origination date: |
Or. en
Justification
Removal of ‘ongoing basis’ test in order to avoid volatility of capital requirements.
Amendment 136
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – introductory part
| Text proposed by the Commission | Amendment |
| 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date and on an ongoing basis thereafter: | 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met: |
Or. en
Amendment 137
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – introductory part
| Text proposed by the Commission | Amendment |
| 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date and on an ongoing basis thereafter: | 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), where the following requirements are met, on the closing date of the securitisation: |
Or. en
Amendment 138
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – introductory part
| Text proposed by the Commission | Amendment |
| 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date and on an ongoing basis thereafter: | 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date: |
Or. en
Justification
Continuous monitoring id opaque for both the supervisors and the supervised parties.
Amendment 139
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – introductory part
| Text proposed by the Commission | Amendment |
| 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date and on an ongoing basis thereafter: | 4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and Article 263(3a) where the following requirements are met, at the origination date : |
Or. en
Amendment 140
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 2
| Text proposed by the Commission | Amendment |
| (2) the requirements of Article 26(e)8, 9 and 10 of Regulation (EU) 2017/2402; | deleted |
Or. en
Amendment 141
Regina Doherty
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 2
| Text proposed by the Commission | Amendment |
| (2) the requirements of Article 26(e)8, 9 and 10 of Regulation (EU) 2017/2402; | deleted |
Or. en
Amendment 142
Angelika Winzig
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 2
| Text proposed by the Commission | Amendment |
| (2) the requirements of Article 26(e)8, 9 and 10 of Regulation (EU) 2017/2402; | (2) the requirements of Article 26(e)8, points (a), (b), (c) or, points (ii) and (iii) of point (aa) and Article 26(e)9 and 10 of Regulation (EU) 2017/2402; |
Or. en
Amendment 143
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 2
| Text proposed by the Commission | Amendment |
| (2) the requirements of Article 26(e)8, 9 and 10 of Regulation (EU) 2017/2402; | (2) the requirements of Article 26(e)8 and 9 of Regulation (EU) 2017/2402; |
Or. en
Amendment 144
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 3 – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KA, when using SEC-SA or SEC-ERBA, or |
Or. en
Amendment 145
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 3 – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KSA, when using SEC-SA, or |
Or. en
Amendment 146
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 3 – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KA, when using SEC-SA, or |
Or. en
Amendment 147
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 3 – indent 2
| Text proposed by the Commission | Amendment |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | A >= 1.1 * KIRB, when using SEC-IRBA; |
Or. en
Amendment 148
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 4
| Text proposed by the Commission | Amendment |
| (4) the requirement of Article 243(2), point (a) of this Regulation; | (4) the requirement of Article 243(2), point (a) of this Regulation is satisfied; |
Or. en
Amendment 149
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 5
| Text proposed by the Commission | Amendment |
| (5) the position is not a position of investor; | deleted |
Or. en
Amendment 150
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 5
| Text proposed by the Commission | Amendment |
| (5) the position is not a position of investor; | deleted |
Or. en
Amendment 151
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – point 5
| Text proposed by the Commission | Amendment |
| (5) the position is not a position of investor; | deleted |
Or. en
Amendment 152
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point b
| Text proposed by the Commission | Amendment |
| (b) for an ABCP programme or ABCP transaction: | deleted |
| (1) the requirements of Article 24(17), point (b), of Regulation (EU) 2017/2402; | |
| (2) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (3) the requirements of Article 243(1), point (b) of this Regulation; | |
| (4) the position is not a position of investor; |
Or. en
Amendment 153
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point b – point 1
| Text proposed by the Commission | Amendment |
| (1) the requirements of Article 24(17), point (b), of Regulation (EU) 2017/2402; | deleted |
Or. en
Amendment 154
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point b – point 2
| Text proposed by the Commission | Amendment |
| (2) the attachment point of the senior securitisation position is determined as follows: | deleted |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; |
Or. en
Amendment 155
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point b – point 2 – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KA, when using SEC-SA or SEC-ERBA, or |
Or. en
Amendment 156
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point b – point 2 – indent 2
| Text proposed by the Commission | Amendment |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | A >= 1.1 * KIRB, when using SEC-IRBA; |
Or. en
Amendment 157
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point b – point 4
| Text proposed by the Commission | Amendment |
| (4) the position is not a position of investor; | deleted |
Or. en
Amendment 158
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point c
| Text proposed by the Commission | Amendment |
| (c) for non-ABCP traditional securitisation: | deleted |
| (1) the requirements of Article 21(4), point (b), and Article 21(5) of Regulation (EU) 2017/2402; | |
| (2) the attachment point of the senior securitisation position is determined as follows: | |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | |
| (3) the requirement of Article 243(2), point (a), of this Regulation; the position is not a position of investor. |
Or. en
Amendment 159
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point c – point 2 – indent 1
| Text proposed by the Commission | Amendment |
| A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or | A >= 1.1 * KA, when using SEC-SA or SEC-ERBA, or |
Or. en
Amendment 160
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point c – point 2 – indent 2
| Text proposed by the Commission | Amendment |
| A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA; | A >= 1.1 * KIRB, when using SEC-IRBA; |
Or. en
Amendment 161
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – point 4 – point c – point 3
| Text proposed by the Commission | Amendment |
| (3) the requirement of Article 243(2), point (a), of this Regulation; the position is not a position of investor. | (3) the requirement of Article 243(2), point (a), of this Regulation; |
Or. en
Amendment 162
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 5
| Text proposed by the Commission | Amendment |
| 5. For the purposes of paragraphs 3 and 4, the WAL (weighted average life) of the initial reference portfolio shall be calculated by time-weighting, until the expected maturity of the transaction, only the repayments of principal amounts from the securitised exposures, without taking into account any payments relating to fees or interest to be paid by the obligors of the securitised exposures, and, in case of synthetic securitisations, without taking into account any prepayment assumptions. For a transaction with a replenishment period, the WAL shall be the sum of the remaining replenishment period plus the remaining weighted average life of the reference portfolio measured from the end of that replenishment period. The WAL shall be no greater than five years.; | deleted |
Or. en
Amendment 163
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 5
| Text proposed by the Commission | Amendment |
| 5. For the purposes of paragraphs 3 and 4, | 4. For the purposes of paragraph 3, |
| (a) EL represents the ‘one-year expected loss’. For institutions not using the IRB Approach referred to in Article 143, the calculation of the ‘one-year expected loss’ should be performed in accordance with the risk provisioning under the applicable accounting framework; | |
| the WAL (weighted average life) of the initial reference portfolio shall be calculated by time-weighting, until the expected maturity of the transaction, only the repayments of principal amounts from the securitised exposures, without taking into account any payments relating to fees or interest to be paid by the obligors of the securitised exposures, and, in case of synthetic securitisations, without taking into account any prepayment assumptions. For a transaction with a replenishment period, the WAL shall be the sum of the remaining replenishment period plus the remaining weighted average life of the reference portfolio measured from the end of that replenishment period. The WAL shall be no greater than five years.; | (b) the WAL (weighted average life) of the initial reference portfolio shall be calculated by time-weighting, until the expected maturity of the transaction, only the repayments of principal amounts from the securitised exposures, without taking into account any payments relating to fees or interest to be paid by the obligors of the securitised exposures, and, in case of synthetic securitisations, without taking into account any prepayment assumptions. For a transaction with a replenishment period, the WAL shall be the sum of the remaining replenishment period plus the remaining weighted average life of the reference portfolio measured from the end of that replenishment period. The WAL shall be no greater than five years.; |
Or. en
Amendment 164
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 5
| Text proposed by the Commission | Amendment |
| 5. For the purposes of paragraphs 3 and 4, the WAL (weighted average life) of the initial reference portfolio shall be calculated by time-weighting, until the expected maturity of the transaction, only the repayments of principal amounts from the securitised exposures, without taking into account any payments relating to fees or interest to be paid by the obligors of the securitised exposures, and, in case of synthetic securitisations, without taking into account any prepayment assumptions. For a transaction with a replenishment period, the WAL shall be the sum of the remaining replenishment period plus the remaining weighted average life of the reference portfolio measured from the end of that replenishment period. The WAL shall be no greater than five years.; | 5. The WAL (weighted average life) of the initial reference portfolio shall be calculated by time-weighting, until the expected maturity of the transaction, only the repayments of principal amounts from the securitised exposures, without taking into account any payments relating to fees or interest to be paid by the obligors of the securitised exposures, and, in case of synthetic securitisations, without taking into account any prepayment assumptions. For this purpose, the expected maturity of the transaction shall be determined based on the largest tranche maturity (MT) of all securitisation positions in the transaction, disregarding the floor and cap mentioned in paragraph 2 of Article 257. For a transaction with a replenishment period, the WAL shall be the sum of the remaining replenishment period plus the remaining weighted average life of the reference portfolio measured from the end of that replenishment period. The WAL shall be no greater than five years. |
Or. en
Amendment 165
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 5
| Text proposed by the Commission | Amendment |
| 5. For the purposes of paragraphs 3 and 4, the WAL (weighted average life) of the initial reference portfolio shall be calculated by time-weighting, until the expected maturity of the transaction, only the repayments of principal amounts from the securitised exposures, without taking into account any payments relating to fees or interest to be paid by the obligors of the securitised exposures, and, in case of synthetic securitisations, without taking into account any prepayment assumptions. For a transaction with a replenishment period, the WAL shall be the sum of the remaining replenishment period plus the remaining weighted average life of the reference portfolio measured from the end of that replenishment period. The WAL shall be no greater than five years.; | 5. For the purposes of paragraph 3, the WAL (weighted average life) of the initial reference portfolio shall be calculated by time-weighting, until the expected maturity of the transaction, only the repayments of principal amounts from the securitised exposures, without taking into account any payments relating to fees or interest to be paid by the obligors of the securitised exposures, and, in case of synthetic securitisations, without taking into account any prepayment assumptions. For a transaction with a replenishment period, the WAL shall be the sum of the remaining replenishment period plus the remaining weighted average life of the reference portfolio measured from the end of that replenishment period. The WAL shall be no greater than five years.; |
Or. en
Amendment 166
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 3
| Text proposed by the Commission | Amendment |
| 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50% referred to in that paragraph, or object to the significant credit risk transfer. The measures referred to in this paragraph may be imposed to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to disproportionate capital relief. | 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50% referred to in that paragraph, or object to the significant credit risk transfer. The measures referred to in this paragraph may be imposed to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to capital relief that is not justified by a commensurate transfer of credit risk to third parties. |
Or. en
Amendment 167
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 3
| Text proposed by the Commission | Amendment |
| 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50% referred to in that paragraph, or object to the significant credit risk transfer. The measures referred to in this paragraph may be imposed to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to disproportionate capital relief. | 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50% referred to in that paragraph, or object to the significant credit risk transfer. The measures referred to in this paragraph may be imposed to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to capital relief not justified by a commensurate transfer of credit risk to third parties . |
Or. en
Amendment 168
Ralf Seekatz
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 3
| Text proposed by the Commission | Amendment |
| 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50% referred to in that paragraph, or object to the significant credit risk transfer. The measures referred to in this paragraph may be imposed to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to disproportionate capital relief. | 3. By way of derogation from paragraph 2, competent authorities may in exceptional cases require the originator institution to transfer to third parties a weighted amount of unexpected losses larger than the 50% referred to in that paragraph, or object to the significant credit risk transfer. The measures referred to in this paragraph may be imposed to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to disproportionate capital relief. |
Or. en
Amendment 169
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 5
| Text proposed by the Commission | Amendment |
| 5. The conditions for significant credit risk transfer referred to in paragraphs 2 and 3 shall be met at the time of origination of the securitisation covering the lifetime of the transaction in both base-case and stress-case conditions, provided that no structural changes are made to the transaction after origination. The requirements referred to in paragraph 4 shall be met on an ongoing basis. The originator institution shall submit a self-assessment to the competent authority to demonstrate the fulfilment of the conditions for effective and, where applicable, significant credit risk transfer referred to in paragraphs 1 to 4. | 5. The conditions for significant credit risk transfer referred to in paragraphs 2 and 3 shall be met at the time of origination of the securitisation covering the lifetime of the transaction in both base-case and stress-case conditions, provided that no structural changes are made to the transaction after origination. The requirements referred to in paragraph 4 shall be met on the origination date. The originator institution shall submit a self-assessment to the competent authority to demonstrate the fulfilment of the conditions for effective and, where applicable, significant credit risk transfer referred to in paragraphs 1 to 4. |
Or. en
Justification
Continuous monitoring is opaque for both the supervisor and the supervised entity.
Amendment 170
Ralf Seekatz
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 7 – subparagraph 1 – point a – introductory part
| Text proposed by the Commission | Amendment |
| (a) the conditions for the fulfilment of the significant credit risk transfer requirement referred to in paragraph 2 of this Article and Article 245(2), in particular: | (a) the conditions for the fulfilment of the significant credit risk transfer requirement referred to in paragraph 2 of this Article and Article 245(2), with respect to: |
Or. en
Amendment 171
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 7 – subparagraph 1 – point a – point 1
| Text proposed by the Commission | Amendment |
| (1) the calculation of the lifetime expected losses of the underlying exposures and their allocation for the purposes of paragraph of this Article and Article 245(2); | (1) the calculation of the lifetime expected losses of the underlying exposures and their allocation to the tranches of the securitisation for the purposes of paragraph of this Article and Article 245(2); |
Or. en
Amendment 172
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 7 – subparagraph 1 – point e
| Text proposed by the Commission | Amendment |
| (e) the high level principles for the process for the review and assessment of the conditions for the fulfilment of the credit risk transfer requirement in accordance with Article 244(1) to (4) and Article 245(1) to (4), and the high level principles for certain securitisations to qualify for a fast-track simplified assessment process referred to in Article 244(6) and Article 245(6); | (e) the high level principles for the process for the review and assessment of the conditions for the fulfilment of the credit risk transfer requirement in accordance with Article 244(1) to (4) and Article 245(1) to (4); |
Or. en
Amendment 173
Ralf Seekatz
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 – paragraph 1 – introductory part
| Text proposed by the Commission | Amendment |
| 1. The originator institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, where relevant, expected loss amounts with respect to the underlying exposures in accordance with Articles 251 and 252, where either of the following conditions is met: | 1. The originator institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, where relevant, expected loss amounts with respect to the underlying exposures in accordance with Articles 251 and 252, where all of the following conditions are met: |
Or. en
Amendment 174
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 – paragraph 1 – introductory part
| Text proposed by the Commission | Amendment |
| 1. The originator institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, where relevant, expected loss amounts with respect to the underlying exposures in accordance with Articles 251 and 252, where either of the following conditions is met: | 1. The originator institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, where relevant, expected loss amounts with respect to the underlying exposures that do not give rise to risk-weighted exposure amounts for counterparty credit risk as specified in Part Three, Title II, Chapter 6 of this Regulation in accordance with Articles 251 and 252, where either of the following conditions is met: |
Or. en
Amendment 175
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 – paragraph 1 – introductory part
| Text proposed by the Commission | Amendment |
| 1. The originator institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, where relevant, expected loss amounts with respect to the underlying exposures in accordance with Articles 251 and 252, where either of the following conditions is met: | 1. The originator institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, where relevant, expected loss amounts with respect to the underlying exposures that do not give rise to risk weighted exposure amounts for counterparty credit risk as specified in Part Three, Title II Chapter 6 of this Regulation, in accordance with Articles 251 and 252, where either of the following conditions is met: |
Or. en
Amendment 176
Ralf Seekatz
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 – paragraph 3
| Text proposed by the Commission | Amendment |
| 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50 % referred to in that paragraph, or object to the significant risk transfer. Competent authorities may impose the measures referred to in this paragraph where necessary to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to a disproportionate capital relief. | 3. By way of derogation from paragraph 2, competent authorities may in exceptional cases require the originator institution to transfer to third parties a weighted amount of unexpected losses larger than the 50 % referred to in that paragraph, or object to the significant risk transfer. Competent authorities may impose the measures referred to in this paragraph where necessary to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to a disproportionate capital relief. |
Or. en
Amendment 177
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 – paragraph 3
| Text proposed by the Commission | Amendment |
| 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50 % referred to in that paragraph, or object to the significant risk transfer. Competent authorities may impose the measures referred to in this paragraph where necessary to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to a disproportionate capital relief. | 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50 % referred to in that paragraph, or object to the significant risk transfer. Competent authorities may impose the measures referred to in this paragraph where necessary to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to a capital relief not justified by a commensurate transfer of credit risk to third parties. |
Or. en
Amendment 178
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 – paragraph 3
| Text proposed by the Commission | Amendment |
| 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50 % referred to in that paragraph, or object to the significant risk transfer. Competent authorities may impose the measures referred to in this paragraph where necessary to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to a disproportionate capital relief. | 3. By way of derogation from paragraph 2, competent authorities may require the originator institution on a case-by-case basis to transfer to third parties a weighted amount of unexpected losses larger than the 50 % referred to in that paragraph, or object to the significant risk transfer. Competent authorities may impose the measures referred to in this paragraph where necessary to address failings in the management of systems and controls or other internal governance failures of the originator institution, including remedial action plans not yet completed following supervisory examinations, or where the competent authority deems the credit risk transferred under paragraph 2 as insufficient to address certain special or complex features of the securitisation, or leading to a capital relief not justified by a commensurate transfer of credit risk to third parties. |
Or. en
Amendment 179
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 – paragraph 5
| Text proposed by the Commission | Amendment |
| 5. The conditions for significant credit risk transfer referred to in paragraphs 2 and 3 shall be met at the time of origination of the securitisation covering the lifetime of the transaction in both base-case and stress-case conditions, provided that no structural changes are made to the transaction after origination. The requirements referred to in paragraph 4 shall be met on an ongoing basis. The originator institution shall submit a self-assessment to the competent authority to demonstrate the fulfilment of the conditions for effective and, where applicable, significant credit risk transfer referred to in paragraphs 1 to 4. | 5. The conditions for significant credit risk transfer referred to in paragraphs 2 and 3 shall be met at the time of origination of the securitisation covering the lifetime of the transaction in both base-case and stress-case conditions, provided that no structural changes are made to the transaction after origination. The requirements referred to in paragraph 4 shall be met on the origination date. The originator institution shall submit a self-assessment to the competent authority to demonstrate the fulfilment of the conditions for effective and, where applicable, significant credit risk transfer referred to in paragraphs 1 to 4. |
Or. en
Amendment 180
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 245 a (new)
| Text proposed by the Commission | Amendment |
| Article 245a | |
| Use of capital relief | |
| 1. Originator institutions benefiting from capital relief under this Chapter shall report to the competent authorities on the use of such relief, including its impact on new net lending, in particular with respect to lending to non-financial corporations and households. Such reporting shall be broken down by exposure classes as set out in Article 112 of this Regulation and shall include information on the conditions of credit supply, including interest rates, maturities, collateral requirements and other relevant lending terms. | |
| 2. For the purposes of paragraph 1, lending shall be measured by reference to net lending, calculated as gross lending to non-financial corporations and households net of repayments of outstanding loans during a reference period, excluding the effects of securitisation, loan sales, and other non-lending transactions. | |
| 3. The assessment referred to in paragraph 1 shall be conducted by comparing net lending during a reference period preceding the relevant transaction (the first reference period) with net lending during a reference period following the relevant transaction (the second reference period). | |
| Benchmark net lending shall correspond to the minimum amount of net lending that an originator institution is required to exceed during the second reference period, as specified in the following paragraph. | |
| The reference periods referred to in the first subparagraph shall be calibrated in a manner that ensures the representativeness of lending activity and prevents front-loading. | |
| 4. For the purposes of the assessment referred to in paragraph 3, the benchmark net lending shall be determined as follows: | |
| (a) for originator institutions that report positive or zero net lending during the first reference period, the benchmark net lending shall be equal to the net lending recorded during the first reference period; | |
| (b) for originator institutions that report negative net lending during the first reference period, the benchmark net lending shall be determined so as to require an increase of (α) relative to the net lending recorded during the first period. | |
| 5. Failure to meet the benchmark referred to in paragraph 4 shall prevent the recognition of capital relief for future transactions of the originating institution and shall be taken into account by competent authorities for the purposes of Articles 104 and 104a of Directive 2013/36/EU, in particular points (g), (h) and (i) of Article 104(1) thereof. | |
| Without prejudice to other supervisory measures under those Articles, such failure shall trigger restrictions or prohibitions on distributions or interest payments to shareholders or holders of Additional Tier 1 instruments, limitations on variable remuneration, and requirements to use net profits to strengthen own funds. | |
| 6. The European Banking Authority shall develop draft regulatory technical standards specifying the indicators, benchmarks and methodologies to be used for the assessment referred to in paragraphs 1 to 4, including the parameters for net lending, the calibration of the benchmark referred to in paragraph 4, and the appropriate reference periods. | |
| The European Banking Authority shall submit those draft regulatory technical standards to the Commission by … [12 months after the date of entry into force of this Regulation]. | |
| Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. | |
| 7. The Commission shall take due account of the assessments referred to in paragraph 1 to 5 in the context of the review of this Regulation referred to in Article 506d. |
Or. en
Amendment 181
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 5 – point a
Regulation (EU) No 575/2013
Article 248 – paragraph 1 – point b
| Text proposed by the Commission | Amendment |
| (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of cash advance facilities. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 0 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures;; | (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of cash advance facilities as defined in Article 242. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 10 % may be applied to the nominal amount of a liquidity facility; |
Or. en
Amendment 182
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 5 – point a
Regulation (EU) No 575/2013
Article 248 – paragraph 1 – point b
| Text proposed by the Commission | Amendment |
| (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of cash advance facilities. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 0 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures;; | (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 40 %, except in the case of cash advance facilities. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 0 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures;; |
Or. en
Amendment 183
Marco Falcone, Fulvio Martusciello
Proposal for a regulation
Article 1 – paragraph 1 – point 5 – point a
Regulation (EU) No 575/2013
Article 248 – paragraph 1 – point b
| Text proposed by the Commission | Amendment |
| (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of cash advance facilities. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 0 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures;; | (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of senior facilities financing client assets and cash advance facilities. The conversion factor shall be 40% in the case of senior facilities financing client assets, either via senior facilities to ABCP programmes or ABCP transactions or senior facilities to warehousing transactions. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 0 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures;; |
| (This amendment applies throughout the text. Adopting it will necessitate corresponding changes throughout.) |
Or. en
Justification
The current Credit Conversion Factors (CCF) in Article 248 “Exposure value” limit banks’ provision of private securitisation facilities and undrawn credit lines needed for warehousing origination ahead of public ABS issuance. We propose decreasing the CCF for undrawn committed facilities from 100% to max 40% - in line with corporate facilities such as Revolving Credit Facilities - for the targeted scope of the senior financing of client assets, either via ABCP lines or warehousing lines.
Amendment 184
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 5 – point a
Regulation (EU) No 575/2013
Article 248 – paragraph 1 – point b
| Text proposed by the Commission | Amendment |
| (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of cash advance facilities. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 0 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures;; | (b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of cash advance facilities. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 40% may be applied to the nominal amount of a liquidity facility. A conversion factor of 0 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures; |
Or. en
Amendment 185
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 5 a (new)
Regulation (EU) No 575/2013
Article 249 – paragraph 3 – subparagraph 1
| Present Text | Amendment |
| (5a) Article 249 (3), subparagraph 1 is replaced by the following: | |
| 3. By way of derogation from paragraph 2 of this Article, the eligible providers of unfunded credit protection listed in point (g) of Article 201(1), shall have been assigned a credit assessment by a recognised ECAI which was credit quality step 2 or above at the time the credit protection was first recognised and is currently credit quality step 3 or above. | 3. By way of derogation from paragraph 2 of this Article, the eligible providers of unfunded credit protection listed in point (fa) of Article 201(1), shall have been assigned a credit assessment by a recognised ECAI which was credit quality step 2 or above at the time the credit protection was first recognised. |
Or. en
Amendment 186
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 9
Regulation (EU) No 575/2013
Article 259
| Text proposed by the Commission | Amendment |
| (9) Article 259 is amended as follows: | deleted |
| (a) the introductory wording is replaced by the following: | |
| ‘Under the SEC-IRBA, the risk-weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows:’’ | |
| (b) the text ‘where: p = max [0,3; (A + B*(1/N) + C*KIRB + D * LGD + E*MT)] is replaced by the following: | |
| ‘Where: | |
| p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, or | |
| p = min (1, max [0.3; 1 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other exposures.;’ | |
| (c) the following paragraphs 1a and 1b are inserted: | |
| ‘1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | |
| Floor = max (12%; 15% *KIRB*12.5) | |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria referred to in Article 243(4) shall be subject to a floor calculated as follows: | |
| Floor = max (10%; 15% * KIRB*12.5).;’ | |
| (d) paragraph 7 is replaced by the following: | |
| ‘‘7. Where the position is backed by a mixed pool and the institution is able to calculate KIRB on at least 95 % of the underlying exposure amounts in accordance with Article 258(1), point (a), the institution shall calculate the capital charge for the pool of underlying exposures as: | |
| 𝑑 ∙ KIRB + (1 − 𝑑)𝐾A‘;’ |
Or. en
Amendment 187
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 9
Regulation (EU) No 575/2013
Article 259
| Text proposed by the Commission | Amendment |
| (9) Article 259 is amended as follows: | deleted |
| (a) the introductory wording is replaced by the following: | |
| ‘Under the SEC-IRBA, the risk-weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows:’’ | |
| (b) the text ‘where: p = max [0,3; (A + B*(1/N) + C* KIRB + D * LGD + E*MT)] is replaced by the following: | |
| ‘Where: | |
| p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, or | |
| p = min (1, max [0.3; 1 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other exposures.;’ | |
| (c) the following paragraphs 1a and 1b are inserted: | |
| ‘1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | |
| Floor = max (12%; 15% *KIRB*12.5) | |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria referred to in Article 243(4) shall be subject to a floor calculated as follows: | |
| Floor = max (10%; 15% * KIRB*12.5).;’ | |
| (d) paragraph 7 is replaced by the following: | |
| ‘‘7. Where the position is backed by a mixed pool and the institution is able to calculate KIRB on at least 95 % of the underlying exposure amounts in accordance with Article 258(1), point (a), the institution shall calculate the capital charge for the pool of underlying exposures as: | |
| 𝑑 ∙ 𝐾𝐼𝑅𝐵 + (1 − 𝑑)𝐾A‘;’ |
Or. en
Justification
Risk-weight floors shall remain simple, transparent and proportionate, in order to preserve risk sensitivity and avoid undue complexity.
Amendment 188
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point b
Regulation (EU) No 575/2013
Article 259 – paragraph 1 – subparagraph 4 – indent 1 and indent 2
| Text proposed by the Commission | Amendment |
| Where: | Where: |
| p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, | p = max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, |
| or | or |
| p = min (1, max [0.3; 1 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other exposures.;’ | p = max [0.3; 1*(A+B(1/N) + C*KIRB + D*LGD + E*MT)] for other exposures. |
Or. en
Justification
Remove the cap on the p-factor, as a cap decreases the risk-sensitivity of this parameter.
Amendment 189
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point b
Regulation (EU) No 575/2013
Article 259 – paragraph 1 – subparagraph 4 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, or | p = max [0.3; 0.8 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator as referred to in Article 2, point 3, point a of Regulation (EU) 2017/2402 exposures to a senior securitisation position, or |
Or. en
Amendment 190
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point b
Regulation (EU) No 575/2013
Article 259 – paragraph 1 – subparagraph 4 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, or | p = min (0.4, max [0.2; 0.5 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position, or |
Or. en
Amendment 191
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point b
Regulation (EU) No 575/2013
Article 259 – paragraph 1 – subparagraph 4 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, or | p = min (0.5, max [0.25; 0.5 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position, or |
Or. en
Amendment 192
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point b
Regulation (EU) No 575/2013
Article 259 – paragraph 1 – subparagraph 4 – indent 2
| Text proposed by the Commission | Amendment |
| p = min (1, max [0.3; 1 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other exposures.; | p = max [0.3; 1 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other exposures.; |
Or. en
Amendment 193
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraphs 1 a and 1 b
| Text proposed by the Commission | Amendment |
| (c) the following paragraphs 1a and 1b are inserted: | deleted |
| ‘1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | |
| Floor = max (12%; 15% *KIRB*12.5) | |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria referred to in Article 243(4) shall be subject to a floor calculated as follows: | |
| Floor = max (10%; 15% * KIRB*12.5).;’ |
Or. en
Justification
Risk-weight floors shall remain simple, transparent and proportionate, in order to preserve risk sensitivity and avoid undue complexity.
Amendment 194
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraphs 1 a and 1 b
| Text proposed by the Commission | Amendment |
| (c) the following paragraphs 1a and 1b are inserted: | deleted |
| ‘1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | |
| Floor = max (12%; 15% *KIRB*12.5) | |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria referred to in Article 243(4) shall be subject to a floor calculated as follows: | |
| Floor = max (10%; 15% * KIRB*12.5).;’ |
Or. en
Amendment 195
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1 a – introductory part
| Text proposed by the Commission | Amendment |
| 1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | 1a. The risk-weighted exposure amount for a synthetic senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: |
Or. en
Amendment 196
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1 a – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (12%; 15% *KIRB*12.5) | Floor = min (15%; max (10%; 12% *KIRB*12.5) |
Or. en
Amendment 197
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1 a – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (12%; 15% *KIRB*12.5) | Floor = min (10%; max (8%; 8% * KIRB *12.5)) |
Or. en
Amendment 198
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1 b
| Text proposed by the Commission | Amendment |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria referred to in Article 243(4) shall be subject to a floor calculated as follows: | 1b. The risk-weighted exposure amount for a synthetic senior securitisation position calculated in accordance with paragraph 1 and compliant with the criteria referred to in Article 243(4), or for a traditional senior securitisation position, shall be subject to a floor calculated as follows: Floor = min (8%; max (6%; 6% * KIRB *12.5)) |
Or. en
Amendment 199
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1b – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (10%; 15% * KIRB*12.5).; | Floor = min (15%; max (8%; 12% * KIRB*12.5)).; |
Or. en
Amendment 200
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260
| Text proposed by the Commission | Amendment |
| (10) Article 260 is replaced by the following: | deleted |
| ‘Article 260 | |
| Treatment of STS securitisations under the SEC-IRBA | |
| 1. Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications: | |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator or sponsor | |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | |
| The risk-weight floor for a senior securitisation position = max (7%; 10% *KIRB*12.5). | |
| 2. Under the SEC-IRBA, the risk weight for a position in an STS securitisation compliant with the criteria laid down in the Article 243(3) shall be calculated in accordance with Article 259, subject to the following modifications: | |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator, sponsor or investor | |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | |
| The risk weight floor for a senior securitisation position = max (5%; 10% * KIRB*12.5).;’ |
Or. en
Amendment 201
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1
| Text proposed by the Commission | Amendment |
| 1. Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications: | deleted |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator or sponsor | |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | |
| The risk-weight floor for a senior securitisation position = max (7%; 10% *KIRB*12.5). |
Or. en
Justification
Remove the cap on the p-factor, as a cap decreases the risk-sensitivity of the parameter.
Amendment 202
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator or sponsor | p = max (0,2; 0,4 *( A+B* (1/N)+C*KIRB + D*LGD+ E*Mt)) for a senior securitisation position of originator as referred to in Article 2, point 3, point a of Regulation (EU) 2017/2402. |
Or. en
Amendment 203
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator or sponsor | p = min (0.25, max [0.1; 0.2*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position |
Or. en
Amendment 204
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator or sponsor | p = min (0.2, max [.05; 0.2*(A + B*(1/N) + C *KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator or sponsor |
Or. en
Amendment 205
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 2
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | deleted |
Or. en
Amendment 206
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 2
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | p = min (0.25, max [0.1; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior position |
Or. en
Amendment 207
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 3
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | p = max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions |
Or. en
Amendment 208
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 4
| Text proposed by the Commission | Amendment |
| The risk-weight floor for a senior securitisation position = max (7%; 10% *KIRB*12.5). | The risk-weight floor for a senior securitisation position = min (10%; max (5%; 7% *KIRB*12.5)). |
Or. en
Amendment 209
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 4
| Text proposed by the Commission | Amendment |
| The risk-weight floor for a senior securitisation position = max (7%; 10% *KIRB*12.5). | The risk-weight floor for a synthetic senior securitisation position = min (8%; max (6%; 6% * KIRB*12.5)). |
Or. en
Amendment 210
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 1 – indent 4
| Text proposed by the Commission | Amendment |
| The risk-weight floor for a senior securitisation position = max (7%; 10% *KIRB*12.5). | The risk-weight floor for a senior securitisation position = 10%. |
Or. en
Amendment 211
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2
| Text proposed by the Commission | Amendment |
| 2. Under the SEC-IRBA, the risk weight for a position in an STS securitisation compliant with the criteria laid down in the Article 243(3) shall be calculated in accordance with Article 259, subject to the following modifications: | deleted |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator, sponsor or investor | |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | |
| The risk weight floor for a senior securitisation position = max (5%; 10% * KIRB*12.5).; |
Or. en
Justification
Remove the cap on the p-factor, as a cap decreases the risk-sensitivity of the parameter.
Amendment 212
Christophe Gomart
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2
| Text proposed by the Commission | Amendment |
| 2. Under the SEC-IRBA, the risk weight for a position in an STS securitisation compliant with the criteria laid down in the Article 243(3) shall be calculated in accordance with Article 259, subject to the following modifications: p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator, sponsor or investor | |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | |
| The risk-weight floor for a senior securitisation position = max (5%; 10% *KIRB*12.5). | The risk-weight floor for a synthetic STS senior securitisation position compliant with the criteria laid down in Article 243(3), or the risk weight floor for a traditional STS senior securitisation position, shall be subject to a floor calculated as follows: Floor = (min 10%; max (4%;6%*KIRB*12.5)). |
Or. en
Amendment 213
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – introductory part
| Text proposed by the Commission | Amendment |
| 2. Under the SEC-IRBA, the risk weight for a position in an STS securitisation compliant with the criteria laid down in the Article 243(3) shall be calculated in accordance with Article 259, subject to the following modifications: | 2. The risk weight floor for a synthetic STS senior securitisation position compliant with the criteria laid down in Article 243(3), or the risk weight floor for a traditional STS senior securitisation position, shall be subject to a floor calculated as follows: |
| Floor = min (6%; max (4%; 4% * KIRB*12.5)). |
Or. en
Amendment 214
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – introductory part
| Text proposed by the Commission | Amendment |
| 2. Under the SEC-IRBA, the risk weight for a position in an STS securitisation compliant with the criteria laid down in the Article 243(3) shall be calculated in accordance with Article 259, subject to the following modifications: | 2. Under the SEC-IRBA, the risk weight floor for a position in an STS securitisation compliant with the criteria laid down in the Article 243(3) shall be 7 % for a senior securitisation position of an originator as referred to in Article 2 point 3, point a of Regulation (EU) 2017/2402. |
Or. en
Amendment 215
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – introductory part
| Text proposed by the Commission | Amendment |
| 2. Under the SEC-IRBA, the risk weight for a position in an STS securitisation compliant with the criteria laid down in the Article 243(3) shall be calculated in accordance with Article 259, subject to the following modifications: | 2. Under the SEC-IRBA, the risk weight floor for an STS senior securitisation compliant with the criteria laid down in the Article 243(3) shall be subject to a floor calculated as follows: |
Or. en
Amendment 216
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator, sponsor or investor | deleted |
Or. en
Amendment 217
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator, sponsor or investor | deleted |
Or. en
Amendment 218
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 1
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position of originator, sponsor or investor | deleted |
Or. en
Amendment 219
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 2
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | deleted |
Or. en
Amendment 220
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 2
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | deleted |
Or. en
Amendment 221
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 2
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior originator or sponsor position | deleted |
Or. en
Amendment 222
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 3
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | deleted |
Or. en
Amendment 223
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 3
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | deleted |
Or. en
Amendment 224
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 3
| Text proposed by the Commission | Amendment |
| p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other positions | deleted |
Or. en
Amendment 225
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 4
| Text proposed by the Commission | Amendment |
| The risk weight floor for a senior securitisation position = max (5%; 10% * KIRB*12.5).; | deleted |
Or. en
Amendment 226
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 4
| Text proposed by the Commission | Amendment |
| The risk weight floor for a senior securitisation position = max (5%; 10% * KIRB*12.5).; | deleted |
Or. en
Amendment 227
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 10
Regulation (EU) No 575/2013
Article 260 – paragraph 2 – indent 4
| Text proposed by the Commission | Amendment |
| The risk weight floor for a senior securitisation position = max (5%; 10% * KIRB*12.5).; | Floor = min (10%; max (2%; 7% * KIRB*12.5)).; |
Or. en
Amendment 228
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 11
Regulation (EU) No 575/2013
Article 261
| Text proposed by the Commission | Amendment |
| (11) Article 261 is amended as follows: | deleted |
| (a) paragraph 1 is amended as follows: | |
| (1) the introductory wording is replaced by the following: | |
| ‘Under the SEC-SA, the risk-weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows:’’ | |
| (2)‘p = 1 for a securitisation exposure that is not a re-securitisation exposure’ is replaced by the following: | |
| ‘For a securitisation position that is not a re-securitisation exposure, p = 0.6 for a senior securitisation position of originator or sponsor; 1 for other securitisation position.;’ | |
| (b) the following paragraphs 1a and 1b are inserted: | |
| ‘1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | |
| Floor = max (12%; 15% *KA*12.5). | |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria set out in Article 243(4) shall be subject to a floor calculated as follows: | |
| Floor = max (10%; 15% * KA*12.5).;’ | |
| (c) In paragraph 2, the following sub-paragraph is added | |
| ‘For the purpose of this paragraph, the nominal amount of the underlying exposures in default is the accounting value of the exposures in default minus any amounts by which the tranches have already been written down to absorb the losses on those exposures in default, or losses which have been absorbed by excess spread.;’ |
Or. en
Amendment 229
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point a – point 1
Regulation (EU) No 575/2013
Article 261 – paragraph 1 – introductory part
| Text proposed by the Commission | Amendment |
| Under the SEC-SA, the risk-weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows:’ | ‘Under the SEC-SA, the risk-weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows, in all cases subject to a floor of 15%:’ |
Or. en
Amendment 230
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point a – point 2
Regulation (EU) No 575/2013
Article 261 – paragraph 1 – subparagraph 3 – indent 4
| Text proposed by the Commission | Amendment |
| For a securitisation position that is not a re-securitisation exposure, | For a securitisation position that is not a re-securitisation exposure, |
| p = 0.6 for a senior securitisation position of originator or sponsor; | p = 0.25 for a senior securitisation position of originator or sponsor; calculated in accordance with this paragraph that is: |
| (i) a synthetic securitisation that complies with the criteria set out in Article 243(4); or | |
| (ii) a traditional securitisation; | |
| p = 0.3 for other synthetic senior securitisation positions; | |
| 1 for other securitisation position.; | p = 0,8 for all other securitisation positions; |
Or. en
Amendment 231
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point a – point 2
Regulation (EU) No 575/2013
Article 261 – paragraph 1 – subparagraph 3 – indent 4
| Text proposed by the Commission | Amendment |
| For a securitisation position that is not a re-securitisation exposure, | ‘For a securitisation position that is not a re-securitisation exposure, |
| p = 0.6 for a senior securitisation position of originator or sponsor; | p = 0.7 for a senior securitisation position of originator as referred to in Article 2, point 3, point a of Regulation (EU) 2017/2402; |
| 1 for other securitisation position.; | 1 for other securitisation position.’; |
Or. en
Amendment 232
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point a – point 2
Regulation (EU) No 575/2013
Article 261 – paragraph 1 – subparagraph 3 – indent 4
| Text proposed by the Commission | Amendment |
| For a securitisation position that is not a re-securitisation exposure, | For a securitisation position that is not a re-securitisation exposure: |
| p = 0.6 for a senior securitisation position of originator or sponsor; | p = 0.5 for all senior securitisation positions; |
| 1 for other securitisation position.; | p = 1 for all other securitisation position.; |
Or. en
Amendment 233
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraphs 1 a and 1 b
| Text proposed by the Commission | Amendment |
| (b) the following paragraphs 1a and 1b are inserted: | deleted |
| ‘1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | |
| Floor = max (12%; 15% *KA*12.5). | |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria set out in Article 243(4) shall be subject to a floor calculated as follows: | |
| Floor = max (10%; 15% * KA*12.5).;’ |
Or. en
Amendment 234
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1 a – introductory part
| Text proposed by the Commission | Amendment |
| 1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: | 1a. The risk-weighted exposure amount for a synthetic senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows: |
Or. en
Amendment 235
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1 a – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (12%; 15% *KA*12.5). | Floor = min (15%; max (10%; 12% *KA*12.5). |
Or. en
Amendment 236
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1 a – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (12%; 15% *KA*12.5). | Floor = min (10%; max (8%; 8% * KA *12.5)). |
Or. en
Amendment 237
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1 b – introductory part
| Text proposed by the Commission | Amendment |
| 1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 that complies with the criteria set out in Article 243(4) shall be subject to a floor calculated as follows: | 1b. The risk-weighted exposure amount for a synthetic senior securitisation position calculated in accordance with paragraph 1 and compliant with the criteria set out in Article 243(4) or the risk-weighted exposure amount for a traditional senior securitisation position shall be subject to a floor calculated as follows: |
Or. en
Amendment 238
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1 b – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (10%; 15% * KA*12.5).; | Floor = min (15%; max (8%; 12% * KA*12.5).; |
Or. en
Amendment 239
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1 b – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (10%; 15% * KA*12.5).; | Floor = min (8%; max (6%; 6% * KA *12.5)) |
Or. en
Amendment 240
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b a (new)
Regulation (EU) No 575/2013
Article 261 – paragraph 1 c (new)
| Text proposed by the Commission | Amendment |
| (ba) the following paragraph is inserted: | |
| '(1c) For the purpose of the calculation of the floor for a senior securitisation position in paragraph 1a and paragraph 1b, KA shall be calculated for the pool of the underlying exposures at the origination of securitisation.' |
Or. en
Amendment 241
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b a (new)
Regulation (EU) No 575/2013
Article 261 – paragraph 1 c (new)
| Text proposed by the Commission | Amendment |
| (ba) the following paragraph is inserted: | |
| '(1c) For the purpose of the calculation of the floor for a senior securitisation position in paragraph 1a and paragraph 1b, KA shall be calculated for the pool of the underlying exposures at the origination of the securitisation.'; |
Or. en
Amendment 242
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262
| Text proposed by the Commission | Amendment |
| (12) Article 262 is replaced by the following: | deleted |
| ‘Article 262 | |
| Treatment of STS securitisations under the SEC-SA | |
| 1. Under the SEC-SA the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications: | |
| p = 0.3 for a senior securitisation position of originator or sponsor | |
| p = 0.5 for other securitisation exposures | |
| risk weight floor for a senior securitisation position = max (7%; 10% * KA*12.5). | |
| 2. Under the SEC-SA the risk weight for a position in an STS securitisation that complies with the criteria set out in Article 243(3) shall be calculated in accordance with Article 261, subject to the following modifications: | |
| p = 0.3 for a senior securitisation position of originator, sponsor or investor | |
| p = 0.5 for other securitisation exposures | |
| risk weight floor for a senior securitisation position = max (5%; 10% * KA*12.5).;’ |
Or. en
Amendment 243
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 1 – introductory part
| Text proposed by the Commission | Amendment |
| 1. Under the SEC-SA the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications: | 1. Under the SEC-SA the risk weight for a position in a synthetic STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications: |
Or. en
Amendment 244
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 1 – indent 1
| Text proposed by the Commission | Amendment |
| p = 0.3 for a senior securitisation position of originator or sponsor | p = 0.3 for a senior securitisation position of originator as referred to in Article 2, point 3, point a of the Regulation (EU) 2017/2402. |
Or. en
Amendment 245
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 1 – indent 1
| Text proposed by the Commission | Amendment |
| p = 0.3 for a senior securitisation position of originator or sponsor | p = 0.2 for a senior securitisation position |
Or. en
Amendment 246
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 1 – indent 1
| Text proposed by the Commission | Amendment |
| p = 0.3 for a senior securitisation position of originator or sponsor | p = 0.2 for a senior securitisation position |
Or. en
Amendment 247
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 1 – indent 2
| Text proposed by the Commission | Amendment |
| p = 0.5 for other securitisation exposures | p = 0.5 for other senior securitisation positions. |
Or. en
Amendment 248
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 1 – indent 3
| Text proposed by the Commission | Amendment |
| risk weight floor for a senior securitisation position = max (7%; 10% * KA*12.5). | risk weight floor for a senior securitisation position = min (10%; max (5%; 7% * KA*12.5). |
Or. en
Amendment 249
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 1 – indent 3
| Text proposed by the Commission | Amendment |
| risk weight floor for a senior securitisation position = max (7%; 10% * KA*12.5). | risk weight floor for a senior securitisation position = 10%. |
Or. en
Amendment 250
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 2
| Text proposed by the Commission | Amendment |
| 2. Under the SEC-SA the risk weight for a position in an STS securitisation that complies with the criteria set out in Article 243(3) shall be calculated in accordance with Article 261, subject to the following modifications: | 2. Under the SEC-SA the risk weight floor for a position in an STS securitisation that complies with the criteria set out in Article 243(3) shall be 7% for a senior securitisation position of originator as referred to in Article 2, point 3, point a of Regulation (EU) 2017/2402. |
| p = 0.3 for a senior securitisation position of originator, sponsor or investor | |
| p = 0.5 for other securitisation exposures | |
| securitisation position = max (5%; 10% * KA*12.5).’; |
Or. en
Amendment 251
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 2 – indent 1
| Text proposed by the Commission | Amendment |
| p = 0.3 for a senior securitisation position of originator, sponsor or investor | p = 0.2 for a senior securitisation position |
Or. en
Amendment 252
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 2 – indent 1
| Text proposed by the Commission | Amendment |
| p = 0.3 for a senior securitisation position of originator, sponsor or investor | p = 0.2 for a senior securitisation position of originator, sponsor or investor |
Or. en
Justification
Resilient securitisations should benefit from a lower p-factor.
Amendment 253
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 2 – indent 3
| Text proposed by the Commission | Amendment |
| risk weight floor for a senior securitisation position = max (5%; 10% * KA*12.5).; | risk weight floor for a senior securitisation position = min (10%; max (2%; 7% * KA*12.5).; |
Or. en
Amendment 254
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 2 – indent 3
| Text proposed by the Commission | Amendment |
| risk weight floor for a senior securitisation position = max (5%; 10% * KA*12.5).; | risk weight floor for a senior securitisation position = min (6%; max (4%; 4% * KA*12.5)).; |
Or. en
Amendment 255
Gilles Boyer, Stéphanie Yon-Courtin, Billy Kelleher
Proposal for a regulation
Article 1 – paragraph 1 – point 12 a (new)
Regulation (EU) No 575/2013
Article 262 – paragraph 2 a (new)
| Text proposed by the Commission | Amendment |
| 12a. the following paragraph is added: | |
| '(2a) For the purpose of the calculation of the floor for a senior securitisation position in paragraph 1 and paragraph 2, KA shall be calculated for the pool of the underlying exposures at the origination of the securitisation.'; |
Or. en
Amendment 256
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 12 a (new)
Regulation (EU) No 575/2013
Article 262 – paragraph 2 a (new)
| Text proposed by the Commission | Amendment |
| ‘(2a). For the purpose of the calculation of the floor for a senior securitisation position according to this article, KA shall be calculated in accordance with Article 261 for the pool of the underlying exposures at the origination of securitisation.' |
Or. en
Amendment 257
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 13
Regulation (EU) No 575/2013
Article 263
| Text proposed by the Commission | Amendment |
| (a) paragraph 2 is replaced by the following: [...] | deleted |
| (b) the following paragraphs 2a and 2b are inserted: [...] | |
| (c) paragraph 3 is replaced by the following: [...] | |
| (d) the following paragraphs 3a and 3b are inserted: [...] |
Or. en
Amendment 258
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point a
Regulation (EU) No 575/2013
Article 263 – paragraph 2
| Text proposed by the Commission | Amendment |
| (a) paragraph 2 is replaced by the following | deleted |
| 2. For exposures with short-term credit assessments or where a rating based on a short-term credit assessment may be inferred in accordance with paragraph 7, the following risk weights shall apply: | |
| Table 1 | |
| [...] |
Or. en
Amendment 259
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point a
Regulation (EU) No 575/2013
Article 263 – paragraph 2 – table 1
| Text proposed by the Commission | Amendment |
| Table 1 [...] | deleted |
Or. en
Amendment 260
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point b
Regulation (EU) No 575/2013
Article 263 – paragraphs 2 a and 2 b
| Text proposed by the Commission | Amendment |
| (b) the following paragraphs 2a and 2b are inserted: | deleted |
| ‘2a. For a position in senior tranche with CQS1 in a securitisation that complies with the criteria set out in Article 243(4), the risk weight shall be calculated as follow: | |
| Max (10 %; 15% *KA*12.5) | |
| 2b. Where an institution is not able to use the formula set out in the Table 1 or under paragraph 2a, because it is not able to calculate KA, a risk weight of 15 % shall apply to the relevant exposure.;’ |
Or. en
Amendment 261
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point b
Regulation (EU) No 575/2013
Article 263 – paragraph 2 b
| Text proposed by the Commission | Amendment |
| 2b. Where an institution is not able to use the formula set out in the Table 1 or under paragraph 2a, because it is not able to calculate KA, a risk weight of 15 % shall apply to the relevant exposure.; | 2b. For the purpose of this article, KA shall be calculated in accordance with Article 261 for the pool of the underlying exposures at the origination of securitisation. Where an institution is not able to calculate the formula set out in the Table 1 or under paragraph 2a, because it is not able to calculate KA, a risk weight of 15 % shall apply to the relevant exposure.; |
Or. en
Amendment 262
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point c
Regulation (EU) No 575/2013
Article 263 – paragraph 3 – table 2
| Text proposed by the Commission | Amendment |
| Table 2 [...] | deleted |
Or. en
Amendment 263
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point d
Regulation (EU) No 575/2013
Article 263 – paragraphs 3 a and 3 b
| Text proposed by the Commission | Amendment |
| (d) the following paragraphs 3a and 3b are inserted: | deleted |
| ‘3a. For in position by originator or sponsor in senior tranche with CQS1, or CQS2 with tranche maturity of 1 year, in a securitisation that complies with the criteria set out in Article 243(4), the risk weight shall be calculated as follows: | |
| Max (10 %; 15% *KA*12.5) | |
| 3b. Where an institution is not able to use the formula set out in the Table 2 or under the paragraph 3a, because it is not able to calculate KA, a risk weight of 15 % shall apply to the relevant exposure.;’ |
Or. en
Amendment 264
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point d
Regulation (EU) No 575/2013
Article 263 – paragraph 3 b
| Text proposed by the Commission | Amendment |
| 3b. Where an institution is not able to use the formula set out in the Table 2 or under the paragraph 3a, because it is not able to calculate KA, a risk weight of 15 % shall apply to the relevant exposure.; | 3b. For the purpose of this article, KA shall be calculated in accordance with Article 261 for the pool of the underlying exposures at the origination of securitisation. Where an institution is not able to calculate the formula set out in the Table 2 or under the paragraph 3a, because it is not able to calculate KA, a risk weight of 15 % shall apply to the relevant exposure.; |
Or. en
Amendment 265
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 14
Regulation (EU) No 575/2013
Article 264
| Text proposed by the Commission | Amendment |
| (a) paragraph 2 is replaced by the following: [...] | deleted |
| (b) the following paragraphs 2a and 2b are inserted: [...] | |
| (c) paragraph 3 is replaced by the following: [...] | |
| (d) the following paragraphs 3a and 3b is added: [...] |
Or. en
Amendment 266
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point a
Regulation (EU) No 575/2013
Article 264 – paragraph 2 – table 3
| Text proposed by the Commission | Amendment |
| Table 3 [...] | deleted |
Or. en
Amendment 267
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point b
Regulation (EU) No 575/2013
Article 264 – paragraphs 2 a and 2 b
| Text proposed by the Commission | Amendment |
| (b) the following paragraphs 2a and 2b are inserted: | deleted |
| ‘2a. For a position in senior tranche with CQS1 in a securitisation that complies with the criteria set out in Article 243(3), the risk weight shall be calculated as follows: | |
| Max (5%; 10%* KA*12.5) | |
| 2b. Where an institution is not able to use the formula set out in Table 3 or under the paragraph 2a, because it is not able to calculate KA, a risk weight of 10 % shall apply to the relevant exposures.;’ |
Or. en
Amendment 268
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point b
Regulation (EU) No 575/2013
Article 264 – paragraph 2 b
| Text proposed by the Commission | Amendment |
| 2b. Where an institution is not able to use the formula set out in Table 3 or under the paragraph 2a, because it is not able to calculate KA, a risk weight of 10 % shall apply to the relevant exposures.; | 2b. For the purpose of this Article, KA shall be calculated in accordance with Article 261 for the pool of the underlying exposures at the origination of securitisation. Where an institution is not able to calculate the formula set out in Table 3 or under the paragraph 2a, because it is not able to calculate KA, a risk weight of 10 % shall apply to the relevant exposures.; |
Or. en
Amendment 269
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point c
Regulation (EU) No 575/2013
Article 264 – paragraph 3 – table 4
| Text proposed by the Commission | Amendment |
| Table 4 [...] | deleted |
Or. en
Amendment 270
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point d
Regulation (EU) No 575/2013
Article 264 – paragraphs 3 a and 3 b
| Text proposed by the Commission | Amendment |
| (d) the following paragraphs 3a and 3b is added: | deleted |
| ‘3a. For a position in senior tranche with CQS1, or CQS 2 with tranche maturity of 1 year, in a securitisation that complies with the criteria set out in Article 243(3), the risk weight shall be calculated as follows: | |
| Max (5 %; 10% *KA*12.5) | |
| 3b. When an institution is not able to use the formula set out in Table 4, because it is not able to calculate KA, a risk weight of 10 % shall apply to the relevant exposure.;’ |
Or. en
Amendment 271
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point d
Regulation (EU) No 575/2013
Article 264 – paragraph 3 b
| Text proposed by the Commission | Amendment |
| 3b. When an institution is not able to use the formula set out in Table 4, because it is not able to calculate KA, a risk weight of 10 % shall apply to the relevant exposure.; | 3b. For the purpose of this Article, KA shall be calculated in accordance with Article 261 for the pool of the underlying exposures at the origination of securitisation. Where an institution is not able to calculate the formula set out in Table 4 or under the paragraphs 3a, because it is not able to calculate KA, a risk weight of 10 % shall apply to the relevant exposures. |
Or. en
Amendment 272
Tomáš Kubín
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point d
Regulation (EU) No 575/2013
Article 264 – paragraph 3 c (new)
| Text proposed by the Commission | Amendment |
| 3c. For a position in a senior tranche in a securitisation of auto or equipment loans and leases, and ABCP securitisations of trade receivables, the risk weight for CQS1 with any tranche maturity, or CQS2 with tranche maturity of 1 year in Table 4 shall be 6 %. |
Or. en
Amendment 273
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 15 – point a a (new)
Regulation (EU) No 575/2013
Article 268 – paragraph 2 a (new)
| Text proposed by the Commission | Amendment |
| (aa) the following paragraph is inserted: | |
| (2a) Preferential risk-weight treatment shall apply only to securitisation positions that demonstrably exhibit a lower risk profile, including through sufficient thickness of non-senior tranches capable of absorbing losses before impacting senior tranches. |
Or. en
Amendment 274
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 15 a (new)
Regulation (EU) No 575/2013
Article 269 – paragraph 3
| Text proposed by the Commission | Amendment |
| (15a) In Article 269, a new paragraph 3 is added: | |
| The assessment of resilience may apply to both synthetic and traditional securitisations, provided that it is strictly linked to the effective protection of senior positions and does not result in indiscriminate capital relief. |
Or. en
Amendment 275
Marco Falcone, Fulvio Martusciello
Proposal for a regulation
Article 1 – paragraph 1 – point 15 a (new) – point a
Regulation (EU) No 575/2013
Article 269 a – paragraph 5 – subparagraph 1
| Present Text | Amendment |
| (15a) Article 269a(5) is amended as follows: (a) the first subparagraph is replaced by the following: | |
| For the purposes of Article 268(1), expected losses associated with exposures underlying a qualifying traditional NPE securitisation shall be included after deduction of the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments. | For the purposes of Article 268(1), expected losses associated with exposures underlying a traditional NPE securitisation shall be included after deduction of the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments. |
Or. en
Justification
Under the current regulatory framework, non-qualifying traditional securitisations are unduly penalised because are currently excluded from the application of the maximum CR cap (see art 269a paragraph 5), which is intended to limit the capital absorption on retained tranches to the capital requirement of the underlying portfolio. To address this regulatory gap, we propose this amendment to Article 269a, paragraph 5. The proposed change does not undermine the prudential distinction between qualifying and non-qualifying transactions.
Amendment 276
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 15 a (new) – point a
Regulation (EU) No 575/2013
Article 269 a – paragraph 5 – subparagraph 1
| Present text | Amendment |
| (15a) Article 269a(5) is amended as follows: | |
| (a) the first subparagraph is replaced by the following: | |
| For the purposes of Article 268(1), expected losses associated with exposures underlying a qualifying traditional NPE securitisation shall be included after deduction of the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments. | ‘For the purposes of Article 268(1), expected losses associated with exposures underlying a traditional NPE securitisation shall be included after deduction of the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments.’ |
Or. en
(Regulation (EU) No 575/2013)
Amendment 277
Marco Falcone, Fulvio Martusciello
Proposal for a regulation
Article 1 – paragraph 1 – point 15 a (new) – point b
Regulation (EU) No 575/2013
Article 269 a – paragraph 5 – subparagraph 2
| Present Text | Amendment |
| (b) in subparagraph 2, indent 2 is replaced by the following: | |
| CRmax = the maximum capital requirement in the case of a qualifying traditional NPE securitisation; | CRmax= the maximum capital requirement in the case of traditional NPE securitisation;. |
Or. en
Justification
Under the current regulatory framework, non-qualifying traditional securitisations are unduly penalised because are currently excluded from the application of the maximum CR cap (see art 269a paragraph 5), which is intended to limit the capital absorption on retained tranches to the capital requirement of the underlying portfolio. To address this regulatory gap, we propose this amendment to Article 269a, paragraph 5. The proposed change does not undermine the prudential distinction between qualifying and non-qualifying transactions.
Amendment 278
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 15 a (new) – point b
Regulation (EU) No 575/2013
Article 269 a – paragraph 5 – subparagraph 2
| Present text | Amendment |
| (b) in subparagraph 2, indent 2 is replaced by the following: | |
| CRmax = the maximum capital requirement in the case of a qualifying traditional NPE securitisation; | CRmax= the maximum capital requirement in the case of traditional NPE securitisation; |
Or. en
(Regulation (EU) No 575/2013)
Amendment 279
Giovanni Crosetto, Mariateresa Vivaldini, Denis Nesci, Francesco Ventola, Marco Squarta
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 428 p – paragraph 3 a (new)
| Present text | Amendment |
| (16a) in Article 428p the following paragraph is inserted: | |
| ‘(3a) In the case of securitisation in accordance with Regulation (EU) No. 2017/2402, originator institutions may apply, the stable funding factor required for securitisation positions held, even if the securitised exposures are accounted for on balance sheet of institution, instead of the stable funding factor provided for securitised exposures.’ |
Or. en
(Regulation (EU) No 575/2013)
Amendment 280
Marco Falcone, Fulvio Martusciello
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 428 p – paragraph 3 a (new)
| Text proposed by the Commission | Amendment |
| (16a) in Article 428p the following paragraph is inserted: | |
| ‘(3a) In the case of securitisation in accordance with Regulation (EU) No. 2017/2402, originator institutions may apply, the stable funding factor required for securitisation positions held, even if the securitised exposures are accounted for on balance sheet of institution, instead of the stable funding factor provided for securitised exposures.’ |
Or. en
Justification
This amendment to Article 428p of Regulation (EU) No. 575/2013 has the aim to support a more consistent representation of securitisation in the assessment of the net stable funding ratio (NSFR). The main target is to ensure uniformity in the assessment of this ratio, regardless of the applicable accounting standards (IAS/IFRS or Directive 86/635/EEC) to institutions in accordance point (77) of Article 4(1). The two standards generate different accounting effects and therefore also a different value for the NSFR indicator, which is calculated by applying appropriate stable financing factors to the accounting values of the assets and off-balance sheet items of institutions (Article 428p, paragraph 2).
Amendment 281
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 465 – paragraph 13
| Present text | Amendment |
| (16a) In Article 465(13) is deleted. | |
| 13. By way of derogation from Article 92(5), point (a)(iii) or (b)(ii), and without prejudice to the derogation set out in Article 92(3), second subparagraph, for exposures that are risk weighted using the SEC-IRBA or the Internal Assessment Approach in accordance with Article 92(4), where the part of the standardised total risk-weighted exposure amount for credit risk, dilution risk, counterparty credit risk or for market risk arising from the trading book business is calculated using the SEC-SA in accordance with Article 261 or 262, institutions shall, until 31 December 2032, apply the following factor p: | deleted |
| (a) p = 0,25 for a position in a securitisation to which Article 262 applies | |
| (b) p = 0,5 for a position in a securitisation to which Article 261 applies. |
Or. en
(https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02013R0575-20260101)
Amendment 282
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 465 – paragraph 13
| Present Text | Amendment |
| (16a) Article 465(13) is replaced by the following: | |
| 13. By way of derogation from Article 92(5), point (a)(iii) or (b)(ii), and without prejudice to the derogation set out in Article 92(3), second subparagraph, for exposures that are risk weighted using the SEC-IRBA or the Internal Assessment Approach in accordance with Article 92(4), where the part of the standardised total risk-weighted exposure amount for credit risk, dilution risk, counterparty credit risk or for market risk arising from the trading book business is calculated using the SEC-SA in accordance with Article 261 or 262, institutions shall, until 31 December 2032, apply the following factor p: | ‘13. By way of derogation from Article 92(5), point (a)(iii) or (b)(ii), and without prejudice to the derogation set out in Article 92(3), second subparagraph, institutions shall apply the following factor p: |
| (a) p = 0,25 for a position in a securitisation to which Article 262 applies; | (a) p = 0,2 for a position in a securitisation to which Article 262 applies; |
| (b) p = 0,5 for a position in a securitisation to which Article 261 applies | (b) p = 0,5 for a position in a securitisation to which Article 261 applies.’ |
Or. en
Amendment 283
Angelika Winzig
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 494 c a (new)
| Text proposed by the Commission | Amendment |
| Article 494ca | |
| Grandfathering of existing securitisations | |
| Securitisations issued before...[the date of entry into force of this amending Regulation] shall continue to be subject to the rules applicable on...[the day before the date of entry into force of this amending Regulation]. By way of derogation, institutions may choose to apply the new regime from...[the date of entry into force of this amending Regulation] to those existing transactions on an optional and irrevocable basis. |
Or. en
Amendment 284
Markus Ferber
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 494 c a (new)
| Text proposed by the Commission | Amendment |
| Article 494 ca (new) | |
| In respect of securitisation positions issued before ...[the date of entry into force of this amending Regulation] originator institutions may, for the purposes of calculating capital requirements and risk-weighted exposure amounts, choose to apply the regime applicable as from ...[the dated of entry into force of this regulation] to such securitisation. |
Or. en
Amendment 285
Enikő Győri, Tomáš Kubín, Jaroslava Pokorná Jermanová, Jaroslav Knot
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 500 a
| Text proposed by the Commission | Amendment |
| (16a) Article 500a is amended as follows: | |
| (a) in paragraph 1, the introductory wording is replaced by the following: | |
| By way of derogation from Article 114(2), until 31 December 2026, for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another Member State, the following apply: | ‘By way of derogation from Article 114(2), until 31 December 2026, for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another a non-euro Member State, except euro, the following apply:’ |
| (b) paragraph 3 is replaced by the following: | |
| 3. By way of derogation from point (ii) of point (d) of Article 150(1), after receiving the prior permission of the competent authorities and subject to the conditions laid down in Article 150, institutions may also apply the Standardised Approach to exposures to central governments and central banks, where those exposures are assigned a 0 % risk weight under paragraph 1 of this Article | ‘3. By way of derogation from point (ii) of point (a) of Article 150(1a), after receiving the prior permission of the competent authorities and subject to the conditions laid down in Article 150, institutions may also apply the Standardised Approach to exposures to central governments and central banks, where those exposures are assigned a 0 % risk weight under paragraph 4 of this Article.’ |
| (c) the following paragraphs are added: | |
| ‘4. By way of derogation from Article 114(2), until 31 December 2034, for exposures to the central governments and central banks of non-euro Member States, where those expo-sures are denominated and funded in euro, the following apply: | |
| (a) until 31 December 2030, the risk weight applied to the exposure values shall be 0 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (b) in 2031, the risk weight applied to the exposure values shall be 20 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (c) in 2032, the risk weight applied to the exposure values shall be 40 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (d) in 2033, the risk weight applied to the exposure values shall be 60 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (e) in 2034, the risk weight applied to the exposure values shall be 80 % of the risk weight assigned to those exposures in accordance with Article 114(2). | |
| 5. By way of derogation from Articles 395(1) and 493(4), competent authorities may allow institutions to incur exposures referred to in paragraph 4 of this Article, up to the following limits: | |
| (a) 100 % of the institution’s Tier 1 capital until 31 December 2031; | |
| (b) 80 % of the institution’s Tier 1 capital between 1 January and 31 December 2032; | |
| (c) 60 % of the institution’s Tier 1 capital between 1 January and 31 December 2033; | |
| (d) 40 % of the institution’s Tier 1 capital between 1 January and 31 December 2034; | |
| The limits referred to in points (a), (b), (c) and (d) of the first subparagraph of this paragraph shall apply to exposure values after taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403. |
Or. en
Amendment 286
Siegfried Mureşan, Janusz Lewandowski, Hanna Gronkiewicz-Waltz
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 500 a
| Present Text | Amendment |
| (16a) Article 500a is amended as follows: | |
| (a) in paragraph 1, the introductory wording is replaced by the following: | |
| By way of derogation from Article 114(2), until 31 December 2026, for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another Member State, the following apply: | ‘By way of derogation from Article 114(2), until 31 December 2026, for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another a non-euro Member State, except euro, the following apply:’ |
| (b) paragraph 3 is replaced by the following: | |
| 3. By way of derogation from point (ii) of point (d) of Article 150(1), after receiving the prior permission of the competent authorities and subject to the conditions laid down in Article 150, institutions may also apply the Standardised Approach to exposures to central governments and central banks, where those exposures are assigned a 0 % risk weight under paragraph 1 of this Article. | ‘3 By way of derogation from point (ii) of point (a) of Article 150(1a), after receiving the prior permission of the competent authorities and subject to the conditions laid down in Article 150, institutions may also apply the Standardised Approach to exposures to central governments and central banks, where those exposures are assigned a 0 % risk weight under paragraph 4 of this Article.’ |
| (c) the following paragraphs are added: | |
| ‘4. By way of derogation from Article 114(2), until 31 December 2034, for exposures to the central governments and central banks of non-euro Member States, where those exposures are denominated and funded in euro, the following apply: | |
| (a) until 31 December 2030, the risk weight applied to the exposure values shall be 0 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (b) in 2031, the risk weight applied to the exposure values shall be 20 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (c) in 2032, the risk weight applied to the exposure values shall be 40 % of the risk weight assigned to those exposures in accordance with Article 114(2) | |
| (d) in 2033, the risk weight applied to the exposure values shall be 60 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (e) in 2034, the risk weight applied to the exposure values shall be 80 % of the risk weight assigned to those exposures in accordance with Article 114(2).’ | |
| ‘5.By way of derogation from Articles 395(1) and 493(4), competent authorities may allow institutions to incur exposures referred to in paragraph 4 of this Article, up to the following limits: | |
| (a) 100 % of the institution’s Tier 1 capital until 31 December 2031; | |
| (b) 80 % of the institution’s Tier 1 capital between 1 January and 31 December 2032; | |
| (c) 60 % of the institution’s Tier 1 capital between 1 January and 31 December 2033; | |
| (d) 40 % of the institution’s Tier 1 capital between 1 January and 31 December 2034; | |
| The limits referred to in points (a), (b), (c) and (d) of the first subparagraph of this paragraph shall apply to exposure values after taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403.' |
Or. en
Amendment 287
Marlena Maląg
Proposal for a regulation
Article 1 – paragraph 1 – point 16 a (new)
Regulation (EU) No 575/2013
Article 500 a
| Present Text | Amendment |
| (16a) Article 500a is amended as follows: | |
| (a) in paragraph 1, the introductory wording is replaced by the following: | |
| By way of derogation from Article 114(2), until 31 December 2026, for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another Member State, the following apply: | ‘By way of derogation from Article 114(2), until 31 December 2026, for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of another a non-euro Member State, except euro, the following apply:’ |
| (b) paragraph 3 is replaced by the following: | |
| 3. By way of derogation from point (ii) of point (d) of Article 150(1), after receiving the prior permission of the competent authorities and subject to the conditions laid down in Article 150, institutions may also apply the Standardised Approach to exposures to central governments and central banks, where those exposures are assigned a 0 % risk weight under paragraph 1 of this Article. | '3. By way of derogation from point (ii) of point (a) of Article 150(1a), after receiving the prior permission of the competent authorities and subject to the conditions laid down in Article 150, institutions may also apply the Standardised Approach to exposures to central governments and central banks, where those exposures are assigned a 0 % risk weight under paragraph 4 of this Article. ' |
| (c) the following paragraphs are added: | |
| 4. By way of derogation from Article 114(2), until 31 December 2034, for exposures to the central governments and central banks of non-euro Member States, where those exposures are denominated and funded in euro, the following apply: | |
| (a) until 31 December 2030, the risk weight applied to the exposure values shall be 0 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (b) in 2031, the risk weight applied to the exposure values shall be 20 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (c) in 2032, the risk weight applied to the exposure values shall be 40 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (d) in 2033, the risk weight applied to the exposure values shall be 60 % of the risk weight assigned to those exposures in accordance with Article 114(2); | |
| (e) in 2034, the risk weight applied to the exposure values shall be 80 % of the risk weight assigned to those exposures in accordance with Article 114(2). | |
| 5.By way of derogation from Articles 395(1) and 493(4), competent authorities may allow institutions to incur exposures referred to in paragraph 4 of this Article, up to the following limits: | |
| (a) 100 % of the institution’s Tier 1 capital until 31 December 2031; | |
| (b) 80 % of the institution’s Tier 1 capital between 1 January and 31 December 2032; | |
| (c) 60 % of the institution’s Tier 1 capital between 1 January and 31 December 2033; | |
| (d) 40 % of the institution’s Tier 1 capital between 1 January and 31 December 2034; | |
| The limits referred to in points (a), (b), (c) and (d) of the first subparagraph of this paragraph shall apply to exposure values after taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403. |
Or. en
Amendment 288
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506 d – paragraph 1 – subparagraph 1
| Text proposed by the Commission | Amendment |
| By [4 years after the date of entry into force], the Commission, after having consulted the EBA, shall assess the overall situation and dynamics of the Union securitisation market, and report on the appropriateness and effectiveness of the Union prudential securitisation framework, including on the financing of the real economy, differentiating between different types of securitisations, including between synthetic, traditional and NPE securitisations, between originators and investors, between STS and non-STS transactions, and between different methods for calculation of risk-weighted exposure amounts. | By [4 years after the date of entry into force], the Commission, after having consulted the EBA, shall assess the overall situation and dynamics of the Union securitisation market, and report on the appropriateness and effectiveness of the Union prudential securitisation framework, including on the financing of the real economy and the use of buybacks and dividend payments by credit institutions, differentiating between different types of securitisations, including between synthetic, traditional and NPE securitisations, between originators and investors, between STS and non-STS transactions, and between different methods for calculation of risk-weighted exposure amounts. |
Or. en
Amendment 289
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506 d – paragraph 1 – subparagraph 1
| Text proposed by the Commission | Amendment |
| By [4 years after the date of entry into force], the Commission, after having consulted the EBA, shall assess the overall situation and dynamics of the Union securitisation market, and report on the appropriateness and effectiveness of the Union prudential securitisation framework, including on the financing of the real economy, differentiating between different types of securitisations, including between synthetic, traditional and NPE securitisations, between originators and investors, between STS and non-STS transactions, and between different methods for calculation of risk-weighted exposure amounts. | By … [3 years after the date of entry into force of this Regulation], the Commission, after consulting the European Banking Authority, shall assess the overall situation and dynamics of the Union securitisation market and report on the appropriateness and effectiveness of the Union prudential securitisation framework. Drawing on the application of Article 245a, the Commission shall in particular assess the impact of the prudential securitisation framework on lending to non-financial corporations and households, differentiating between types of loan origination across asset classes, as well as between different types of securitisations, including synthetic, traditional and non-performing exposure securitisations, between originators and investors, between STS and non-STS transactions, and between the different methods for the calculation of risk-weighted exposure amounts. |
Or. en
Amendment 290
Sirpa Pietikäinen, Marco Falcone
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506 d – paragraph 1– subparagraph 1
| Text proposed by the Commission | Amendment |
| By [4 years after the date of entry into force], the Commission, after having consulted the EBA, shall assess the overall situation and dynamics of the Union securitisation market, and report on the appropriateness and effectiveness of the Union prudential securitisation framework, including on the financing of the real economy, differentiating between different types of securitisations, including between synthetic, traditional and NPE securitisations, between originators and investors, between STS and non-STS transactions, and between different methods for calculation of risk-weighted exposure amounts. | By [4 years after the date of entry into force], the Commission, after having consulted the EBA, shall assess the overall situation and dynamics of the Union securitisation market, and report on the appropriateness and effectiveness of the Union prudential securitisation framework, including on the financing of the real economy, differentiating between different types of securitisations, including between synthetic, traditional and NPE securitisations, between originators and investors, between STS and non-STS transactions, and between different methods for calculation of risk-weighted exposure amounts as well as monitor the effects of the reforms into the covered bond market. Moreover, the Commission should also monitor how banks use their capital headroom and how the conditions for the financing of the real economy develop. |
Or. en
Amendment 291
Auke Zijlstra
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506 d – paragraph 1 – subparagraph 3
| Text proposed by the Commission | Amendment |
| In particular, the Commission shall consider whether a more fundamental change to the risk-weight formulas and functions would make it possible to achieve more risk sensitivity, achieve more proportionate levels of capital non-neutrality, mitigate cliff effects and address structural limitations of the current framework, taking into account the historic credit performance of securitisation transactions in the Union and the reduced model and agency risks of the securitisation framework. | deleted |
Or. en
Justification
Agency risk and modelling risk inherent in securitisation structures do not affect originators, sponsors and investors equally; whereas investors are more exposed to such risks due to reliance on models and sell-side information. Prudential treatment should continue to reflect these asymmetries, in line with the Basel Committee’s framework.
Amendment 292
Marie Toussaint
on behalf of the Verts/ALE Group
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506 d – paragraph 1 – subparagraph 3
| Text proposed by the Commission | Amendment |
| In particular, the Commission shall consider whether a more fundamental change to the risk-weight formulas and functions would make it possible to achieve more risk sensitivity, achieve more proportionate levels of capital non-neutrality, mitigate cliff effects and address structural limitations of the current framework, taking into account the historic credit performance of securitisation transactions in the Union and the reduced model and agency risks of the securitisation framework. | deleted |
Or. en
Amendment 293
Fabio De Masi
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506 d – paragraph 2
| Text proposed by the Commission | Amendment |
| (2) The EBA shall submit a report to the Commission, by [2 years after entry into force], to monitor the developments and dynamics of the Union securitisation market resulting from the amended prudential framework, focusing on the role of the credit institutions as originators of SRT transactions and as investors. The analysis shall differentiate between different types of securitisations, including between synthetic, traditional and NPE securitisations, and between STS and non-STS transactions. The report shall also analyse the impact of the amended prudential framework on additional lending by credit institutions to households and businesses, including SMEs. | (2) The EBA shall submit a report to the Commission, by [2 years after entry into force], to monitor the developments and dynamics of the Union securitisation market resulting from the amended prudential framework, focusing on the role of the credit institutions as originators of SRT transactions and as investors. The analysis shall differentiate between different types of securitisations, including between synthetic, traditional and NPE securitisations, and between STS and non-STS transactions. The report shall also analyse the impact of the amended prudential framework on additional lending by credit institutions to households and businesses, including SMEs, and how banks use their capital headroom. In addition, an analysis shall be carried out of the impact on the existing and well-functioning market for covered bonds and the risks that could arise in the financial system in terms of the concentration of market participants, the countries involved, the types of entities, their origin (EU and non-EU) and leverage. |
Or. de
Amendment 294
Eero Heinäluoma, Nikos Papandreou, Jonás Fernández, René Repasi
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506 d – paragraph 2
| Text proposed by the Commission | Amendment |
| 2. The EBA shall submit a report to the Commission, by [2 years after entry into force], to monitor the developments and dynamics of the Union securitisation market resulting from the amended prudential framework, focusing on the role of the credit institutions as originators of SRT transactions and as investors. The analysis shall differentiate between different types of securitisations, including between synthetic, traditional and NPE securitisations, and between STS and non-STS transactions. The report shall also analyse the impact of the amended prudential framework on additional lending by credit institutions to households and businesses, including SMEs. | 2. The EBA shall submit a report to the Commission, by [2 years after entry into force], to monitor the developments and dynamics of the Union securitisation market resulting from the amended prudential framework, focusing on the role of the credit institutions as originators of SRT transactions and as investors. The analysis shall differentiate between different types of securitisations, including between synthetic, traditional and NPE securitisations, and between STS and non-STS transactions. The report shall also analyse the impact of the amended prudential framework and whether it has contributed to additional and more affordable lending by credit institutions to the real economy, such as households and businesses, including SMEs and include an assessment of the amended prudential framework’s impact on credit institutions use of buy-backs and dividend pay-outs to investors. |
Or. en
Amendment 295
Gilles Boyer, Stéphanie Yon-Courtin
Proposal for a regulation
Article 1 a (new)
Directive 2009/65/EC
Article 56 – paragraph 2 – subparagraph 1 a (new)
| Text proposed by the Commission | Amendment |
| Article 1a | |
| Amendment to Directive 2009/65/EC | |
| Directive 2009/65/EC is amended as follows: | |
| In Article 56(2), the following subparagraph is added: | |
| ‘By way of derogation from the first subparagraph, point (b), a UCITS may acquire no more than 25% of the securitisations issued in accordance with Regulation (EU) 2017/2402 by a single issuing body.’; |
Or. en
(Directive 2009/65/EC)
Amendment 296
Billy Kelleher
Proposal for a regulation
Article 1 a (new)
Directive 2009/65/EC
Article 56 – paragraph 2 – subparagraph 1 a (new)
| Present text | Amendment |
| Article 1a | |
| Amendment to Directive 2009/65/EC | |
| Directive 2009/65/EC is amended as follows: | |
| In Article 56(2), the following subparagraph is added: | |
| ‘By way of derogation from the first subparagraph, point (b), a UCITS may acquire no more than 50% of the securities, measured at the time of the relevant acquisition, in a securitisation issued in accordance with Regulation (EU) 2017/2402 by a single issuing body.’ |
Or. en
(32009L0065)
Amendment 297
Markus Ferber
Proposal for a regulation
Article 1 a (new)
Directive 2009/65/EC
Article 56 – paragraph 2 – subparagraph 1 a (new)
| Text proposed by the Commission | Amendment |
| Article 1a | |
| Amendment to Directive 2009/65/EC | |
| Directive 2009/65/EC is amended as follows: | |
| In Article 56(2), the following subparagraph is added: | |
| 'By way of derogation from the first subparagraph, point (b), a UCITS may disregard the limit where the securities are securitisation positions as defined in point 19 of Article 2 of Regulation (EU) 2017/2402.' |
Or. en
Justification
The 10% UCITS investment limit on debt securities of a single issuer is overly restrictive for EU securitisations, suppressing investor demand and limiting market growth. It should therefore not apply in case of securitisation positions.
Amendment 298
Fernando Navarrete Rojas, Isabel Benjumea Benjumea
Proposal for a regulation
Article 1 a (new)
Directive 2009/65/EC
Article 56 – paragraph 2 – subparagraph 1 a (new)
| Text proposed by the Commission | Amendment |
| Article 1a | |
| Amendment to Directive 2009/65/EC | |
| Directive 2009/65/EC is amended as follows: | |
| "In Article 56(2), the following subparagraph is added: | |
| By way of derogation from the first subparagraph, point (b), a UCITS may acquire no more than 70% of the securities in a securitisation issued in accordance with Regulation (EU) 2017/2402 by a single issuing body where such positions are in public securitisations as defined in Article 2, point (32), of that Regulation." |
Or. en
(Directive 2009/65/EC)