Sittings · Document
On the proposal for a regulation of the European Parliament and of the Council amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions as regards requirements for securitisation exposures
Committee on Economic and Monetary Affairs · Rapporteur: Ralf Seekatz
DRAFT EUROPEAN PARLIAMENT LEGISLATIVE RESOLUTION
on the proposal for a regulation of the European Parliament and of the Council amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions as regards requirements for securitisation exposures
(COM(2025)0825 – C100119/2025 – 2025/0825(COD))
(Ordinary legislative procedure: first reading)
The European Parliament,
– having regard to the Commission proposal to Parliament and the Council (COM(2025)0825),
– having regard to Article 294(2) and Article 114 of the Treaty on the Functioning of the European Union, pursuant to which the Commission submitted the proposal to Parliament (C100119/2025),
– having regard to Article 294(3) of the Treaty on the Functioning of the European Union,
– having regard to the opinion of the European Central Bank of 11 November 2025,
– having regard to the opinion of the European Economic and Social Committee of 18 September 2025,
– having regard to Rule 60 of its Rules of Procedure,
– having regard to the report of the Committee on Economic and Monetary Affairs (A100000/2025),
1. Adopts its position at first reading hereinafter set out;
2. Calls on the Commission to refer the matter to Parliament again if it replaces, substantially amends or intends to substantially amend its proposal;
3. Instructs its President to forward its position to the Council, the Commission and the national parliaments.
Amendment 1
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, and to introduce a cap to the (p) factor, mainly for the senior securitisation positions. 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. |
Or. en
Amendment 2
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) Synthetic 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 synthetic senior securitisation position and mitigates agency and model risks. Such resilient synthetic securitisation positions, as well as traditional securitisation positions, should benefit from additional reductions to the risk weight floors and to the (p) factor, compared with synthetic securitisation positions that do not satisfy the eligibility criteria. |
Or. en
Amendment 3
Proposal for a regulation
Recital 11 a (new)
| Text proposed by the Commission | Amendment |
| (11a) To ensure coherence in the prudential framework following the recalibration of capital requirements for high-quality securitisations, the treatment of covered bonds should be adjusted accordingly. Covered bonds exhibit a consistently robust risk profile due to their structural safeguards and regulatory framework. Maintaining an appropriate balance between the prudential treatment of covered bonds and securitisations is necessary to avoid unintended market distortions and to preserve the functioning of the covered bond market as a key source of stable funding. |
Or. en
Amendment 4
Proposal for a regulation
Article 1 – paragraph 1 – point -1 (new)
Regulation (EU) No 575/2013
Article 129 – paragraph 4 – table 1
| Present text | ||||||
| Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
| Risk weight | 10 % | 20 % | 20 % | 50 % | 50 % | 100% |
| Amendment | ||||||
| Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
| Risk weight | 5% | 20% | 20 % | 50% | 50% | 100% |
Or. en
Amendment 5
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
Justification
The amendment introducing K(IRB) and K(A) as thresholds should be removed, as it would reclassify many senior securitisation positions as non-senior, increase risk weights disproportionately, and create inconsistencies between regulatory treatment and transaction documentation, severely impacting the European securitisation market.
Amendment 6
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
(Regulation (EU) No 575/2013)
Justification
There is no reason why this exception only applies for ABCP. Banks which finance such position over their own balance-sheet take exactly the same risk, should be treated equally and hence the same exception should apply.
Amendment 7
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) and Article 262(2) 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
The classification should be made at the time of structuring or at the beginning of the transaction's term. A continuous reassessment during the life of the transaction could lead to significant volatility in the capital requirements of the senior tranche, thereby substantially reducing the incentive to make use of this category.
Amendment 8
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 9
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 10
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: | 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 11
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 12
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
The classification should be made at the time of structuring or at the beginning of the transaction's term. A continuous reassessment during the life of the transaction could lead to significant volatility in the capital requirements of the senior tranche, thereby substantially reducing the incentive to make use of this category.
Amendment 13
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
Justification
The proposed 1.5 * K(A) threshold for senior tranche resilience is overly conservative and may prevent high-quality synthetic securitisations from qualifying.
Amendment 14
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
Amendment 15
Proposal for a regulation
Article 1 – paragraph 1 – point 3 – point c
Regulation (EU) No 575/2013
Article 243 – paragraph 4 – point a – introductory part
| Text proposed by the Commission | Amendment |
| (a) for an on-balance-sheet securitisation: | deleted |
Or. en
Amendment 16
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 17
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 18
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 19
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 20
Proposal for a regulation
Article 1 – paragraph 1 – point 4
Regulation (EU) No 575/2013
Article 244 – paragraph 7 – subparagraph 1 a (new)
| Text proposed by the Commission | Amendment |
| The objective of those regulatory technical standards shall be to enhance clarity and predictability in the assessment of significant credit risk transfer, while maintaining proportionality and operational efficiency for supervised entities. When developing those draft regulatory technical standards, EBA shall ensure that, in all cases, those standards do not result in a material increase in the supervisory burden for credit institutions. |
Or. en
Justification
The significant risk transfer (SRT) test should streamline and clarify the process without increasing supervisory burden, avoiding additional complexity or uncertainty.
Amendment 21
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; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position, or |
Or. en
Amendment 22
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1a – 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 23
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1a – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (12%; 15% *KIRB*12.5) | Floor = min (15%; max (12%; 12% *KIRB*12.5)) |
Or. en
Justification
The formula for the risk weight floor for the senior tranche should include a cap in order to ensure that targeted portfolios are not penalised relative to the current framework.
Amendment 24
Proposal for a regulation
Article 1 – paragraph 1 – point 9 – point c
Regulation (EU) No 575/2013
Article 259 – paragraph 1b – 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 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: |
Or. en
Amendment 25
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 (10%; 12% * KIRB*12.5)).; |
Or. en
Amendment 26
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; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position |
Or. en
Justification
Differentiating between originators/sponsors and investors is unjustified, as both engage in the same economic transaction and possess the same transaction knowledge. Treating investors differently would lead to inconsistent and potentially higher capital requirements without economic rationale.
Amendment 27
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; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior position |
Or. en
Justification
Differentiating between originators/sponsors and investors is unjustified, as both engage in the same economic transaction and possess the same transaction knowledge. Treating investors differently would lead to inconsistent and potentially higher capital requirements without economic rationale.
Amendment 28
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 | deleted |
Or. en
Amendment 29
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 (10%; max (7%; 7% * KIRB*12.5)) |
Or. en
Amendment 30
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: | |
| 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%; 7 % * KIRB*12.5).; |
Or. en
Amendment 31
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, p = 0.6 for a senior securitisation position of originator or sponsor; 1 for other securitisation position.; | For a securitisation position that is not a re-securitisation exposure, |
| p = 0.3 for a senior securitisation position 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 = 0.5 for other synthetic senior securitisation positions; | |
| p = 1 for all other securitisation positions; |
Or. en
Amendment 32
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1a – 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 33
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1a – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (12%; 15% *KA*12.5). | Floor = min (15%; max (12%; 12% *KA*12.5)). |
Or. en
Amendment 34
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1b – 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 35
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point b
Regulation (EU) No 575/2013
Article 261 – paragraph 1b – indent 1
| Text proposed by the Commission | Amendment |
| Floor = max (10%; 15% * KA*12.5).; | Floor = min (15%; max (10%; 12% * KA*12.5)).; |
Or. en
Amendment 36
Proposal for a regulation
Article 1 – paragraph 1 – point 11 – point c
Regulation (EU) No 575/2013
Article 261 – paragraph 2 –subparagraph 5 a (new)
| Text proposed by the Commission | Amendment |
| ‘For the purpose of the floor formula laid down in paragraphs 1a and 1b: KA = KSA * (1-w)+w*0.12.’; |
Or. en
(Regulation (EU) No 575/2013)
Amendment 37
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 38
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 = 0.25 for a senior securitisation position |
Or. en
Amendment 39
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 (7%; 7% * KA*12.5)). |
Or. en
Amendment 40
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 2 – introductory part
| 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 for a position in a synthetic STS securitisation that complies with the criteria set out in Article 243(3) or the risk weight for a traditional STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications: |
Or. en
Amendment 41
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 = 0.25 for a senior securitisation position |
Or. en
Amendment 42
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 (4%; 7% * KA*12.5)).; |
Or. en
Amendment 43
Proposal for a regulation
Article 1 – paragraph 1 – point 12
Regulation (EU) No 575/2013
Article 262 – paragraph 2 – subparagraph 1 a (new)
| Text proposed by the Commission | Amendment |
| For the purpose of calculating the risk weight floor laid down in paragraph 1 and in this paragraph, KA in the floor formula is | |
| KA = KSA * (1-w)+w*0.12. |
Or. en
Amendment 44
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point a
Regulation (EU) No 575/2013
Article 263 – paragraph 2 – table 1 – column 2 – row 2
| Text proposed by the Commission | Amendment |
| Senior tranche: | Senior tranche: |
| Max (12%; 15% *KA*12.5) | 10% |
| Non-senior tranche: 15 % | Non-senior tranche: 15 % |
Or. en
Amendment 45
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point b
Regulation (EU) No 575/2013
Art. 263 – paragraphs 2a and 2b
| 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 46
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 | ||||||
| Credit quality step | Senior tranche, position of originator or sponsor | Senior tranche, position of investor | Non-senior (thin) tranche | |||
| Tranche maturity (MT) | Tranche maturity (MT) | Tranche maturity (MT) | ||||
| 1 year | 5 year | 1 year | 5 year | 1 year | 5 year | |
| 1 | Max (12 % ; 15% *KA*12.5) | Max (12 %; 15% *KA*12.5) | 20 % | 15 % | 70 % | |
| 2 | Max (12 % ; 15% *KA*12.5) | 18% | 30 % | 15 % | 90 % | |
| 3 | 17 % | 24 % | 25 % | 40 % | 30 % | 120 % |
| 4 | 18 % | 29 % | 30 % | 45 % | 40 % | 140 % |
| 5 | 24 % | 34 % | 40 % | 50 % | 60 % | 160 % |
| 6 | 34 % | 45 % | 50 % | 65 % | 80 % | 180 % |
| 7 | 40 % | 46 % | 60 % | 70 % | 120 % | 210 % |
| 8 | 51 % | 62 % | 75 % | 90 % | 170 % | 260 % |
| 9 | 62 % | 73 % | 90 % | 105 % | 220 % | 310 % |
| 10 | 80 % | 96 % | 120 % | 140 % | 330 % | 420 % |
| 11 | 124 % | 140 % | 140 % | 160 % | 470 % | 580 % |
| 12 | 140 % | 160 % | 160 % | 180 % | 620 % | 760 % |
| 13 | 176 % | 201 % | 200 % | 225 % | 750 % | 860 % |
| 14 | 230 % | 256 % | 250 % | 280 % | 900 % | 950 % |
| 15 | 286 % | 312 % | 310 % | 340 % | 1050 % | 1050 % |
| 16 | 348 % | 388 % | 380 % | 420 % | 1130 % | 1130 % |
| 17 | 424 % | 465 % | 460 % | 505 % | 1250 % | 1250 % |
| All other | 1250 % | 1250 % | 1250 % | 1250 % | 1250 % | 1250 % |
| Amendment | ||||||
| Credit quality step | Senior tranche | Non-senior (thin) tranche | ||||
| Tranche maturity (MT) | Tranche maturity (MT) | |||||
| 1 year | 5 year | 1 year | 5 year | |||
| 1 | 10% | 15% | 70% | |||
| 2 | 10% | 15% | 15% | 90% | ||
| 3 | 17 % | 24 % | 15 % | 90 % | ||
| 4 | 18 % | 29 % | 30 % | 120 % | ||
| 5 | 24 % | 34 % | 40 % | 140 % | ||
| 6 | 34 % | 45 % | 60 % | 160 % | ||
| 7 | 40 % | 46 % | 80 % | 180 % | ||
| 8 | 51 % | 62 % | 120 % | 210 % | ||
| 9 | 62 % | 73 % | 170 % | 260 % | ||
| 10 | 80 % | 96 % | 220 % | 310 % | ||
| 11 | 124 % | 140 % | 330 % | 420 % | ||
| 12 | 140 % | 160 % | 470 % | 580 % | ||
| 13 | 176 % | 201 % | 620 % | 760 % | ||
| 14 | 230 % | 256 % | 750 % | 860 % | ||
| 15 | 286 % | 312 % | 900 % | 950 % | ||
| 16 | 348 % | 388 % | 1050 % | 1050 % | ||
| 17 | 424 % | 465 % | 1130 % | 1130 % | ||
| All other | 1250 % | 1250 % | 1250 % | 1250 % |
Or. en
Amendment 47
Proposal for a regulation
Article 1 – paragraph 1 – point 13 – point d
Regulation (EU) No 575/2013
Article 263 – paragraphs 3a and 3b
| 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 48
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point a
Regulation (EU) No 575/2013
Article 264 – paragraph 2 – table 3 – column 2 – row 2
| Text proposed by the Commission | Amendment |
| Senior tranche: | Senior tranche: |
| Max (7%; 10%*KA*12.5) | 5% |
| Non-senior tranche: | Non-senior tranche: |
| 10% | 10% |
Or. en
Amendment 49
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point b
Regulation (EU) No 575/2013
Article 264 – paragraphs 2a and 2b
| 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 50
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 | ||||||
| Credit quality step | Senior tranche (position of originator or sponsor, or of investor in a securitisation compliant with Article 243(3)) | Senior tranche (other positions of investor) | Non-senior (thin) tranche | |||
| Tranche maturity (MT) | Tranche maturity (MT) | Tranche maturity (MT) | ||||
| 1 year | 5 year | 1 year | 5 year | 1 year | 5 year | |
| 1 | Max (7 %; 10%*KA*12.5) | Max (7 %; 10%*KA*12.5) | 15 % | 40 % | ||
| 2 | Max (7 %; 10% *KA* 12.5) | 10 % | Max (7%; 10% * KA *12.5) | 15 % | 15 % | 55 % |
| 3 | 10 % | 12 % | 15 % | 20 % | 15 % | 70 % |
| 4 | 10 % | 16 % | 15 % | 25 % | 25 % | 80 % |
| 5 | 12 % | 20 % | 20 % | 30 % | 35 % | 95 % |
| 6 | 20 % | 28 % | 30 % | 40 % | 60 % | 135 % |
| 7 | 23 % | 28 % | 35 % | 40 % | 95 % | 170 % |
| 8 | 31 % | 38 % | 45 % | 55 % | 150 % | 225 % |
| 9 | 38 % | 45 % | 55 % | 65 % | 180 % | 255 % |
| 10 | 47 % | 58 % | 70 % | 85 % | 270 % | 345 % |
| 11 | 106 % | 118 % | 120 % | 135 % | 405 % | 500 % |
| 12 | 118 % | 138 % | 135 % | 155 % | 535 % | 655 % |
| 13 | 150 % | 174 % | 170 % | 195 % | 645 % | 740 % |
| 14 | 207 % | 229 % | 225 % | 250 % | 810 % | 855 % |
| 15 | 258 % | 280 % | 280 % | 305 % | 945 % | 945 % |
| 16 | 311 % | 351 % | 340 % | 380 % | 1015 % | 1015 % |
| 17 | 383 % | 419 % | 415 % | 455 % | 1250 % | 1250 % |
| All other | 1250 % | 1250 % | 1250 % | 1250 % | 1250 % | 1250 % |
| Amendment | ||||||
| Credit quality step | Senior tranche | Non-senior (thin) tranche | ||||
| Tranche maturity (MT) | Tranche maturity (MT) | |||||
| 1 year | 5 year | 1 year | 5 year | |||
| 1 | 5% | 15 % | 40 % | |||
| 2 | 5% | 10 % | 55 % | 90% | ||
| 3 | 10 % | 12 % | 70 % | 90 % | ||
| 4 | 10 % | 16 % | 80 % | 120 % | ||
| 5 | 12 % | 20 % | 95 % | 140 % | ||
| 6 | 20 % | 28 % | 135 % | 160 % | ||
| 7 | 23 % | 28 % | 170 % | 180 % | ||
| 8 | 31 % | 38 % | 225 % | 210 % | ||
| 9 | 38 % | 45 % | 255 % | 260 % | ||
| 10 | 47 % | 58 % | 345 % | 310 % | ||
| 11 | 106 % | 118 % | 500 % | 420 % | ||
| 12 | 118 % | 138 % | 655 % | 580 % | ||
| 13 | 150 % | 174 % | 740 % | 760 % | ||
| 14 | 207 % | 229 % | 855 % | 860 % | ||
| 15 | 258 % | 280 % | 945 % | 950 % | ||
| 16 | 311 % | 351 % | 1015 % | 1050 % | ||
| 17 | 383 % | 419 % | 1250 % | 1130 % | ||
| All other | 1250 % | 1250 % | 1250 % | 1250 % |
Or. en
Amendment 51
Proposal for a regulation
Article 1 – paragraph 1 – point 14 – point d
Regulation (EU) No 575/2013
Article 264 – paragraphs 3a and 3b
| 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 52
Proposal for a regulation
Article 1 – paragraph 1 – point 18
Regulation (EU) No 575/2013
Article 506d – 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 [5 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. |
Or. en
Amendment 53
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
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. The proposed change broadens investor access, enhances market participation, and supports the development of a deeper, more resilient and inclusive European securitisation market. . The AM proposes a limit of 70% if the positions are in a public securitisation. However, a more thorough assessment of such a limit based on a sufficient data basis is warranted.
EXPLANATORY STATEMENT
The rapporteur supports the Commission’s objective of revitalising the European securitisation market. The initiative aims to restore market confidence, improve access to finance for the real economy, and promote sustainable capital market growth across the Union. In particular, it seeks to foster a well-functioning and sustainable securitisation market that supports financing for businesses throughout Europe.
Following the financial crisis, the EU securitisation market contracted significantly. At the time, the introduction of stringent requirements was a necessary and appropriate response to reinforce financial stability. However, overly conservative rules have since hindered market development, preventing it from reaching its full potential.
The rapporteur is concerned that the Commission’s proposal may not fully achieve its ambitious objectives. The primary aim should be to ensure greater risk adequacy within the regulatory framework while enhancing the financing of the real economy. The proposed concept of “resilient positions” introduces additional complexity, which could impede market growth in certain segments or have a dampening effect overall.
Given that the securitisation framework represents a flagship initiative of the Savings and Investments Union, the European Union cannot afford excessive delays in its implementation. For this reason, the removal of the resilient concept is not proposed. With appropriate adjustments, enhanced risk sensitivity could provide added value for specific parts of the market. Nevertheless, the rapporteur identifies major weaknesses in the proposed approach and remains concerned that the concept may not function effectively for all market participants.
The concept of resilient securitisation introduced in the CRR has been developed primarily for synthetic on-balance sheet securitisations, with the objective of allowing lower risk weights and increased risk sensitivity. With several modifications, the resilience concept could function adequately for synthetic securitisations, but it is not suitable for traditional securitisations.
The rapporteur proposes therefore several simplifications for synthetic securitisations. The main priority should be the reduction of complexity, as the Commission has introduced too many categories for calculating risk weights. This increases market entry barriers for smaller banks and further reduces the attractiveness of securitisation as a financing tool. Streamlining the approach would support broader participation and reduce unnecessary obstacles for market entrants.
Traditional securitisations are a vital and well-established tool for financing the real economy and offer the highest potential for market growth. Introducing an additional risk-sensitive category of resilient positions for SEC-ERBA that already incorporates a high degree of risk sensitivity, with ratings reflecting historical performance, portfolio quality, market expectations, macroeconomic factors, and structural features would add unnecessary complexity without enhancing risk differentiation and disproportionately affect market participants with historically strong performance. The resilient concept for traditional securitisations should be removed. Instead, the well-established STS category should be reinforced, and all STS senior tranches of traditional securitisations should be treated as ‘resilient’. Maintaining two distinct approaches does not create an uneven playing field or fragment the market, as external models already provide sufficient risk sensitivity.
In addition, the proposed ‛resilient’ concept appears to be calibrated mainly for synthetic securitisations applying a formula-based approach. Consequently, it does not adequately accommodate the specific characteristics of high-quality SEC-ERBA ABS.
To ensure that the recalibration of capital requirements delivers genuine added value rather than mere redistributive effects, it must fit coherently into the broader framework of prudential rules, particularly regarding covered bonds. In this context, maintaining a consistent and proportionate treatment of covered bonds is essential to avoid unintended market distortions. Therefore, it would be coherent to lower the capital requirements for covered bonds accordingly. Sustainable capital market growth can only be achieved by developing both key markets, securitisations and covered bonds, in parallel, thereby ensuring a level playing field.