am com legreport - european parliament...am\1103675en.docx pe587.498v05-00 en united in diversity en...

$: AM Com LegReport - European Parliament...AM\1103675EN.docx PE587.498v05-00 EN United in diversity EN European Parliament 2014-2019 Committee on Economic and Monetary Affairs 2015/0225(COD)$
AM\1103675EN.docx PE587.498v05-00

EN United in diversity EN

European Parliament 2014-2019

Committee on Economic and Monetary Affairs

2015/0225(COD)

6.9.2016

AMENDMENTS 46 - 197

Draft report

Pablo Zalba Bidegain

(PE583.904v01-00)

Proposal for a regulation of the European Parliament and of the Council

amending Regulation (EU) No 575/2013 on prudential requirements for credit

institutions and investment firms

Proposal for a regulation

(COM(2015)0473 – C8-0289/2015 – 2015/0225(COD))

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AM_Com_LegReport

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Amendment 46

Rina Ronja Kari, Paloma López Bermejo, Fabio De Masi, Matt Carthy


Recital 1

Text proposed by the Commission Amendment

(1) Securitisations are an important

constituent part of well-functioning financial markets insofar as they

contribute to diversifying institutions'

funding sources and releasing regulatory

capital which can then be reallocated to

support further lending. Furthermore,

securitisations provide institutions and

other market participants with additional

investment opportunities, thus allowing

portfolio diversification and facilitating

the flow of funding to businesses and

individuals both within Member States

and on a cross-border basis throughout

the Union. These benefits, however,

should be weighed against their potential

costs. As seen during the first phase of

financial crisis starting in the summer of

2007, unsound practices in securitisation

markets resulted in significant threats to

the integrity of the financial system,

namely due to excessive leverage, opaque

and complex structures that made pricing

problematic, mechanistic reliance on

external ratings or misalignment between

the interests of investors and originators

("agency risks").

(1) Securitisations were the central

cause of the financial crisis, namely

because of systemic flaws in the financial

system and investors' lack of due

diligence as well as institutions lack of

responsibility. As seen during the financial

crisis, unsound practices in securitisation








("agency risks").

Or. en

Amendment 47

Marco Valli, Marco Zanni


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Recital 1



constituent part of well-functioning

financial markets insofar as they

contribute to diversifying institutions'

funding sources and releasing regulatory

capital which can then be reallocated to

support further lending. Furthermore,




portfolio diversification and facilitating the

flow of funding to businesses and

individuals both within Member States and

on a cross-border basis throughout the

Union. These benefits, however, should be

weighed against their potential costs. As

seen during the first phase of financial

crisis starting in the summer of 2007,

unsound practices in securitisation








(“agency risks”).

(1) Securitisations are a complex

financial risk transfer arrangement for

off-balance-sheet credits and are used for diversifying institutions’ funding sources

and releasing regulatory capital which can

then be reallocated to support further

lending. Furthermore, securitisations are

an important source of profitability for

financial intermediaries, offering institutions and other market participants

the possibility of additional investment

opportunities, thus allowing portfolio

diversification and facilitating the flow of

funding to businesses and individuals both

within Member States and on a cross-

border basis throughout the Union. These

benefits, however, should be weighed

against their potential costs for the

community, in terms of greater systemic

risks, property bubbles resulting from

excessive extension of housing credit, and

inefficient capital allocations. As seen

during the first phase of financial crisis

starting in the summer of 2007, the change

to a new “originate-to-distribute” (OTD)

banking model for lending practices and

the unsound practices associated with the

speculative use of securitisation resulted in

significant threats to the integrity and

stability of the financial system, namely

due to excessive leverage, the market

being more interconnected, opaque and

complex structures that made pricing


external ratings issued by agencies with

conflicts of interest or misalignment

between the interests of investors and

originators (“agency risks”).

Or. it

Amendment 48

Jonás Fernández

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Recital 1




financial markets insofar as they contribute

to diversifying institutions' funding sources



lending. Furthermore, securitisations

provide institutions and other market

participants with additional investment







against their potential costs. As seen during

the first phase of financial crisis starting in

the summer of 2007, unsound practices in

securitisation markets resulted in

significant threats to the integrity of the

financial system, namely due to excessive

leverage, opaque and complex structures

that made pricing problematic, mechanistic

reliance on external ratings or

misalignment between the interests of

investors and originators ("agency risks").







lending, provided that financial stability is

guaranteed and that the capital is used to

fund the real economy rather than for

speculative activity. Furthermore,




portfolio diversification and facilitating the

flow of funding to businesses and

individuals both within Member States and

on a cross-border basis throughout the

Union. These benefits, however, should be

weighed against their potential costs and

risks. As seen during the first phase of the

financial crisis starting in the summer of

2007, unsound practices in securitisation

markets destroyed the integrity of the







Or. es

Amendment 49

Notis Marias


Recital 1


(1) Securitisations are an important (1) Securitisations are an important

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lending. Furthermore, securitisations






















to diversifying institutions' funding and

releasing regulatory capital which can then

be reallocated to support further lending

and to guarantee the liquidity level of the

lender. Furthermore, securitisations




















Or. el

Amendment 50

Rina Ronja Kari, Paloma López Bermejo, Matt Carthy, Fabio De Masi


Recital 2


(2) In recent years, securitisation

issuance volumes in the Union have

remained below their pre-crisis peak for a

number of reasons, among them the

stigma generally associated with these

transactions. The recovery of

securitisation markets should be based on

sound and prudent market practices to

prevent a recurrence of the set of

circumstances that triggered the financial




number of reasons, including the low

demand for non-bank lending. According

to the ECB SAFE survey 2015, European

SMEs’ biggest concern today is "finding

customers" whereas "access to finance"

is their lowest. It is therefore not clear

that there is an overall European need to

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crisis. To that end, Regulation

[Securitisation Regulation] lays down the

substantive elements of an overarching

securitisation framework, with ad-hoc

criteria to identify simple, transparent and

standardised ("STS") securitisations and

a system of supervision to monitor the

correct application of these criteria by

originators, sponsors, issuers and

institutional investors. Furthermore,

Regulation [Securitisation Regulation]

provides for a set of common

requirements on risk retention, due

diligence and disclosure for all financial

services sectors.

promote non-bank sources of finance for

SMEs. A revival of securitisation is likely

to first and foremost benefit the balance

sheets of banks at the expense of financial

stability.

Or. en

Amendment 51

Notis Marias


Recital 2





number of reasons, among them the stigma

generally associated with these

transactions. The recovery of securitisation

markets should be based on sound and

prudent market practices to prevent a

recurrence of the set of circumstances that

triggered the financial crisis. To that end,

Regulation [Securitisation Regulation] lays

down the substantive elements of an

overarching securitisation framework, with

ad-hoc criteria to identify simple,

transparent and standardised (“STS”)

securitisations and a system of supervision

to monitor the correct application of these

criteria by originators, sponsors, issuers

and institutional investors. Furthermore,


provides for a set of common requirements




number of reasons, among them the stigma

generally associated with these

transactions. The recovery of securitisation

markets should be based on sound and

prudent market practices and should

contribute to job creation to prevent a

recurrence of the set of circumstances that

triggered the financial crisis. To that end,

Regulation [Securitisation Regulation] lays

down the substantive elements of an

overarching securitisation framework, with

ad-hoc criteria to identify simple,

transparent and standardised (“STS”)

securitisations and a system of supervision

to monitor the correct application of these

criteria by originators, sponsors, issuers

and institutional investors. Furthermore,


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on risk retention, due diligence and

disclosure for all financial services sectors.

provides for a set of common requirements

on risk retention, due diligence and

disclosure for all financial services sectors.

Or. el

Amendment 52



Recital 2 a (new)


(2a) Without banking structural reform

that addresses the problem of 'too-big-to-

fail' banks, a revival of securitisation is

likely to once again fail and harm the real

economy and ultimately the welfare and

lives of ordinary people.

Or. en

Amendment 53



Recital 3


(3) Consistent with the objectives of

Regulation [Securitisation Regulation], the

regulatory capital requirements laid down

in Regulation (EU) No 575/2013 for

institutions originating, sponsoring or

investing in securitisations should be

amended to reflect adequately the specific

features of STS securitisations and address

the shortcomings of the framework which

became apparent during the financial crisis,

namely its mechanistic reliance on

external ratings, excessively low risk

weights for highly rated securitisation

tranches and, conversely, excessively high








features of STS securitisations that have

underlying loans to small and medium-

sized enterprises (SMEs) as exposure and

address the shortcomings of the framework

which became apparent during the

financial crisis. On 11 December 2014 the

Basel Committee for Banking Supervision

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risk weights for low-rated tranches, and

insufficient risk sensitivity. On 11

December 2014 the Basel Committee for

Banking Supervision ("BCBS") published

its “Revisions to the securitisation

framework” (the “Revised Basel

Framework”) setting out various changes

to the regulatory capital standards for

securitisations to address specifically those

shortcomings. The amendments to

Regulation (EU) No 575/2013 should take

into account the provisions of the Revised

Basel Framework.

("BCBS") published its “Revisions to the

securitisation framework” (the “Revised

Basel Framework”) setting out various

changes to the regulatory capital standards

for securitisations to address specifically

those shortcomings. The amendments to



Basel Framework.

Or. it

Amendment 54

Notis Marias


Recital 3












namely its mechanistic reliance on external

ratings, excessively low risk weights for

highly-rated securitisation tranches and,

conversely, excessively high risk weights

for low-rated tranches, and insufficient risk

sensitivity. On 11 December 2014 the























sensitivity, owing to the lack of adequate

risk factors in the approaches to defining

the risk weights. On 11 December 2014

the Basel Committee for Banking

Supervision ("BCBS") published its

“Revisions to the securitisation

framework” (the “Revised Basel

Framework”) setting out various changes

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Basel Framework.

to the regulatory capital standards for

securitisations to address specifically those

shortcomings. The amendments to



Basel Framework.

Or. el

Amendment 55

Jonás Fernández


Recital 3



























Basel Framework.








features of STS securitisations ,when they

also meet additional requirements laid

down in the regulation, and address the

shortcomings of the framework which

















Basel Framework.

Or. es

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Amendment 56



Recital 4


(4) Capital requirements for positions

in a securitisation under Regulation (EU)

No 575/2013 should be subject to the same

calculation methods for all institutions. In

the first instance and to remove any form

of mechanistic reliance on external ratings,

an institution should use its own

calculation of regulatory capital

requirements where the institution has

permission to use the Internal Ratings-

Based Approach (the "IRB") in relation

to exposures of the same type as those

underlying the securitisation and is able

to calculate regulatory capital

requirements in relation to the underlying

exposures as if these had not been

securitised ("Kirb"), in each case subject

to certain pre-defined inputs (the "SEC-

IRBA"). A Securitisation External

Ratings-Based Approach (the "SEC-

ERBA") should then be available to

institutions that may not use the SEC-

IRBA in relation to their positions in a

given securitisation. As part of the SEC-

ERBA, capital requirements should be

assigned to securitisation tranches on the

basis of their external rating. When the

first two approaches are not available or

the use of the SEC-ERBA would result in

incommensurate regulatory capital

requirements relative to the credit risks

embedded in the underlying exposures,

institutions should be able to apply the

Securitisation Standardised Approach

(the "SEC-SA") which should rely on a

supervisory-provided formula using as an

input the capital requirements that would

be calculated under the Standardised

Approach to credit risk (the "SA") in







and to limit variability owing to internal

models and regulatory arbitrage, an

institution should only use the STS


(the “SEC-SA”) which should rely on a

supervisory-provided formula and which

uses as an input the capital requirements

that would be calculated under the

Standardised Approach to credit risk

(“SA”) in relation to the underlying

exposures if they had not been securitised

(“Ksa”). The use of the method based on

internal ratings (“IRB”) should therefore

be excluded, as well as the Securitisation

External Ratings-Based Approach (SEC-

ERBA) in relation to the positions in an

STS securitisation, in line with the

objectives of the ongoing revision by the

Basel Committee on the gradual

elimination of the Internal Ratings-Based

Approach to measuring credit risk. To

reduce the complexity of the regulatory

framework and to aid comparability, it is

important to assess the extension of the

approach based on using solely the

standardised method to all securitisations.

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relation to the underlying exposures if

these had not been securitised ("Ksa").

Or. it

Amendment 57



Recital 4











permission to use the Internal Ratings

Based approach (the "IRB") in relation

to exposures of the same type as those

underlying the securitisation and is able

to calculate regulatory capital

requirements in relation to the underlying

exposures as if these had not been

securitised ("Kirb"), in each case subject

to certain pre-defined inputs (the "SEC-

IRBA"). A Securitisation External

Ratings-Based Approach (the "SEC-

ERBA") should then be available to



given securitisation. Under the SEC-







requirements relative to the credit risk

embedded in the underlying exposures, institutions should be able to apply the

Securitisation Standardised Approach (the






of mechanistic reliance on external ratings.

Relying on external rating agencies is not

desirable. However, the flaws of internal

models are also well known and have yet

to be addressed. Banks can manipulate

risk weights and different banks can give

very different risk weights to similar

assets. Institutions should apply the


"SEC-SA") which should rely on a







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Or. en

Amendment 58

Eva Kaili


Recital 4












Based approach (the "IRB") in relation to

exposures of the same type as those

underlying the securitisation and is able to

calculate regulatory capital requirements in

relation to the underlying exposures as if

these had not been securitised ("Kirb"), in

each case subject to certain pre-defined

inputs (the "SEC-IRBA"). A Securitisation

External Ratings-Based Approach (the

"SEC-ERBA") should then be available to



























inputs (the "SEC-IRBA"). The


"SEC-SA") should then be available to



given securitisation. This approach should

rely on a supervisory-provided formula

using as an input the capital requirements

that would be calculated under the

Standardised Approach to credit risk (the

"SA") in relation to the underlying

exposures if these had not been securitised

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("Ksa").

Or. en

Justification

We consider that mechanistic reliance on external ratings should be avoided and external

ratings benefit securitizations from countries that have high sovereign rate and have negative

impact on securitizations from countries that have low ratings, thus creating a not level-

playing field. Some member states have been significantly impacted from the financial crisis

and have been assigned a low sovereign rating, consequently these countries are

disadvantaged by using the external rating based approach. Thus we support the view that

ERBA, both in STS and non STS securitizations should be avoided and not be used. This will

ensure a level playing field for all the securitizations.

Amendment 59

Jonás Fernández


Recital 4




























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External Ratings-Based Approach

("SEC-ERBA") should then be available

to institutions that may not use the SEC-






first two approaches are not available or the use of the SEC-ERBA would result in

















inputs (the "SEC-IRBA").

Institutions that may not use the SEC-

IBRA should apply the Securitisation

Standardised Approach ("SEC-SA")

which should rely on a supervisory-

provided formula using as an input the

capital requirements that would be

calculated under the Standardised

Approach ("SA") to credit risk in relation

to the underlying exposures if these had

not been securitised ("Ksa").

When the use of the SEC-SA would result

in non-commensurate regulatory capital


embedded in the underlying exposures, at

the request of the competent authority the

Securitisation External Ratings-Based

Approach ("SEC-ERBA") should be used.

Under the SEC-ERBA, capital

requirements should be assigned to

securitisation tranches on the basis of

their external rating.

The SEC-ERBA should not be used for

STS securitisations under any

circumstance.

Or. es

Amendment 60

Notis Marias


Recital 4
















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basis of their external rating. When the first

two approaches are not available or the use

of the SEC-ERBA would result in












these had not been securitised (“Ksa”).



















basis of their external rating. When the first

two approaches are not available or the use

of the SEC-ERBA would result in






"SEC-SA"), with a view to giving a fresh

boost to securitisation markets, which

should rely on a supervisory-provided

formula using as an input the capital

requirements that would be calculated

under the Standardised Approach to credit

risk (the "SA") in relation to the underlying

exposures if these had not been securitised

(“Ksa”).

Or. el

Amendment 61

Paul Tang


Recital 5


(5) Agency and model risks are more

prevalent for securitisations than for other



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financial assets and give rise to some

degree of uncertainty in the calculation of

capital requirements for securitisations

even after all appropriate risk drivers have

been taken into account. In order to capture

those risks adequately, Regulation (EU)

No. 575/2013 should be amended to

provide for a minimum 15% risk weight

floor for all securitisation positions. Re-

securitisations, however, exhibit greater

complexity and riskiness and,

accordingly, positions in them, should be

subject to a more conservative regulatory

capital calculation and a 100% risk

weight floor.








provide for a minimum 17 % risk weight

floor for all securitisation positions.

Or. en

Amendment 62



Recital 5









those risks adequately, Regulation (EU) No

575/2013 should be amended to provide

for a minimum 15% risk weight floor for

all securitisation positions. Re-

securitisations, however, are more

complex and riskier and, accordingly,

positions within them should be subject to

a more conservative regulatory capital

calculation and a 100% risk weight floor.








those risks adequately, Regulation (EU) No




securitisations, however, should be

banned, given their higher level of

complexity and risk.

Or. it

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Amendment 63

Jonás Fernández


Recital 5











provide for a minimum 15 % risk weight


securitisations, however, are more

complex and more risky and, accordingly,

all positions in them should be subject to

a more conservative regulatory capital

calculation and a minimum 100 % risk

weight floor.












securitisations are not allowed.

Or. es

Amendment 64



Recital 5















financial assets and give rise to a high




been taken into account. Securitisations

are too complex and have a fundamental

flaw, which is a lack of transparency and

accountability. In order to capture those

risks adequately, Regulation (EU) No.

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complexity and riskiness and, accordingly,

positions in them, should be subject to a

more conservative regulatory capital






complexity and riskiness and, accordingly,

positions in them, should be subject to a

more conservative regulatory capital


Or. en

Amendment 65



Recital 8


(8) As pointed out by the European

Banking Authority (the "EBA") in its

"Report on Qualifying Securitisations" of

June 201510, empirical evidence on

defaults and losses shows that STS

securitisations exhibited better

performance than other securitisations

during the financial crisis, reflecting the

use of simple and transparent structures

and robust execution practices in STS

securitisation which reduce credit,

operational and agency risks. It is

therefore appropriate to amend

Regulation (EU) No 575/2013 to provide

for an appropriately risk-sensitive

calibration for STS securitisations in the

manner recommended by the EBA in its

Report which involves, in particular, a

lower risk weight floor of 10% for senior

positions.











securitisation which reduce credit,

operational and agency risks. There would,

however, be no justification for

weakening an essential protective

measure against potential errors in

measuring risk, through the imposition in

the manner recommended by the EBA in

its Report of an even lower minimum risk

weight floor, for some types of STS

securitisations; it is therefore appropriate

to maintain the minimum floor of 15% for

this type of securitisation too.

_________________ _________________

10

Cfr.https://www.eba.europa.eu/documents/

10180/950548/EBA+report+on+qualifying

+securitisation.pdf.

10

Cfr.https://www.eba.europa.eu/documents/

10180/950548/EBA+report+on+qualifying

+securitisation.pdf.

PE587.498v05-00 20/107 AM\1103675EN.docx

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Or. it

Amendment 66

Paul Tang


Recital 8





June 201510 , empirical evidence on







securitisation which deliver lower credit,

operational and agency risks. It is therefore

appropriate to amend Regulation (EU) No

575/2013 to provide for an appropriately

risk-sensitive calibration for STS

securitisations in the manner recommended

by the EBA in its Report which involves,

in particular, a lower risk weight floor of

10% for senior positions.



















13 % for senior positions.

_________________ _________________

10 See

https://www.eba.europa.eu/documents/101

80/950548/EBA+report+on+qualifying+se

curitisation.pdf

10 See



curitisation.pdf

Or. en

Amendment 67

Molly Scott Cato

on behalf of the Verts/ALE Group


Recital 8

AM\1103675EN.docx 21/107 PE587.498v05-00

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10% for senior positions.



















10% for senior positions. However, in the

case of securitisations of exposures

originated by credit institutions, the risk

weight floor should be 15 % to reflect the

likelihood of higher correlation between

the risk of the underlying exposures and

the balance sheets of the investing banks

than between such exposures and non-

banks.

_________________ _________________

10 See



curitisation.pdf

10 See



curitisation.pdf

Or. en

Amendment 68

Jonás Fernández


Recital 8


(8) As pointed out by the European (8) As pointed out by the European

PE587.498v05-00 22/107 AM\1103675EN.docx

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10 % for senior positions.















securitisations that also meet additional

requirements to minimise risk, in the

manner recommended by the EBA in its

Report which involves, in particular, a

lower risk weight floor of 10 % for senior

positions.

_________________ _________________

10 See



curitisation.pdf.

10 See



curitisation.pdf.

Or. es

Amendment 69

Molly Scott Cato



Recital 9


(9) The definition of STS

securitisations for regulatory capital

purposes under Regulation (EU) No

575/2013 should be limited to

securitisations where the ownership of the

underlying exposures is transferred to the

Special Purpose Entity ("traditional

securitisations"). However, institutions

retaining senior positions in synthetic








securitisations").

AM\1103675EN.docx 23/107 PE587.498v05-00

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securitisations backed by an underlying

pool of loans to small and medium-size

enterprises ("SMEs") should be allowed

to apply to these positions the lower

capital requirements available for STS

securitisations where such transactions

are regarded as of high quality in

accordance with certain strict criteria. In

particular, where such subset of synthetic

securitisations benefits from the

guarantee or counterguarantee by the

central government or central bank of a

Member State, the preferential regulatory

capital treatment that would be available

to them under Regulation (EU) No

575/2013 is without prejudice to

compliance with the State Aid rules.

Or. en

Justification

There should be no STS treatment of specific synthetics until the Commission has completed

its assessment of whether securitisations which are not 'true sale' should be covered by the

STS designation in a future proposal.

Amendment 70

Jonás Fernández


Recital 9









securitisations"). However, institutions

retaining senior positions in synthetic

securitisations backed by an underlying

pool of loans to small and medium-size

enterprises ("SMEs") should be allowed to

(9) STS securitisations with lower

capital requirements pursuant to the

additional conditions under Regulation

(EU) No 575/2013 should be limited to




securitisations").

However, institutions retaining senior

positions in synthetic securitisations

backed by an underlying pool of loans to

small and medium-size enterprises

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apply to these positions the lower capital

requirements available for STS

securitisations where such transactions

are regarded as of high quality in

accordance with certain strict criteria. In

particular, where such subset of synthetic

securitisations benefits from the

guarantee or counterguarantee by the

central government or central bank of a

Member State, the preferential regulatory capital treatment that would be available

to them under Regulation (EU) No

575/2013 is without prejudice to

compliance with the State Aid rules.

("SMEs") should not be regarded as STS

or as subject to lower capital

requirements.

In that regard, the European Commission

is asked to submit another legislative

proposal to define synthetic

securitisations that may be STS and may

have lower capital requirements. Arbitrage

synthetic securitisations may not be

regarded as STS or as subject to lower

capital requirements under any

circumstance.

Or. es

Amendment 71



Recital 10


(10) Only consequential changes should

be made to the remainder of the regulatory

capital requirements for securitisations in

Regulation (EU) No 575/2013 insofar as

necessary to reflect the new hierarchy of

approaches and the special provisions for

STS securitisations. In particular, the

provisions related to the recognition of

significant risk transfer and the

requirements on external credit

assessments should continue to apply in

substantially the same terms as they do

currently. However, Part Five of

Regulation (EU) No 575/2013 should be

deleted in its entirety with the exception of

the requirement to hold additional risk

weights which should be imposed on

institutions found in breach of the

provisions in Chapter 2 of Regulation

[Securitisation Regulation].

(10) Only consequential changes should

be made to the remainder of the regulatory

capital requirements for securitisations in

Regulation (EU) No 575/2013 insofar as

necessary to reflect the new approach of

the standardised method and the special

provisions for STS securitisations

guaranteed by loans to SMEs. In

particular, the provisions related to the

recognition of significant risk transfer

should be modified to reflect a more

prudent approach. Part Five of Regulation

(EU) No 575/2013 should be deleted in its

entirety with the exception of the

requirement to hold additional risk weights

which should be imposed on institutions

found in breach of the provisions in

Chapter 2 of Regulation [Securitisation

Regulation].

Or. it

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Amendment 72



Recital 11


(11) In the light of the ongoing debate

within the BCBS on the convenience of

recalibrating the Revised Basel

Framework to reflect the specific features

of STS securitisations, the Commission

should be empowered to adopt a delegated

act to make further amendments to the

regulatory capital requirements for

securitisation in Regulation (EU) No

575/2013 to take account of the outcome

of such discussions.

deleted

Or. it

Amendment 73

Jonás Fernández


Recital 11


(11) In light of the on-going debate

within the BCBS on the convenience of

recalibrating the Revised Basel

Framework to reflect the specific features

of STS securitisations, the Commission

should be empowered to adopt a delegated

act to make further amendments to the

regulatory capital requirements for

securitisation in Regulation (EU) No

575/2013 to take account of the outcome

of such discussions.

deleted

Or. es

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Amendment 74



Recital 12


(12) It is appropriate for the

amendments to Regulation (EU) No

575/2013 provided for in this Regulation to

apply to securitisations issued on or after

the date of application of this Regulation

and to securitisations outstanding as of

that date. However, for legal certainty

purposes and to mitigate transitional costs

in as much as possible, institutions should

be allowed to grandfather all outstanding

securitisation positions that they hold on

that date for a period ending on [31

December 2019]. If an institution makes

use of this option, outstanding

securitisations should continue to be

subject to the regulatory capital

requirements set out in Regulation (EU)

No 575/2013 in the version that applied

prior to the date of application of this

Regulation,

(12) It is appropriate for the

amendments to Regulation (EU) No

575/2013 provided for in this Regulation to

apply to securitisations issued on or after

the date of application of this Regulation.

Or. it

Amendment 75

Paul Tang


Article 1 – paragraph 1 – point 6

Regulation (EU) No 575/2013

Article 197 – paragraph 1 – point h


(6) In Article 197(1), point (h) is

replaced by the following:

deleted

‘(h) securitisation positions that are not

re-securitisation positions and which are

subject to a 100% risk-weight or lower in

accordance with Article 261 to Article

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264;’

Or. en

Amendment 76

Jonás Fernández






(12) 'STS securitisation' means a

securitisation meeting the requirements

set out in Chapter 3 of [Securitisation

regulation] and the requirements set out

in Article 243;

(12) 'STS securitisation qualifying for

differentiated capital treatments' means a

traditional securitisation or an STS ABCP

programme qualifying for differentiated

capital treatment.

Or. en

Amendment 77

Jonás Fernández




Article 242 – paragraph 1 – point 12 a (new)


(12 a) "Traditional STS securitisation

qualifying for differentiated capital

treatment" means a securitisation

meeting the requirements set out in

section 1 of Chapter 3 of Regulation (EU)

.../... [Securitisation Regulation] and the

requirements set out in Article 243(1) of

this regulation.

Or. en

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EN

Amendment 78

Jonás Fernández




Article 242 – paragraph 1 – point 12 b (new)


(12 b) "STS ABCP programme

qualifying for differentiated capital

treatment" means an ABCP programme

meeting the requirements set out in

section 2 of Chapter 3 of Regulation (EU)

.../... [Securitisation Regulation] and the

requirements set out in Article 243(1) of

this Regulation.

Or. en

Amendment 79

Michael Theurer, Sylvie Goulard, Petr Ježek




Article 242 – paragraph 1 - point 20 (new)


(20) "Balance sheet securitisation"

means balance sheet securitisation as

defined in point 18a of Article 2 of

Regulation (EU) .../... [Securitisation

Regulation]

Or. en

Justification

The essential benefits of balance sheet securitisation for many originating banks are i) the

transfer of credit risk to third parties when true sale transactions (traditional securitisations)

cannot be employed since bank customers do not want the bank to sell their loans (transfer

clause limitations), and ii) the release of risk-weighted assets for new real economy

transactions. Balance sheet securitisation must not be confused with arbitrage synthetic

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transactions. Balance sheet securitisations, performed consistently better than arbitrage

synthetics and were typically structured to be far less complex than the latter. In addition,

while balance sheet securitisations fulfil, as their primary objective, the genuine risk transfer

objective acknowledged for securitisation in prudential regulation, arbitrage synthetic

transactions are primarily structured to achieve yield arbitrage targets driven by investors

and asset managers. Therefore the ban of arbitrage synthetic transactions is an important

step. Nevertheless, there is a need for a definition of balance sheet securitisations, in order to

clarify the difference between those two types of transactions and to facilitate the work on a

report on balance sheet securitisations.

Amendment 80

Jonás Fernández




Article 243 – Title


Article 243 Article 243

Criteria for STS Securitisations Criteria for STS securitisations qualifying

for differentiated capital treatment

Or. en

Amendment 81




Regulation 575/2013

Article 243, paragraph 1


(1) Positions in an ABCP programme

shall qualify as positions in an STS

securitisation for the purposes of Articles

260, 262 and 264 where the following

requirements are met:


shall not qualify as positions in an STS


260, 262 and 264;

Or. it

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Amendment 82

Burkhard Balz




Article 243 – paragraph 1







(1) Positions in an ABCP transaction

qualifying as positions in an STS

securitisation are eligible for the treatment

set out in Articles 260, 262 and 264 where

the following requirement in point (a) is

met:

Or. en

Amendment 83

Jonás Fernández











(1) A position in an STS ABCP

programme shall qualify for differentiated

capital treatment referred to in Articles

260 and 264 where the following


Or. en

Amendment 84





Article 243, paragraph 1, point a

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EN


(a) for all transactions within the

ABCP programme, the underlying

exposures at origination meet the

conditions for being assigned, under the

Standardised Approach and taking into

account any eligible credit risk mitigation,

a risk weight equal to or smaller than

75% on an individual exposure basis

where the exposure is a retail exposure or

100% for any other exposures;

deleted

Or. it

Amendment 85

Burkhard Balz




Article 243 – paragraph 1 – point a


(a) for all transactions within the

ABCP programme the underlying

exposures at origination meet the

conditions for being assigned, under the

Standardised Approach and taking into

account any eligible credit risk mitigation,

a risk weight equal to or smaller than 75%

on an individual exposure basis where the

exposure is a retail exposure or 100% for

any other exposures;

(a) the underlying exposures at

origination meet the conditions for being

assigned, under the Standardised Approach

and taking into account any eligible credit

risk mitigation, a risk weight equal to or

smaller than 75% on an individual

exposure basis where the exposure is a

retail exposure or 100% for any other

exposures;

Or. en

Amendment 86





Article 243 paragraph 1 point aa (new)

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(aa) By derogation from point a, where

the institution has been granted

permission to use the Internal Assessment

Approach in accordance with Article 265,

the risk- weight that institution would

assign to a liquidity facility that

completely covers the ABCP issued under

the programme is equal to or smaller than

100 %;

Or. en

Justification

The criterion in point (a) is very problematic as a real economy originator will normally not

be able to detect the risk weight of his receivables under the Standardised Approach.

Therefore, a mandatory verification of the rating status for every single exposure in all

transactions cannot be delivered with reasonable effort by any of the parties involved in the

transaction.

What is more, it could preclude the securitisation of certain riskier corporate exposures,

including SME corporate exposures, as STS securitisation. Not allowing real economy

originators to securitise riskier exposures via a multi-seller ABCP programme would raise

the funding costs for these corporates. This can lead to higher prices for riskier customers of

these corporates. Moreover, it is likely to lead to a concentration of risky exposures on the

originators’ balance sheets. This can reduce the creditworthiness of the corporate seller and,

thus, increase its funding costs even further.

Also, the risk weight under the standardized approach is not an appropriate measure for the

risk of the underlying exposures that has to be borne by the sponsor (or the investor). In

multi-seller ABCP programmes receivables are regularly purchased by the conduit at a

discount. This discount does not only cover the expected losses of the purchased receivables.

For this reason, institutions that use the Internal Assessment Approach should be allowed to

refer to the risk weight of the liquidity facility as this risk weight reflects the true amount of

risk the sponsor is exposed to.

Amendment 87

Burkhard Balz




Article 243 – paragraph 1 – point b

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EN


(b) the aggregate exposure value of all

exposures to a single obligor at ABCP

programme level does not exceed 1% of

the aggregate exposure value of all

exposures within the ABCP programme at

the time the exposures were added to the

ABCP programme. For the purposes of

this calculation, loans or leases to a group

of connected clients as referred to in

Article 4(1) point (39) shall be considered

as exposures to a single obligor.

deleted

In the case of trade receivables, point (b)

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 in that case

the protection provider is an institution,

an insurance undertaking or a

reinsurance undertaking. For the

purposes of this subparagraph, only the

portion of the trade receivables remaining

after taking into account the effect of any

purchase price discount shall be used to

determine whether they are fully covered.

Or. en

Justification

Deleted for the purpose of paragraph 1, but reintroduced and amended for the purpose of

paragraph 1a (new)

Amendment 88





Article 243, paragraph 1, point b




deleted

PE587.498v05-00 34/107 AM\1103675EN.docx

EN







of connected clients as referred to in

Article 4(1) point (39) shall be considered

as exposures to a single obligor.







an insurance undertaking or a

reinsurance undertaking. For the




purchase price discount shall be used to

determine whether they are fully covered.

Or. it

Amendment 89

Othmar Karas



Commission Proposal COM (2015) 473 final 2015/0225 (COD)

Article 243 – paragraph 1 – point b – subparagraph 1








ABCP programme. For the purposes of this

calculation, loans or leases to a group of

connected clients as referred to in Article

4(1) point (39) shall be considered as

exposures to a single obligor.



programme level does not exceed 2 % of









AM\1103675EN.docx 35/107 PE587.498v05-00

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Or. en

Justification

The adjustment takes note of the different sizes of banks and the markets they are active in.

Since the securitisation market should be revived in the whole EU also smaller markets and

their composition have to be taken into consideration.

Amendment 90



























4(1) point (39), to the best knowledge of

the sponsor, shall be considered as


Or. en

Amendment 91

Sylvie Goulard, Michael Theurer, Petr Ježek








In the case of trade receivables, the first

subparagraph shall not apply where the

PE587.498v05-00 36/107 AM\1103675EN.docx

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the protection provider is an institution, an

insurance undertaking or a reinsurance

undertaking. For the purposes of this

subparagraph, only the portion of the trade

receivables remaining after taking into

account the effect of any purchase price

discount shall be used to determine

whether they are fully covered.

credit risk of those trade receivables is

fully covered by eligible credit protection

in accordance with Chapter 4, provided

that in that case the protection provider is

an institution, an insurance undertaking or

a reinsurance undertaking. For the




purchase price discount and

overcollateralisation shall be used to

determine whether they are fully covered

and whether the concentration limit is

met.

Or. en

Justification

In order for securitisation positions to benefit from STS risk weights under CRR, the

Commission has proposed, in article 243, additional criteria on the credit quality of

underlying exposures and concentration of the counterparties, not addressed in the STS

regulation. ABCP programmes however often include certain credit protection mechanisms

that should be taken into account such as overcollateralization, which reduces the risk for

ABCP investors. This amendment aims at reflecting the economic aspect of concentration and

credit risk protection by recognizing overcollateralization as a type of credit protection and

take it into account in the measurement of concentration (exposures contributing to

overcollateralization need not be subject to concentration limits).

Amendment 92





Article 243 – paragraph 1 – point b – subparagraph 2 a (new)


The same shall apply to securitised

residual leasing values that are not

exposed to refinancing or resell risk due

to an effective undertaking by a third

party to repurchase or refinance the

exposure at a certain amount.

AM\1103675EN.docx 37/107 PE587.498v05-00

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Or. en

Justification

The proposed 1% ceiling for the exposure to a single obligor at the programme level is not

viable for multi-seller ABCP programmes. As no common ID or unique labelling for obligors

over the various transactions exists, it is technically not possible for a sponsor bank to

aggregate obligors over all transactions. It is often not even possible to check if groups of

connected clients exist in one transaction. Thus, the requirement would have adverse effects

on the funding conditions of the respective manufacturers. Therefore, the aggregation of

obligors to groups of connected clients shall only have to be performed if the sponsor can

obtain the necessary information at a reasonable cost.

The exemption of trade receivables that are fully covered by an eligible credit protection

should be expanded to residual leasing values that are not exposed to refinancing or re-sell

risk due to an effective undertaking by a third party to repurchase or refinance the exposure

at a certain amount.

Amendment 93

Burkhard Balz




Article 243 – paragraph 1 a (new)


(1a) Programme-level positions in an

ABCP programme qualifying as positions

in an STS securitisation are eligible for

the treatment set out in Articles 260, 262

and 264 where the following requirements

are met:

(a) the aggregated funding amount of all

transactions within the ABCP programme

which do not comply with the

requirements in accordance with

paragraph 1 does not exceed 5% of the

total funding amount of the ABCP

programme;






PE587.498v05-00 38/107 AM\1103675EN.docx

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of connected clients as referred to in point

39 of Article 4(1) shall be considered as








an insurance undertaking or reinsurance

undertaking. For the purposes of this

subparagraph, only the portion of the

trade receivables remaining after taking

into account the effect of any purchase

price discount shall be used to determine

whether they are fully covered.

Or. en

Amendment 94

Jonás Fernández






(2) Positions in a securitisation other

than an ABCP programme shall qualify as

positions in an STS securitisation for the

purposes of Articles 260, 262 and 264

where the following requirements are met:

(2) Position in a traditional STS

securitisation shall qualify for

differentiated capital treatment referred to

in Articles 260 and 264 where the

following requirements are met:

Or. en

Amendment 95



AM\1103675EN.docx 39/107 PE587.498v05-00

EN



Article 243 – paragraph 2 – point a (a) (new)


(a a) the underlying exposures are

commercial loans, leasing and credit

facilities granted to small and medium-

sized enterprises (SMEs) for the financing

of expenditure in capital accounts or of

commercial activities;

Or. it

Amendment 96







(b) at the time of inclusion in the

securitisation, the aggregate exposure value

of all exposures to a single obligor in the

pool does not exceed 1% of the exposure

values of the aggregate outstanding

exposure values of the pool of underlying

exposures. For the purposes of this


connected clients, as referred to in point

(39) of Article 4(1), shall be considered as

exposures to a single obligor;

(b) at the time of inclusion in the

securitisation, the aggregate exposure value

of all exposures to a single obligor in the

pool does not exceed 2 % of the exposure

values of the aggregate outstanding

exposure values of the pool of underlying

exposures. For the purposes of this


connected clients, as referred to in point

(39) of Article 4(1), shall be considered as

exposures to a single obligor;

Or. en

Justification

To realise the full potential of STS an increase of the single obligor maximum exposure from

1% to 2% is deemed necessary in order to not prevent corporate loan transactions from being

STS-eligible and thus restrict the STS-applicable scope too much.

PE587.498v05-00 40/107 AM\1103675EN.docx

EN

Amendment 97

Michael Theurer, Petr Ježek, Sylvie Goulard




Article 243 – paragraph 2 – point c


(c) at the time of their inclusion in the

securitisation, the underlying exposures

meet the conditions for being assigned,

under the Standardised Approach and

taking into account any eligible credit risk

mitigation, a risk weight equal to or

smaller than:

deleted

(i) 40% on an exposure value-weighted

average basis for the portfolio where the

exposures are loans secured by residential

mortgages or fully guaranteed residential

loans, as referred to in paragraph 1(e) of

Article 129;

(ii) 50% on an individual exposure basis

where the exposure is a loan secured by a

commercial mortgage;

(iii) 75% on an individual exposure basis

where the exposure is a retail exposure;

(iv) for any other exposures, 100% on an

individual exposure basis;

Or. en

Justification

Part c requires a maximum risk weight of the underlying exposures under the Standardised

Approach for any other exposures, 100% on an individual exposure basis. This criterion is

very problematic and could preclude the securitisation of corporate exposures including SME

corporate exposures as STS securitisation and should not be adopted.

Amendment 98




AM\1103675EN.docx 41/107 PE587.498v05-00

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Article 243 – paragraph 2 – point e


(e) where point (c)(i) applies, no loan

in the pool of underlying exposures shall

have a loan-to-value ratio higher than

100%, measured in accordance with

paragraph 1(d)(i) of Article 129 and

paragraph 1 of Article 229.



have a loan-to-value ratio higher than 80%,

measured in accordance with paragraph

1(d)(i) of Article 129 and paragraph 1 of

Article 229.

Or. it

Amendment 99

Paul Tang








have a loan-to-value ratio higher than

100%, measured in accordance with

paragraph 1(d)(i) of Article 129 and

paragraph 1 of Article 229.



have a loan-to-value ratio higher than 105

%, measured in accordance with paragraph

1(d)(i) of Article 129 and paragraph 1 of

Article 229.

Or. en

Amendment 100

Jonás Fernández






(2a) Originators, sponsors and SSPE's

shall jointly notify ESMA that the STS

PE587.498v05-00 42/107 AM\1103675EN.docx

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securitisation meets the requirements of

Article 243(1) or 243(2). They shall also

inform their competent authority.

The originator, sponsor or SSPE shall

immediately notify ESMA and their

competent authority when an STS

securitisation no longer meets the

requirements of either Article 243(1) or

Article 243(2).

ESMA shall publish the STS

securitisations qualifying for

differentiated capital treatment on its

official website pursuant to paragraph 4

of Article 14 of Regulation (EU) .../...

[Securitisation Regulation]. ESMA shall

update the list where the STS

securitisations are no longer qualifying

for differentiated capital treatment

following a decision of competent

authorities or a notification by the

originator, sponsor or SSPE.

Or. en

Amendment 101




Regulation 575/2013



(a) the risk-weighted exposure amounts

of the mezzanine securitisation positions

held by the originator institution in the

securitisation do not exceed 50% of the

risk-weighted exposure amounts of all

mezzanine securitisation positions existing

in this securitisation;








Or. it

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Amendment 102

Jonás Fernández









securitisation do not exceed 50 % of the











Or. en

Amendment 103







(b) the originator does not hold more

than 20% of the exposure value of the first

loss tranche in the securitisation, provided

that the following conditions are met:

(b) the originator does not hold more

than 10% of the exposure value of the first

loss tranche in the securitisation, provided

that the following conditions are met:

Or. it

Amendment 104

Jonás Fernández





PE587.498v05-00 44/107 AM\1103675EN.docx

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(b) the originator institution does not

hold more than 20 % of the exposure value

of the first loss tranche in the

securitisation, provided that the following

conditions are met:



of the securitisation positions that would

be subject to a 1250 % risk weight,

provided that the following conditions are

met:

Or. en

Amendment 105

Jonás Fernández




Article 242 – paragraph 2 – point b – subpoint i


(i) the originator can demonstrate that

the exposure value of the first loss tranche

exceeds a reasoned estimate of the

expected loss on the underlying exposures

by a substantial margin;


the exposure value of the securitisation

positions that would be subject to a 1250

% risk weight exceeds a reasoned estimate

of the expected loss on the underlying

exposure by a substantial margin;

Or. en

Amendment 106





Article 244 – paragraph 2 – subparagraph 3 – introductory part


For the purposes of this paragraph, a

position in a securitisation shall be

considered a mezzanine securitisation

position where it meets the following

requirements:

For the purposes of paragraph 2, a

mezzanine securitisation position means

any position in the securitisation which

meets all of the following requirements:

AM\1103675EN.docx 45/107 PE587.498v05-00

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Or. en

Justification

The changed definition of mezzanine tranches would make it increasingly difficult for

originators to demonstrate Significant Risk Transfer (SRT), i.e. to claim RWA relief and

would thus not be helpful to promote STS. It is not clear why the definition of mezzanine

tranches should be changed, as

• there is no change on the Basel level in this respect,

• the definition that is included in the current CRR is adequate.

The changed definition of mezzanine tranche would no longer allow demonstrating SRT in

typical two tranche structures based on Article 243 (2) or Article 244 (2) as a first loss

tranche with a risk weight substantially below 1250% no longer qualifies as a mezzanine

tranche.

The change of the definition of these rather simple structures would result in having to claim

SRT based on a comprehensive review by the regulator. This would hinder the process and its

speed putting a strain on these types of structures.

Amendment 107





Article 244 – paragraph 2 – subparagraph 3 – point a


(a) it is subject to a risk weight lower

than 1,250% in accordance with this

Section or, in the absence of a position

with that risk weight, it is more senior

than the first loss tranche; and


than 1,250 % in accordance with

subsection 3 of section 3; and

Or. en

Amendment 108

Jonás Fernández



PE587.498v05-00 46/107 AM\1103675EN.docx

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Article 244 – paragraph 2 – subparagraph 3 – point a



than 1,250% in accordance with this

Section or, in the absence of a position

with that risk weight, it is more senior

than the first loss tranche; and


than 1,250 % in accordance with this

section,

Or. en

Amendment 109





Article 244 – paragraph 2 – subparagraph 3 – point b


(b) it is subordinated to the senior

securitisation position.

(b) it is more junior than the senior


Or. en

Amendment 110

Jonás Fernández




Article 244 – paragraph 2 – subparagraph 3 – point b


(b) it is subordinated to the senior


(b) it is more senior than the first loss

tranche and is subordinated to the senior


Or. en

AM\1103675EN.docx 47/107 PE587.498v05-00

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Amendment 111







(3) By derogation from paragraph 2,

competent authorities may allow

originator institutions to recognise

significant credit transfer in relation to a

securitisation where the originator

institution demonstrates in each case that

the reduction in own fund requirements

which the originator achieves by the

securitisation is justified by a

commensurate transfer of credit risk to

third parties. Permission may only be

granted if the institution meets the

following conditions:

deleted

(a) the institution has adequate internal

risk management policies and

methodologies to assess the transfer of

credit risk;

(b) the institution has also recognised the

transfer of credit risk to third parties in

each case for the purposes of the

institution's internal risk management

and its internal capital allocation.

Or. it

Amendment 112







(4) In addition to the requirements set deleted

PE587.498v05-00 48/107 AM\1103675EN.docx

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out in paragraphs 1 to 3, the following

conditions shall be met:

(a) the transaction documentation

reflects the economic substance of the

securitisation;

(b) the securitisation positions do not

constitute payment obligations of the

originator institution;

(c) the underlying exposures are

placed beyond the reach of the originator

institution and its creditors in a manner

that meets the requirement set out in

Article 6(2)(a) of the [Securitisation

Regulation];

(d) the originator institution does not

retain control over the underlying

exposures. It shall be considered that

control is retained over the underlying

exposures where the originator has the

right to repurchase from the transferee

the previously transferred exposures in

order to realise their benefits or if it is

otherwise required to re-assume

transferred risk. The originator

institution's retention of servicing rights

or obligations in respect of the underlying

exposures does not necessarily constitute

control of the exposures;

(e) the securitisation documentation

does not contain terms or conditions that:

i) require the originator institution to

alter the underlying exposures to improve

the average quality of the pool;

ii) increase the yield payable to

holders of positions or otherwise enhance

the positions in the securitisation in

response to a deterioration in the credit

quality of the underlying exposures;

(f) where applicable, the transaction

documentation makes it clear that the

originator or the sponsor may only

purchase or repurchase securitisation

positions or repurchase, restructure or

substitute the underlying exposures

beyond their contractual obligations

AM\1103675EN.docx 49/107 PE587.498v05-00

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where such arrangements are executed in

accordance with prevailing market

conditions and the parties to them act in

their own interest as free and independent

parties (arm's length);

(g) a clean-up call option shall also

meet the following conditions:

i) it can be exercised at the discretion

of the originator institution;

ii) it may only be exercised when 10%

or less of the original value of the

underlying exposures remains

unamortised;

iii) it is not structured to avoid

allocating losses to credit enhancement

positions or other positions held by

investors and is not otherwise structured

to provide credit enhancement;

(h) the originator institution has

received an opinion from a qualified legal

counsel confirming that the securitisation

complies with the conditions set out in

points (b) to (g) of this paragraph.

Or. it

Amendment 113

Jonás Fernández




Article 244 – paragraph 4 – point f


(f) where applicable the transaction







where such arrangements are executed in


(f) where applicable, the transaction

documentation makes it clear that any

future transaction, including, without

limitation, any amendments to the securitisation documentation and changes

to the coupon, yields or other features of

the securitisation exposures or positions,

entered into by the sponsor or originator

with respect to the securitisation shall not

PE587.498v05-00 50/107 AM\1103675EN.docx

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be entered into with a view to reducing the

potential or actual losses to investors as

specified in Article 250;

Or. en

Amendment 114

Jonás Fernández






(6) EBA shall monitor the range of

supervisory practices in relation to the

recognition of significant risk transfer in

traditional securitisations in accordance

with this Article and report its findings to

the Commission by 31 December 2017.

The Commission, where appropriate after

having taken into account the Report from

EBA, may adopt a Delegated Act to

specify further the following items:




traditional securitisations in accordance

with this Article. In addition, the EBA

shall review the following items:

(a) whether the conditions for derogation

and the additional requirements in

paragraph 4 are sufficiently specified;

(b) whether the assessment of credit risk

transfer pursuant to paragraph 2 is

adequate;

(c) the requirements for the competent

authorities' assessment of securitisation

transactions in relation to which the

originator seeks recognition of significant

credit risk transfer to third parties in

accordance with paragraphs 2 or 3.

The EBA shall report its findings in

relation to such monitoring and review to



having taken into account the Report from

the EBA, may adopt a Delegated Act to

specify further the items listed under

AM\1103675EN.docx 51/107 PE587.498v05-00

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points (a) to(c).

(a) the conditions for the transfer of

significant credit risk to third parties in

accordance with paragraphs 2, 3 and 4;

(b) the interpretation of

"commensurate transfer of credit risk to

third parties" for the purposes of the

competent authorities' assessment

provided for in the penultimate

subparagraph of paragraph 2 and

paragraph 3;







Or. en

Amendment 115





















Or. it

Amendment 116

Jonás Fernández


PE587.498v05-00 52/107 AM\1103675EN.docx

EN



















Or. en

Amendment 117

Jonás Fernández










conditions are met:



of the securitisation positions that would

be subject to a 1250 % risk weight provided that the following conditions are

met:


the exposure value of the first loss tranche

exceeds a reasoned estimate of the

expected loss on the underlying exposures

by a substantial margin;

(i) the originator can demonstrate that the

exposure value of the securitisation

positions that would be subject to a 1250

% risk weight first loss tranche exceeds a

reasoned estimate of the expected loss on

the underlying exposures by a substantial

margin;

Or. en

Amendment 118


AM\1103675EN.docx 53/107 PE587.498v05-00

EN







hold more than 20% of the exposure value



conditions are met:


hold more than 10% of the exposure value



conditions are met:

Or. it

Amendment 119

Jonás Fernández






(e) where applicable, the transaction







where such transactions are executed in





(e) where applicable, the transaction

documentation makes it clear that any

future transaction, including, without

limitation, any amendments to the securitisation documentation and any

changes to the coupon, yields or other

features of the securitisation positions,

entered into by the sponsor or originator

with respect to the securitisation will not

be entered into with a view to reducing the

potential or actual losses to investors as

specified in Article 250;

Or. en

Amendment 120

Jonás Fernández



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synthetic securitisations in accordance with

this Article and report its findings to the

Commission by 31 December 2017. The

Commission, where appropriate after

having taken into account the Report

from EBA, may adopt a Delegated Act to

specify further the following items:




synthetic securitisations in accordance with

this Article. In addition, the EBA shall

review the following items:

(-a) whether the assessment of credit risk

transfer pursuant to paragraph 2 is

adequate and if any changes are

necessary;







(aa) whether the conditions for derogation

and the additional requirements in

paragraph 4 are sufficiently specified;

(b) the interpretation of "commensurate

transfer of credit risk to third parties" for

the purposes of the competent authorities'

assessment provided for in the penultimate

subparagraph of paragraph 2 and paragraph

3;

(b) the interpretation of "commensurate

transfer of credit risk to third parties" for

the purposes of the competent authorities'

assessment provided for in the penultimate

last subparagraph of paragraph 2 and

paragraph 3;













The EBA shall report its findings in

relation to such monitoring and review to



having taken into account the Report

from the EBA, may adopt a Delegated Act

to specify further the items listed under

points (a) to (c).

AM\1103675EN.docx 55/107 PE587.498v05-00

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Or. en

Amendment 121





Article 250 – title



Implicit support Ban on implicit support

Or. it

Amendment 122

Jonás Fernández






(2) A transaction shall not be

considered as support for the purposes of

paragraph 1 where the transaction has been

duly taken into account in the assessment

of significant risk transfer and both parties

have executed the transaction acting in


parties (arm's length). For these purposes,

the institution shall undertake a full credit

review of the transaction and, at a

minimum, take into account all of the

following items:

(2) A transaction shall not be

considered to provide support for the

purposes of paragraph 1 where the

transaction does not invalidate the initial

assessment of significant risk transfer. For

these purposes, the institution shall

undertake a full credit review of the

transaction and, at a minimum, take into

account all of the following items:

Or. en

Amendment 123

PE587.498v05-00 56/107 AM\1103675EN.docx

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Jonás Fernández






(4) EBA shall, in accordance with

Article 16 of Regulation (EU) No

1093/2010, issue guidelines on what

constitutes "arm's length" for the

purposes of this Article and when a

transaction is not structured to provide

support.

(4) EBA shall, in accordance with


1093/2010, issue guidelines on when a

transaction is not structured to provide

support.

Or. en

Amendment 124

Molly Scott Cato







(1) Institutions shall use one of the

methods set out in Subsection 3 to

calculate risk-weighted exposure amounts

in relation to all the positions they hold in a

securitisation.

(1) Institutions shall use one of the

methods set out in Subsection 3 to


in relation to all the positions they hold in a

securitisation that is not an STS

securitisation.

Or. en

Amendment 125

Molly Scott Cato




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(1a) Institutions shall us the SEC-SA

method set out in Article 264 to calculate

risk-weighted exposure amounts in

relation to all the positions they hold in an

STS securitisation.

Or. en

Amendment 126




Regulation 575/2013

Article 254 – Paragraph 2 – point a


(a) an institution shall use the Internal

Ratings-Based Approach (SEC-IRBA)

where the conditions set out in Article 258

are met;

(a) an institution shall use the


(SEC-SA) in accordance with Articles 263

and 264;

Or. en

Justification

The flaws of internal models are well known and have yet to be addressed: we have seen that

banks can manipulate risk weights and that different banks can give very different risk

weights to similar assets. We have also seen with the crisis that relying on external rating

agencies is not desirable and the EC even recognised the need to reduce the reliance on

external ratings in regulation. We therefore believe that the standardised approach should

come first in the hierarchy.

Amendment 127




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Regulation 575/2013



(b) where the SEC-IRBA may not be

used, institutions shall use the


Approach (SEC-ERBA) for rated positions

or positions in respect of which an inferred

rating may be used in accordance with

Articles 261 and 262;

(b) where the SEC-SA may not be







Or. en

Amendment 128

Eva Kaili








Securitisation External Ratings-Based Approach (SEC-ERBA) for rated

positions or positions in respect of which

an inferred rating may be used in

accordance with Articles 261 and 262;


used, the standard approach (SEC-SA)

shall be used in accordance with articles

263 and 264;

Or. en

Justification

Reliance to rating agencies should be limited for the securitization products both for STS and

non-STS. Otherwise Member States which have been hit severely by the financial crisis and

their sovereign ratings are low, are disadvantaged in the sense that the use of ERBA in such

Member States could result in higher capital charges than the SA.

Amendment 129

Paul Tang

AM\1103675EN.docx 59/107 PE587.498v05-00

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(SEC-SA) for rated positions or positions

in respect of which an inferred rating may

be used in accordance with Articles 263

and 264;

Or. en

Amendment 130

Jonás Fernández









Approach (SEC-ERBA) for rated



accordance with Articles 261 and 262;


used, institutions may use the SEC-SA in

accordance with Articles 263 and 264 and

shall promptly notify the competent

authority. Institutions should also disclose

the capital requirements that would have

been estimated under the SEC-ERBA in

accordance with Articles 261 and 262. The

competent authority may enforce

application of the SEC-ERBA on the

basis of risk exposure.

Or. es

Amendment 131

Jonás Fernández

PE587.498v05-00 60/107 AM\1103675EN.docx

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(c) where the SEC-ERBA may not be




and 264.

deleted

Or. es

Amendment 132

Eva Kaili










and 264.

deleted

Or. en

Justification

For reasons explained above we support the view that for all STS and non STS securitizations

only SEC-IRBA and SEC-SA should be applied.

Amendment 133




Regulation 575/2013

AM\1103675EN.docx 61/107 PE587.498v05-00

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and 264.

deleted

Or. en

Amendment 134

Paul Tang










and 264.

(c) where the Securitisation

Standardised Approach (SEC-SA) may

not be used, institutions shall use the


Approach (SEC-ERBA) for rated



accordance with Articles 261 and 262.

Or. en

Amendment 135

Jonás Fernández






(3) By derogation from paragraph

2(b), institutions may use the SEC-SA

deleted

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instead of the SEC-ERBA in relation to

all the positions they hold in a

securitisation where the risk-weighted

exposure amounts resulting from the

application of the SEC-ERBA is not

commensurate to the credit risk embedded

in the exposures underlying the

securitisation. Where the institution has

decided to apply the SEC-SA in

accordance with this paragraph, it shall

promptly notify the competent authority.

Where an institution has applied the SEC-

SA in accordance with this paragraph, the

competent authority may require the

institution to apply a different method.

Or. es

Amendment 136

Eva Kaili























deleted

Or. en

AM\1103675EN.docx 63/107 PE587.498v05-00

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Amendment 137




Regulation 575/2013




















deleted

Or. en

Amendment 138







(3) By derogation from paragraph 2(b),

institutions may use the SEC-SA instead of

the SEC-ERBA in relation to all the

positions they hold in a securitisation

where the risk-weighted exposure amounts


point (b), institutions may use the SEC-SA

instead of the SEC-ERBA for

securitisation positions that fulfil all of

the following conditions:

PE587.498v05-00 64/107 AM\1103675EN.docx

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resulting from the application of the SEC-

ERBA is not commensurate to the credit

risk embedded in the exposures underlying

the securitisation. Where the institution has








(a) they are STS securitisation positions;

(b) the securitisation position is neither

the first loss tranche nor a mezzanine

securitisation position as defined in

Article 244(2), provided that, for those

purposes, the requirement for a risk

weight of 25 % or lower shall be

calculated in accordance with the SEC-

SA;

(c) the risk-weighted exposure amounts

resulting from the application of the SEC-

ERBA in relation to that position is not



securitisation. For the purpose of this

point, "not commensurate" shall mean

that the application of the SEC-ERBA

leads to risk-weighted exposure amounts

in excess of 25 % relative to SEC-SA.

Where the institution has decided to apply

the SEC-SA in accordance with this

paragraph, it shall notify the competent

authority without undue delay. Upon

receipt of the notification, the competent

authority can require the institution to

apply the SEC-ERBA, in which case it

shall notify its decision to the institution

within three months of receipt of the

notification.

Or. en

Justification

To take out SEC-ERBA threatens financial stability and the financing of the real economy.

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SEC-ERBA is the most risk-sensitive approach that considers all relevant securitisation

related risk drivers. In comparison, SEC-SA is a pure formulaic approach that is the least

differentiated approach in terms of credit risk and that does also ignore the individual

existence and relevance of certain risks typically associated with securitisation transactions

such as risks arising from regional or sectoral concentration, tax risk, counterparty risk,

interest rate risk. SEC-SA leads to “wrong” capital requirements and encourages critical

securitisation (and lending) practices. These shortcomings lead to wrong incentives,

endangering both financial stability and the restart of high quality securitisation markets.

Furthermore there would be dramatic consequences for the existing and well-functioning

ABCP market and thus for the financing of the real economy, especially SME. ABCP

programmes will need to be fully supported by a bank to qualify as STS. The determination of

the capital requirements for this support is currently in most cases based on the Internal

Assessment Approach (IAA) according to which the rating derived with the IAA has to be

considered like an eligible ECAI credit assessment for the purposes of determining capital

requirements based on the SEC-ERBA table of risk weights. A switch to the SEC-SA would -

contradictory to the real risks - dramatically increase capital risk weights for liquidity

facilities to which the IAA could no longer be applied as well as for ABCPs to which the SEC-

ERBA could no longer be applied rendering STS ABCP programmes unviable. For ABS a

deletion of SEC-ERBA would lead to similar effects, which are inconsistent with regard to the

inherent risks and would threaten the financing of the real economy.

Amendment 139

Peter Simon






(3a) To determine the risk weights of

securitisation positions, institutes which

use the SEC-ERBA approach should

apply the ratings from every Country

Rating Cap to European securitisations

and to European counterparties involved

in such securitisation structures.

Or. de

Amendment 140

Jonás Fernández



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(5) For a position in a re-

securitisation, institutions shall apply the

SEC-SA in accordance with Article 263,

with the modifications set out in Article

269.

deleted

Or. es

Amendment 141

Paul Tang









with the modifications set out in Article

269.

deleted

Or. en

Amendment 142

Jonás Fernández






(7) The competent authorities shall

inform EBA of any notifications received

and decisions made in accordance with

paragraph 3. EBA shall monitor the range

(7) The competent authorities shall

inform EBA of any notifications and

decisions made in accordance with

paragraph 2(b). EBA shall monitor the

AM\1103675EN.docx 67/107 PE587.498v05-00

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of practices in connection with paragraph 3

and issue guidelines in accordance with


1093/2010.

range of practices in connection with

paragraph 2(b) and issue guidelines in

accordance with Article 16 of Regulation

(EU) No 1093/2010.

Or. es

Amendment 143




Regulation 575/2013

Article 254 a (new)


Article 254 a

Application of the standardised approach

for STS securitisations

(1) Institutions shall use the

standardised approach for STS

securitisations (SEC-SA) under Article

264 to calculate the risk-weighted

exposure amounts in relation to the

positions in an STS securitisation.

(2) Institutions may not use the

Internal Ratings-Based Approach (SEC-

IRBA) or the External Ratings-Based

Approach (SEC-ERBA) for STS

securitisation.

Or. it

Amendment 144

Sander Loones




Article 254 a (new)


PE587.498v05-00 68/107 AM\1103675EN.docx

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Article 254 a

Hierarchy of methods for STS

securitisations and STS ABCPs

Institutions shall apply one of the

methods set out in subsection 3 to


in relation to securitisation positions in

STS securitisations and STS ABCP

programmes and transactions in

accordance with the following hierarchy:

(a) where the conditions set out in Article

258 are met, an institution shall use the

Securitisation Internal Ratings-Based

Approach (SEC-IRBA) in accordance

with Article 260;

(b) where the SEC-IRBA may not be used,

institutions shall use the Securitisation

Standardised Approach (SEC-SA) in

accordance with Article 264 where the

conditions set out in Article 258a are met;

(c) in all other cases, a risk weight of

1,250 % shall be assigned to securitisation

positions.

Or. en

Justification

The restrictions on relying on external ratings under Section 939A of the Dodd-Frank Act

have amongst its consequences that the external ratings based approach is not available for

US securitisations. To put the EU and the US on a more equal footing, it is appropriate to

eliminate the SEC-ERBA from the hierarchy of approaches for STS securitisation.

Amendment 145

Verónica Lope Fontagné




Article 254 a (new)


Article 254 a

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For securitisation positions in STS

securitisations and STS ABCP

programmes and transactions the

methods set out in subsection 3 of this

section shall be applied in accordance

with the following hierarchy:



Securitisation Internal Ratings-Based

Approach (SEC-IRBA) in accordance

with Article 260;

(b) where the SEC-IRBA may not be used,

institutions shall use the Securitisation

Standardised Approach (SEC-SA) in

accordance with Article 264 where the

conditions set out in Article 258a are met;



positions.

Or. en

Amendment 146

Jonás Fernández




Article 254 a (new)


Article 254 a



For securitisation positions in STS

securitisations and STS ABCP

programmes and transactions the

methods set out in Subsection 3 shall be

applied in accordance with the following

hierarchy:

PE587.498v05-00 70/107 AM\1103675EN.docx

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Internal Ratings-Based Approach (SEC-

IRBA) in accordance with Article 260;

(b) where the SEC-IRBA may not be used

and where the conditions set out in Article

258a are met, institutions shall use the


(SEC-SA) in accordance with Articles

264;



positions.

Or. en

Amendment 147

Syed Kamall






(8a) EBA shall develop draft regulatory

standards to specify in greater detail the

conditions to allow institutions to

calculate KIRB for the underlying pools of

securitisation in accordance with

paragraph 4, in particular with regard to:

(a) internal credit policy and models for

calculating KIRB for securitisations;

(b) use of different risk factors on the

underlying pool to estimate PD and LGD;

and

(c) use of proxy data; and

(d) due diligence requirements to monitor

the actions and policies of receivables

sellers.

EBA shall submit those draft regulatory

standards to the Commission by one year

AM\1103675EN.docx 71/107 PE587.498v05-00

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after entry into force of this Regulation.

Power is delegated to the Commission to

adopt the regulatory technical standards

referred to this paragraph in accordance

with the procedure laid down in Articles

10 to 14 of Regulation (EU) No

1095/2010.

Or. en

Justification

This provision aims to broaden the use and application of the IRBA approach, noting that the

use of proxy data is a component of this. This change gives a mandate to the EBA to develop

clear regulatory standards to specify the conditions that govern the calculation of KIRB.

Amendment 148

Syed Kamall







institutions shall only use the final legal

maturity of the tranche to determine its

maturity (MT) in accordance with point

(b) of paragraph 1 where the contractual

payments due under the tranche are

conditional or dependent upon the actual

performance of the underlying exposures.

deleted

Or. en

Justification

The varying lengths of Member States' judicial processes cannot always be considered

appropriate features in a risk model calculation. In instances, the use of final legal tranche

maturity may lead to distorted and adverse results for the assessment of risk in securitisation

tranches.

PE587.498v05-00 72/107 AM\1103675EN.docx

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Amendment 149










maturity (MT) in accordance with point

(b) of paragraph 1 where the contractual




deleted

Or. en

Justification

It is the essence of securitisation tranches that they are conditional with regard to the rank in

the payment stream (waterfall) and dependent upon the actual performance of the underlying

exposures. Thus, the tranche maturity would have to be calculated in all cases on the basis of

the final legal maturity, which would be overly conservative and not justified from a risk

perspective.

Amendment 150

Brian Hayes









maturity (MT) in accordance with point (b)

of paragraph 1 where the contractual



(2) Institutions may use the final legal


maturity (MT) in accordance with point (b)

of paragraph 1 where the contractual




AM\1103675EN.docx 73/107 PE587.498v05-00

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Or. en

Justification

The use of the final legal maturity shall be used in cases where the contractual payments due

under the tranche are conditional or dependent upon the actual performance of the

underlying exposures. This provision solely relates to securitisation tranches and does not

apply to similar conditional pass through fixed income instruments. A more appropriate and

reliable indicator is that of the Weighted Average Life (WAL) maturity which takes into

account all contractual payments (principal, interests and fees) owed by the borrower and

better reflects the risk profile for the tranche flows.

Amendment 151







(4) Where an institution may become

exposed to potential losses from the

underlying exposures by virtue of contract,

the institution shall determine the maturity

of the securitisation position by taking into

account the longest maturity of such

underlying exposures. For revolving

exposures, the longest contractually

possible remaining maturity of the

exposure that might be added during the

revolving period shall apply.

(4) Where an institution may become

exposed to potential losses from the

underlying exposures by virtue of contract,

the institution shall determine the maturity

of the securitisation position by taking into

account the weighted–average maturity of

such underlying exposures. The same shall

apply for securitisations of revolving

exposures with an early amortisation

trigger according to Article 12(6) of

Regulation (EU) .../... (STS Regulation).

For other revolving exposures, the longest

contractually possible remaining maturity

of the exposure that might be added during

the revolving period shall apply.

Or. en

Justification

As the pool of the underlying exposures of a securitisation amortises, the longest maturity of

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the underlying exposures would overestimate the time period that the institution is exposed to

the risk of the securitised exposures. It is, therefore, justified from a risk perspective to use,

for a static pool, a weighted‐average of the maturities of the underlying exposures.

The same treatment should apply to the securitisation of a revolving pool with an early

amortisation trigger. This trigger, which is mandatory for STS ABCP (Article 12 Paragraph 6

STS‐Regulation), terminates the revolving period if the credit quality of the underlying

exposures deteriorates below a pre‐determined threshold. In such a case no new assets would

be purchased. Thereby, with an effective early amortization trigger the provider of the

liquidity facility for a revolving pool would be in the same position as the liquidity provider to

a static pool. For this reason, the weighted‐average maturity of the underlying exposure

should be applied to these transactions too.

Amendment 152

Jonás Fernández






(a) the position is backed by an IRB

pool or a mixed pool, provided that, in the

latter case, the institution is able to

calculate KIRB in accordance with Section

3 on at a minimum of 95% of the

underlying risk-weighted exposure

amount;

(a) the position is backed by an IRB

pool or a mixed pool, provided that, in the

latter case, the institution is able to

calculate KIRB in accordance with Section

3 on a minimum of 97% of the underlying

exposure amount.

Or. en

Amendment 153

Brian Hayes






(b) there is sufficient information

publicly available in relation to the

(b) there is sufficient public or private

information available in relation to the

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underlying exposures of the securitisation

for the institution to be able to calculate

KIRB; and

underlying exposures of the securitisation

for the institution to be able to calculate

KIRB; and

Or. en

Amendment 154

Jonás Fernández




Article 258 a (new)


Article 258 a

Discretion to preclude the use of the

Standardised Approach (SEC-SA)

1. Competent authorities may

preclude, on a case-by-case basis, the use

of the SEC-SA where securitisations have

highly complex or risky features, or the

repayment of the relevant securitisation

positions are highly dependent on risk

drivers not sufficient reflected in KA, such

as securitisations that have the features

specified in Article 258(2)(a) to (d).

2. In the case of STS securitisations

where an ECAI credit assessment is

available, if competent authorities assess

that the conditions referred to in

paragraph 1 also apply, they may impose,

on a case-by-case basis, a risk weight

equal to 75% of the risk weights in Table

1 or 2, as applicable, or 1,250%. For this

purpose, competent authorities may

impose the risk weights pursuant to the

first sentence for first loss tranches and

mezzanine positions as defined in Article

243(2), when the risk weights produced by

SEC-SA are at least 25 % lower than the

risk weights produced by either Table 1 or

Table 2, as applicable.

3. For exposures with short-term

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credit assessments or where a rating

based on a short-term credit assessment

may be inferred in accordance with

Article 261(7), for the purposes of

paragraph 2 the following risk weights

shall apply:

Or. en

Amendment 155

Othmar Karas




Article 259 – paragraph 1 – introductory part


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, in all cases subject to a floor of

15%:








10%:

Or. en

Justification

Since the proposed risk weights are significantly higher than the current CRR risk weights,

their introduction would substantially reduce the incentives for banks to participate in

securitisations. Furthermore would their application be counterproductive to a level-playing

field of the different financial instruments, such as covered bonds. Given that the new STS

criteria will ensure higher quality transactions, the risk weights of STS transactions should be

at least the same as currently applied

Amendment 156

Paul Tang



AM\1103675EN.docx 77/107 PE587.498v05-00

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15%:








17%:

Or. en

Amendment 157





Article 260


Article 260 deleted

Treatment of STS securitisations under

the SEC-IRBA

Under the SEC-IRBA, the risk weight for

position in an STS securitisation shall be

calculated in accordance with Article 259,

subject to the following modifications:

risk weight floor for senior securitisation

positions = 10%

p = max [0.3; 0.5ˑ (A + Bˑ(1/N) + Cˑ

KIRB + D*LGD + EˑMT)]

Or. it

Amendment 158

Molly Scott Cato


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Article 260


Article 260 deleted


the SEC-IRBA

Under the SEC-IRBA, the risk weight for



subject to the following modifications:


positions = 10%

p = max [0.3; 0.5ˑ (A + Bˑ(1/N) + Cˑ

KIRB + D*LGD + EˑMT)]

Or. en

Justification

For simple, transparent and standardised securitisations, standardised risk weights are

warranted and avoid arbitrage between calculation methods.

Amendment 159




Regulation 575/2013




positions = 10


positions = 20%

Or. en

Amendment 160

AM\1103675EN.docx 79/107 PE587.498v05-00

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Paul Tang







positions = 10%


positions = 13%

Or. en

Amendment 161

Othmar Karas







positions = 10


positions = 7%

Or. en

Justification







Amendment 162

Paul Tang




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Article 261 – Table 1

Text proposed by the Commission

Table 1

Credit

Quality Step

1 2 3 All other

ratings

Risk Weight 10% 35% 70% 1,250%

Amendment

Table 1

Credit Quality

Step

1 2 3 All other

ratings

Risk Weight 17% 35% 70% 1,250%

Or. en

Amendment 163

Paul Tang




Article 261 - Table 2


Table 2

Credit Quality Step Senior Tranche Non-senior (thin) tranche

Tranche maturity (Mt) Tranche maturity (Mt)

1 year 5 years 1 year 5 years

1 15% 20% 15% 70%

2 15% 30% 15% 90%

3 25% 40% 30% 120%

4 30% 45% 40% 140%

5 40% 50% 60% 160%

6 50% 65% 80% 180%

7 60% 70% 120% 210%

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8 75% 90% 170% 260%

9 90% 105% 220% 310%

10 120% 140% 330% 420%

11 140% 160% 470% 580%

12 160% 180% 620% 760%

13 200% 225% 750% 860%

14 250% 280% 900% 950%

15 310% 340% 1050% 1050%

16 380% 420% 1130% 1130%

17 460% 505% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Amendment

Table 2

Credit Quality Step Senior Tranche Non-senior (thin) tranche

Tranche maturity (Mt) Tranche maturity (Mt)


1 17% 20% 17% 70%

2 15% 30% 15% 90%

3 25% 40% 30% 120%

4 30% 45% 40% 140%

5 40% 50% 60% 160%

6 50% 65% 80% 180%

7 60% 70% 120% 210%

8 75% 90% 170% 260%

9 90% 105% 220% 310%

10 120% 140% 330% 420%

11 140% 160% 470% 580%

12 160% 180% 620% 760%

13 200% 225% 750% 860%

14 250% 280% 900% 950%

15 310% 340% 1050% 1050%

16 380% 420% 1130% 1130%

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17 460% 505% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Or. en

Amendment 164

Paul Tang






(6) The risk weight for non-senior

tranches resulting from paragraphs 3 to 5

shall be subject to a floor of 15%. In

addition, the resulting risk weight shall be

no lower than the risk weight

corresponding to a hypothetical senior

tranche of the same securitisation with the

same credit assessment and maturity.

(6) The risk weight for non-senior

tranches resulting from paragraphs 3 to 5

shall be subject to a floor of 17%. In

addition, the resulting risk weight shall be

no lower than the risk weight

corresponding to a hypothetical senior

tranche of the same securitisation with the

same credit assessment and maturity.

Or. en

Amendment 165

Molly Scott Cato





Article 262


Article 262

Treatment of STS securitisations under SEC-ERBA

(1) Under the SEC-ERBA, the risk weight for a position in an STS securitisation shall

be calculated in accordance with Article 261, subject to the modifications laid down in this

Article.

(2) For exposures with short-term credit assessments or when a rating based on a

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short- term credit assessment may be inferred in accordance with Article 261(7), the

following risk weights shall apply:

Table 3

Credit Quality Step 1 2 3 All other ratings

Risk weight 10% 35% 70% 1,250%

(3) For exposures with long-term credit assessments or when a rating based on a

long- term credit assessment may be inferred in accordance with Article 261(7), risk

weights shall be determined in accordance with Table 4, adjusted for tranche

maturity (MT) in accordance with Article 257 and Article 261(4) and for tranche thickness

for non-senior tranches in accordance with Article 261(5):

Table 4

Credit Quality

Step Senior tranche Non-senior (thin) tranche

Tranche maturity (MT) Tranche maturity (MT)


1 10% 15% 15% 50%

2 10% 20% 15% 55%

3 15% 25% 20% 75%

4 20% 30% 25% 90%

5 25% 35% 40% 105%

6 35% 45% 55% 120%

7 40% 45% 80% 140%

8 55% 65% 120% 185%

9 65% 75% 155% 220%

10 85% 100% 235% 300%

11 105% 120% 355% 440%

12 120% 135% 470% 580%

13 150% 170% 570% 650%

14 210% 235% 755% 800%

15 260% 285% 880% 880%

16 320% 355% 950% 950%

17 395% 430% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Amendment

deleted

Or. en

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Justification

For simple, transparent and standardised securitisations, standardised risk weights are

warranted and avoid arbitrage between calculation methods.

Amendment 166

Jonás Fernández




Article 262


Article 262




Article.

(2) For exposures with short-term credit assessments or when a rating based on a

short- term credit assessment may be inferred in accordance with Article 261(7), the

following risk weights shall apply:

Table 3


Risk weight 10% 35% 70% 1,250%

(3) For exposures with long-term credit assessments or when a rating based on a

long- term credit assessment may be inferred in accordance with Article 261(7), risk

weights shall be determined in accordance with Table 4, adjusted for tranche maturity

(MT) in accordance with Article 257 and Article 261(4) and for tranche thickness for non-

senior tranches in accordance with Article 261(5):

Table 4

Credit Quality

Step Senior tranche Non-senior (thin) tranche



1 10% 15% 15% 50%

2 10% 20% 15% 55%

3 15% 25% 20% 75%

4 20% 30% 25% 90%

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5 25% 35% 40% 105%

6 35% 45% 55% 120%

7 40% 45% 80% 140%

8 55% 65% 120% 185%

9 65% 75% 155% 220%

10 85% 100% 235% 300%

11 105% 120% 355% 440%

12 120% 135% 470% 580%

13 150% 170% 570% 650%

14 210% 235% 755% 800%

15 260% 285% 880% 880%

16 320% 355% 950% 950%

17 395% 430% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Amendment

deleted

Or. en

Amendment 167





Article 262


Article 262




Article.

(2) For exposures with short-term credit assessments or when a rating based on a short-

term credit assessment may be inferred in accordance with Article 261(7), the following risk

weights shall apply:

Table 3


Risk Weight 10% 35% 70% 1.250%

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(3) For exposures with long-term credit assessments or when a rating based on a long-

term credit assessment may be inferred in accordance with Article 261(7), risk weights shall

be determined in accordance with Table 4, adjusted for tranche maturity (MT) in

accordance with Article 257 and Article 261(4) and for tranche thickness for non-senior

tranches in accordance with Article 261(5):

Table 4

Credit Quality

Step

Senior tranche Non-senior (thin) tranche


≤ 1 year ≤ 5 years ≤ 1 year ≤ 5

years

1 10% 15% 15% 50%

2 10% 20% 15% 55%

3 15% 25% 20% 75%

4 20% 30% 25% 90%

5 25% 35% 40% 105%

6 35% 45% 55% 120%

7 40% 45% 80% 140%

8 55% 65% 120% 185%

9 65% 75% 155% 220%

10 85% 100% 235% 300%

11 105% 120% 355% 440%

12 120% 135% 470% 580%

13 150% 170% 570% 650%

14 210% 235% 755% 800%

15 260% 285% 880% 880%

16 320% 355% 950% 950%

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17 395% 430% 1.250% 1.250%

All other 1.250% 1.250% 1.250% 1.250%

Amendment

deleted

Or. it

Amendment 168

Paul Tang




Article 262 – table 3


Table 3


Risk weight 10% 35% 70% 1,250%

Amendment

Table 3


Risk weight 13% 35% 70% 1,250%

Or. en

Amendment 169

Brian Hayes






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Table 4

Credit Quality Step Senior tranche Non-senior (thin) tranche



1 10% 15% 15 % 50%

2 10% 20% 15% 55%

3 15% 25% 20% 75%

4 20% 30% 25% 90%

5 25% 35% 40% 105%

6 35% 45% 55% 120%

7 40% 45% 80% 140%

8 55% 65% 120% 185%

9 65% 75% 155% 220%

10 85% 100% 235% 300%

11 105% 120% 355% 440%

12 120% 135% 470% 580%

13 150% 170% 570% 650%

14 210% 235% 755% 800%

15 260% 285% 880% 880%

16 320% 355% 950% 950%

17 395% 430% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Amendment

Table 4




1 10% 10% 15% 50%

2 12% 12% 15% 55%

3 15% 15% 20% 75%

4 20% 20% 25% 90%

5 25% 25% 40% 105%

6 35% 35% 55% 120%

7 40% 45% 80% 140%

8 55% 65% 120% 185%

9 65% 75% 155% 220%

10 85% 100% 235% 300%

11 105% 120% 355% 440%

12 120% 135% 470% 580%

13 150% 170% 570% 650%

14 210% 235% 755% 800%

15 260% 285% 880% 880%

16 320% 355% 950% 950%

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17 395% 430% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Or. en

Justification

It is very relevant to reflect on the BCBS updated framework for the regulatory capital

treatment of securitisation released recently proposes lowering the risk weights applicable to

senior tranches of bonds that qualify for the Basel’s simple, transparent and comparable

(STC) criteria to 10% from 15%. Therefore it makes sense to propose a reduction in the

proposed risk weight floor which will look to closer align the credit risk with the risk weigh

assigned to it.

Amendment 170

Paul Tang






Table 4




1 10% 15% 15 % 50%

2 10% 20% 15% 55%

3 15% 25% 20% 75%

4 20% 30% 25% 90%

5 25% 35% 40% 105%

6 35% 45% 55% 120%

7 40% 45% 80% 140%

8 55% 65% 120% 185%

9 65% 75% 155% 220%

10 85% 100% 235% 300%

11 105% 120% 355% 440%

12 120% 135% 470% 580%

13 150% 170% 570% 650%

14 210% 235% 755% 800%

15 260% 285% 880% 880%

16 320% 355% 950% 950%

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17 395% 430% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Amendment

Table 4




1 13% 15% 13% 50%

2 10% 20% 15% 55%

3 15% 25% 20% 75%

4 20% 30% 25% 90%

5 25% 35% 40% 105%

6 35% 45% 55% 120%

7 40% 45% 80% 140%

8 55% 65% 120% 185%

9 65% 75% 155% 220%

10 85% 100% 235% 300%

11 105% 120% 355% 440%

12 120% 135% 470% 580%

13 150% 170% 570% 650%

14 210% 235% 755% 800%

15 260% 285% 880% 880%

16 320% 355% 950% 950%

17 395% 430% 1,250% 1,250%

All other 1,250% 1,250% 1,250% 1,250%

Or. en

Amendment 171

Othmar Karas






Under the SEC-SA, the risk weighted

exposure amount for a position in a

securitisation shall be calculated by

multiplying the exposure value of the





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position as calculated in accordance with

Article 248 by the applicable risk weight

determined as follows, in all cases subject

to a floor of 15%:




to a floor of 10 %:

Or. en

Justification







Amendment 172

Paul Tang













to a floor of 15%:








to a floor of 17 %:

Or. en

Amendment 173

Paul Tang




Article 263 – paragraph 1 – subpoint 3 – line 7

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p = 1 for a securitisation exposure that is

not a re-securitisation exposure

p = 1 for a securitisation exposure

Or. en

Amendment 174

Molly Scott Cato





Article 264 – Title




SEC-SA

Treatment of STS securitisations

Or. en

Amendment 175

Molly Scott Cato







Under the SEC-SA the risk weight for a



subject to the following modifications

The risk weight for a position in an STS

securitisation shall be calculated in

accordance with Article 263, subject to the

following modifications

Or. en

AM\1103675EN.docx 93/107 PE587.498v05-00

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Amendment 176

Molly Scott Cato








positions = 10 The risk weight shall be multiplied by 1,5

where the originator of the underlying

exposures is a credit institution.

The risk weight floor for senior

securitisation positions shall be:

- 15%, where the originator of the

underlying exposures is an institution

- 10%, in all other cases

Or. en

Justification

In order to encourage risk originated by banks to be spread through STS securitisation to a

non-bank investor base a higher risk weight for bank investments in bank originated STS is

proposed

Amendment 177




Regulation 575/2013




positions = 10%


positions = 20 %

Or. en

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EN

Amendment 178




Regulation 575/2013




positions = 10%


positions = 15%

Or. it

Amendment 179

Paul Tang







positions = 10%


positions = 13 %

Or. en

Amendment 180

Othmar Karas






Risk weight floor for senior securitisation

positions = 10%


positions = 7 %

Or. en

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Justification







Amendment 181

Paul Tang






p = 0,5 p = 1

Or. en

Amendment 182

Jonás Fernández






(2) The competent authorities may

grant institutions permission to use the

IAA within a clearly defined scope of

application where all of the following

conditions are met:

(2) The competent authorities may

grant institutions permission to use the

IAA within a clearly defined scope of

application where all of the following

conditions are met:

(a) all positions in the commercial

paper issued from the ABCP programme

are rated positions;

(a) the institution is authorised to use

the IRB approach for at least some of the

underlying exposures;

(b) the commercial paper issued from

the ABCP programme is rated.

PE587.498v05-00 96/107 AM\1103675EN.docx

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Or. en

Amendment 183

Paul Tang




Article 269


Article 269 deleted

Re-securitisations




with the following changes:

(a) W = 0 for any exposure to a

securitisation tranche within the

underlying pool pf exposures;

(b) p = 1.5;

(c) the resulting risk weight shall be

subject to a floor risk weight of 100%.

(2) KSA for the underlying

securitisation exposures shall be

calculated in accordance with Subsection

2.

(3) The maximum capital

requirements set out in Sub-Section 4

shall not be applied to re-securitisation

positions.

(4) Where the pool of underlying

exposures consists in a mix of

securitisation tranches and other types of

assets, the KA parameter shall be

determined as the nominal exposure

weighted-average of the KA calculated

individually for each subset of exposures.

Or. en

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Amendment 184

Jonás Fernández




Article 269


Article 269 Deleted

Re-securitisations







underlying pool pf exposures;

(b) p = 1.5;






2.


requirements set out in Sub-Section 4

shall not be applied to re-securitisation

positions.








Or. en

Amendment 185


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Regulation 575/2013

Article 269


Article 269 deleted

Re-securitisations







underlying pool of exposures;

(b) p = 1.5;






2.


requirements set out in Subsection 4 shall

not be applied to re-securitisation

positions.








Or. it

Amendment 186





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Article 269



Re-securitisations Ban on re-securitisation

Securitisation transactions shall not have

other securitisation positions as

underlying exposures.







underlying pool of exposures;

(b) p = 1.5;






2.


requirements set out in Subsection 4 shall

not be applied to re-securitisation

positions.








Or. it

Amendment 187

Molly Scott Cato




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Article 270


Article 270 deleted

Senior positions in SME securitisations

An originator institution may calculate

the risk-weighted exposure amounts in

respect of a securitisation position in

accordance with Articles 260, 262 or 264,

as applicable, where the following

conditions are met:

(a) the securitisation meets the

requirements set out in Article 6(2) of the

[Securitisation Regulation], other than

point (a) of that paragraph;

(b) the position qualifies as the senior

securitisation position;

(c) the securitisation is backed by a pool

of exposures to undertakings, provided

that at least 80% of those in terms of

portfolio balance qualify as SMEs as

defined in Art 501 at the time of issuance

of the securitisation;

(d) the credit risk associated with the

positions not retained by the originator

institution is transferred through a

guarantee or a counter-guarantee

meeting the requirements for unfunded

credit protection set out in Chapter 4 for

the Standardised Approach to credit risk;

(e) the guarantor or counter-guarantor,

as applicable, is the central government or

the central bank of a Member State, a

multilateral development bank or an

international organisation, provided that

the exposures to the guarantor or

counter-guarantor qualify for a 0% risk

weight under Chapter Two of Part Three.

Or. en

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Justification

There should be no STS treatment of specific synthetics until the Commission has completed

its assessment of whether securitisations which are not 'true sale' should be covered by the

STS designation in a future proposal.

Amendment 188

Jonás Fernández




Article 270


An originator institution may calculate

the risk-weighted exposure amounts in

respect of a securitisation position in

accordance with Articles 260, 262 or 264,

as applicable, where the following

conditions are met:

The Commission is mandated to draft a

report and, where appropriate, a

legislative proposal in order to extend the

STS framework and the qualifying

requirements for differentiated capital

treatment referred to in Articles 260 and

264 to balance sheet synthetic

securitisations by 1 January 2017

(a) the securitisation meets the

requirements set out in Article 6(2) of the

[Securitisation Regulation], other than

point (a) of that paragraph;

(b) the position qualifies as the senior

securitisation position;

(c) the securitisation is backed by a

pool of exposures to undertakings,

provided that at least 80% of those in

terms of portfolio balance qualify as

SMEs as defined in Art 501 at the time of

issuance of the securitisation;

(d) the credit risk associated with the

positions not retained by the originator

institution is transferred through a

guarantee or a counter-guarantee

meeting the requirements for unfunded

credit protection set out in Chapter 4 for

the Standardised Approach to credit risk;

(e) the guarantor or counter-

guarantor, as applicable, is the central

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government or the central bank of a

Member State, a multilateral development

bank or an international organisation,

provided that the exposures to the

guarantor or counter-guarantor qualify

for a 0% risk weight under Chapter Two

of Part Three.

Or. en

Amendment 189

Othmar Karas








provided that at least 80% of those in terms

of portfolio balance qualify as SMEs as





corporates as well as SMEs, provided that

at least 40% the total pool of those in terms




Or. en

Justification

The adjustment takes note of the different sizes of banks and the markets they are active in.

Since the securitisation market should be revived in the whole EU also smaller markets have

to be taken into consideration.

Amendment 190




Regulation 575/2013

Article 270 – point c

AM\1103675EN.docx 103/107 PE587.498v05-00

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terms of portfolio balance qualify as SMEs

as defined in Art 501 at the time of


Or. it

Amendment 191




Regulation 575/2013

Article 270– paragraph 1 – point c











terms of portfolio balance qualify as SMEs

as defined in Art 501 at the time of


Or. en

Amendment 192

Paul Tang
















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of the securitisation; of the securitisation;

Or. en

Amendment 193





Article 270 – point e




the central bank of a Member State, a

multilateral development bank or an

international organisation, provided that

the exposures to the guarantor or counter-

guarantor qualify for a 0% risk weight

under Chapter Two of Part Three.



the central bank of a Member State, or a

multilateral development bank, provided

that the exposures to the guarantor or

counter-guarantor qualify for a 0% risk

weight under Chapter Two of Part Three.

Or. it

Amendment 194

Paul Tang




Article 270 f (new)


Article 270 f

Macro-prudential oversight

The European Systemic Risk Board is

able to propose an adjustment of the risk

floors in this chapter in light of the

marco-prudential oversight of the

securitisation market following Article

16a (new) of the regulation on STS

securitisation regulation (1a).

AM\1103675EN.docx 105/107 PE587.498v05-00

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-----


COM(2015)0472 - C8-0288/2015 –

2015/0226(COD) - Common rules on

securitisation and creating a European

framework for simple, transparent and

standardised securitisation

Or. en

Amendment 195

Paul Tang


Article 1 – paragraph 1 – point 9 a (new)



Present text Amendment

(9a) Article 424 paragraph 5 point a is

modified as follows:

(a) liquidity facilities that the institution

has granted to SSPEs other than those

referred to in point (b) of paragraph 3;

(a) liquidity facilities that the

institution has granted to SSPEs;

Or. en

Justification

There is systemic risk involved with the role of sponsor that provides liquidity facilities to a

SSPE, because the short term funding from money markets for all SSPE are likely to close

down at the same time in a stress situation. That is why a sponsor bank should hold liquid

assets for the liquidity guarantees it give to SSPEs, without any exemptions for non-financial

costumers.

Amendment 196

Brian Hayes




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(b) applies this Article to all the

outstanding securitisation positions that

the institution holds on [the date set out in

Article 3(2)/fixed date].

Deleted

Or. en

Justification

The current capital treatment (Chapter 5 of Title II, Part Three and Article 337 of the

Regulation 575/2013 – “2013 provisions”) should continue to apply to “tranches” of

securitisation transactions established prior to the entry into force of the new Regulation

rather than to outstanding “positions”. The use of “position” related criteria applies to the

institution holding the tranche, its bond position, and is not as such related to the tranche of

the securitisation transaction. Article 2 states that the original capital treatment will apply

until 31 Dec 2019, if it is held by the institution. If the bond is sold, the position ceases to

exist, and therefore the old criteria will no longer apply to the tranche. There is a concern

that the use of position will hamper the secondary liquidity of outstanding bonds.

Amendment 197



Article 2 a (new)


Article 2 a

Auditing

No later than... [18 months from the date

of entry into force of this Regulation], the

Commission, following consultation with

the EBA, ESMA, ESRB and the ECB,

shall publish an audit report on the

effectiveness and suitability of this

regulation from a macroprudential and

economic perspective.

In particular, the report will focus on

evaluating the following points:

a) whether the amendments

presented in this Regulation lead to the

accumulation of significant leverage and

an increase in pro-cyclicality;

b) the impact on the stability of the

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financial system and on the increase of

systemic risk, with particular attention to

the potential creation of speculative

bubbles on the property market and

increased interconnection between

financial institutions;

c) what measures are necessary to

reduce and counter the negative effects of

securitisations on financial stability,

including the introduction of a maximum

limit on exposure in securitisations as a

share of total assets;

d) the effects on the stability of

lending transactions and the ability to

provide a sustainable funding channel to

the real economy, with particular

attention on small and medium-sized

enterprises;

e) whether it is appropriate to extend

the use of the standardised approach as

the single methodology for calculating

risk weights to non-STS securitisations as

well, gradually eliminating the Internal

Ratings-Based Approach (SEC-IRBA)

and the External Ratings-Based

Approach (SEC-ERBA).

The results of the review shall be

presented to the European Parliament

and to the Council, accompanied if

necessary by appropriate proposals for a

new legislative proposal.

Or. it

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