Changes from report parliamentary committee draft to plenary report

Added‘3. A senior position in an STS securitisation shall be eligible for the treatment set out in Article 260(2) and Article 262(2)▌ where the securitisation is a traditional securitisation of auto or equipment loans and leases or an ABCP securitisation of trade receivables, or a securitisation that fulfils the following requirements at the origination date▌:

RemovedArticle 1 – paragraph 1 – point 9 – point c, Article 259 – paragraph 1b – indent 1: Floor = min (15%; max (10%; 12% * KIRB*12.5)).;

Added(a) for a position in an ABCP securitisation▌:

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Added(1) the requirements of Article 243(1);

RemovedArticle 1 – paragraph 1 – point 10, Article 260 – paragraph 1 – indent 1: p = min (0.25 max [0.1; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position

Added(2) ▌the attachment point of the senior securitisation position is determined as follows:

RemovedDifferentiating between originators/sponsors and investors is unjustified, as both engage in the same economic transaction and possess the same transaction knowledge. Treating investors differently would lead to inconsistent and potentially higher capital requirements without economic rationale.

AddedA >= 1.5 * KA, when using SEC-SA▌or

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AddedA >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA.;

RemovedArticle 1 – paragraph 1 – point 10, Article 260 – paragraph 1 – indent 2: p = min (0.25, max [0.1; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior position

Added(b) for a position in a securitisation other than an ABCP securitisation▌:

RemovedDifferentiating between originators/sponsors and investors is unjustified, as both engage in the same economic transaction and possess the same transaction knowledge. Treating investors differently would lead to inconsistent and potentially higher capital requirements without economic rationale.

Added(1) the requirements of the Article 243(2)

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Added(2) ▌the attachment point of the senior securitisation position is determined as follows:

RemovedArticle 1 – paragraph 1 – point 10, Article 260 – paragraph 1 – indent 3: deleted

AddedA >= 1.5 * KA, when using SEC-SA ▌or

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AddedA >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA.

RemovedArticle 1 – paragraph 1 – point 10, Article 260 – paragraph 1 – indent 4: The risk-weight floor for a synthetic senior securitisation position = min (10%; max (7%; 7% * KIRB*12.5))

AddedA position in a synthetic securitisation other than an ABCP securitisation, where a guarantee as referred to in Article 26e(8), point (aa), is provided, is not eligible for the treatment set out in this paragraph.

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AddedIn the case of trade receivables for a position in a securitisation other than an ABCP securitisation, point (b)(2), of the first subparagraph shall not apply where the credit risk of those trade receivables is fully covered by eligible credit protection in accordance with Chapter 4, provided that in that case the protection provider is an institution, an investment firm, an insurance undertaking or a reinsurance undertaking.

RemovedArticle 1 – paragraph 1 – point 10, Article 260 – paragraph 2 – introductory part: (deleted) / (deleted) / (deleted) / (deleted) / The risk weight floor for a synthetic STS senior securitisation position compliant with the criteria laid down in Article 243(3), or the risk weight floor for a traditional STS senior securitisation position, shall be subject to a floor calculated as follows: / Floor = (min 10 % ; max (4%; 7 % * KIRB*12.5).;

Added4. A senior securitisation position in a non-STS securitisation shall be eligible for the treatment set out in Article 259(1b) and Article 261(1b)▌ where the following requirements are met at the origination date▌:

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Added(a) for a synthetic securitisation:

RemovedArticle 1 – paragraph 1 – point 11 – point a – point 2, Article 261 – paragraph 1 – subparagraph 3 – indent 4: For a securitisation position that is not a re-securitisation exposure, / p = 0.3 for a senior securitisation position calculated in accordance with this paragraph that is: / (i) a synthetic securitisation that complies with the criteria set out in Article 243(4); or / (ii) a traditional securitisation; / p = 0.5 for other synthetic senior securitisation positions; / p = 1 for all other securitisation positions;

Added(1) the requirement of Article 26c(5) of Regulation (EU) 2017/2402 and the requirements of Commission Delegated Regulation (EU) 2024/920;

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Added(2) the requirements of Article 26e(8), point (a), (b) or (c), and Article 26e(9) and (10), of Regulation (EU) 2017/2402;

RemovedArticle 1 – paragraph 1 – point 11 – point b, Article 261 – paragraph 1a – introductory part: 1a. The risk-weighted exposure amount for a synthetic senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows:

Added(3) the attachment point of the senior securitisation position is determined as follows:

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AddedA >= 1.5 * KA, when using SEC-SA▌,or

RemovedArticle 1 – paragraph 1 – point 11 – point b, Article 261 – paragraph 1a – indent 1: Floor = min (15%; max (12%; 12% *KA*12.5)).

AddedA >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA;

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Added(4) the requirement of Article 243(2), point (a) of this Regulation;

RemovedArticle 1 – paragraph 1 – point 11 – point b, Article 261 – paragraph 1b – introductory part: 1b. The risk-weighted exposure amount for a synthetic senior securitisation position calculated in accordance with paragraph 1 and compliant with the criteria set out in Article 243(4) or the risk-weighted exposure amount for a traditional senior securitisation position shall be subject to a floor calculated as follows:

Added▌

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Added(b) for an ABCP securitisation▌:

RemovedArticle 1 – paragraph 1 – point 11 – point b, Article 261 – paragraph 1b – indent 1: Floor = min (15%; max (10%; 12% * KA*12.5)).;

Added(1) the requirements of Article 24(17), point (b), of Regulation (EU) 2017/2402;

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Added(2) the attachment point of the senior securitisation position is determined as follows:

RemovedArticle 1 – paragraph 1 – point 11 – point c, Article 261 – paragraph 2 –subparagraph 5 a (new): ‘For the purpose of the floor formula laid down in paragraphs 1a and 1b: KA = KSA * (1-w)+w*0.12.’;

AddedA >= 1.5 * KA, when using SEC-SA▌, or

Removed(Regulation (EU) No 575/2013)

AddedA >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA;

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Added(3) the requirements of Article 243(1), point (b), of this Regulation;

RemovedArticle 1 – paragraph 1 – point 12, Article 262 – paragraph 1 – introductory part: 1. Under the SEC-SA the risk weight for a position in a synthetic STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications:

Added▌

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Added(c) for a non-ABCP traditional securitisation:

RemovedArticle 1 – paragraph 1 – point 12, Article 262 – paragraph 1 – indent 1: p = 0.25 for a senior securitisation position