Changes from report parliamentary committee draft to plenary report

Added(a) point (b) is replaced by the following:

Added‘(b) the exposure value of an off-balance sheet securitisation position shall be its nominal value less any relevant specific credit risk adjustments on the securitisation position in accordance with Article 110, multiplied by the relevant conversion factor as set out in this point (b). The conversion factor shall be 100 %, except in the case of cash advance facilities and of liquidity facilities to securitisation positions that are in a warehousing phase. To determine the exposure value of the undrawn portion of the cash advance facilities, a conversion factor of 10 % may be applied to the nominal amount of a liquidity facility that is unconditionally cancellable provided that repayment of draws on the facility are senior to any other claims on the cash flows arising from the underlying exposures. To determine the exposure value of liquidity facilities to securitisation positions that are in a warehousing phase, a conversion factor of 40% may be applied to the nominal amount of a liquidity facility.

AddedEBA shall develop draft regulatory technical standards to specify the conditions for the application of the conversion factor of 40%.

AddedEBA shall submit those draft regulatory technical standards to the Commission by [18 months from the date of entry into force of this amending Regulation].

AddedPower is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;

Added(b) point (d) is replaced by the following:

Added‘(d) an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1 250 % risk weight in accordance with Sub-Section 3, or which is deducted from Common Equity Tier 1 in accordance with Article 36(1), point (k), the amount of the specific credit risk adjustments on the underlying exposures in accordance with Article 110, and any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds.

AddedThe amount of the specific credit risk adjustments may be deducted in accordance with the first subparagraph of point (d) from the exposure value of a securitisation position which is assigned a risk weight lower than 1250 %, provided the position has an attachment point lower than KIRB or KA. In that case, securitisation position shall be considered as two securitisation positions for the purposes of this point (d): the position with A equal to KIRB or KA and the junior position with A below KIRB or KA and D equal to KIRB or KA, and the specific credit risk adjustments may be deducted only from the exposure value of the securitisation position which is the junior position with A below KIRB or KA and D equal to KIRB or KA.’;

Added(c) point (e) is replaced by the following:

Added‘(e) the exposure value of a contractually designated synthetic excess spread shall include, as applicable, the following:

Added(1) any income from the securitised exposures already recognised by the originator institution in its income statement under the applicable accounting framework that the originator institution has contractually designated to the transaction as synthetic excess spread and that is still available to absorb losses;

Added(2) any synthetic excess spread that is contractually designated by the originator institution in any previous periods and that is still available to absorb losses;

Added(3) any synthetic excess spread that is contractually designated by the originator institution for the current contractual period and that is still available to absorb losses;

Added(4) any synthetic excess spread contractually designated by the originator institution for future contractual periods.

AddedFor the purposes of this point (e), any amount that is provided as collateral or credit enhancement in relation to the synthetic securitisation and that is already subject to an own funds requirement in accordance with this Chapter shall not be included in the exposure value.’;

Added(d) the second, third and fourth subparagraphs are deleted.

Added(6) Article 254 is amended as follows:

Added(a) in paragraph 1, point (c) is replaced by the following:

Added‘(c) where the SEC-SA may not be used, in accordance with paragraphs 2 and 4 of this article, an institution shall use the SEC-ERBA in accordance with Articles 263 and 264 for rated positions or positions in respect of which an inferred rating may be used.’;

Added(b) paragraph 5 is replaced by the following:

Added‘5. Without prejudice to paragraph 1, points (b) and (c), of this Article, an institution may apply the Internal Assessment Approach to calculate risk-weighted exposure amounts in relation to an unrated position in an ABCP programme or ABCP transaction in accordance with Article 266, provided that the conditions set out in Article 265 are met. Where an institution has received permission to apply the Internal Assessment Approach in accordance with Article 265(2), and a specific position in an ABCP programme or ABCP transaction falls within the scope of application covered by such permission, the institution shall apply that approach to calculate the risk-weighted exposure amount of that position.’;

Added(7) in Article 255, paragraph 6 is replaced by the following:

Added‘6. Where an institution applies the SEC-SA under Sub-Section 3, that institution shall calculate KSA by multiplying the risk-weighted exposure amounts in respect of the non-defaulted exposures that would be calculated under Chapter 2 as if they had not been securitised by 8 %, divided by the sum of the exposure values of the non-defaulted underlying exposures. KSA shall be expressed in decimal form between zero and one.

AddedFor the purposes of this paragraph, non-defaulted exposures shall exclude underlying exposures that are in default as referred to in Article 261(2).

AddedFor the purposes of this paragraph, institutions shall calculate the exposure value of the underlying exposures gross of any specific credit risk adjustments and additional value adjustments in accordance with Articles 34 and 110 and other own funds reductions.’;

Added(8) In Article 256, the following paragraph is added:

Added‘7. The outstanding balance of the pool of underlying exposures in the securitisation shall, for the purpose of the paragraph 1 and 2, be reduced by the amount of losses already allocated to the tranches in respect of the defaulted exposures that are included in the securitised portfolio.’;

Added(9) Article 259 is amended as follows:

Added(a) the introductory wording is replaced by the following:

Added‘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:’

Added(b) the text ‘where: p = max [0,3; (A + B*(1/N) + C*KIRB + D * LGD + E*MT)] is replaced by the following:

Added‘Where:

Addedp = min (0.8, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for an originator or sponsor exposure to a senior securitisation position, or

Addedp = min (1, max [0.3; 1 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for other exposures.’;

Added(c) the following paragraphs 1a, 1b and 1c are inserted:

Added‘1a. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 shall be subject to a floor calculated as follows:

AddedFloor = min (15%;max (12%, 15% *KIRB*12.5)

Added1b. The risk-weighted exposure amount for a senior securitisation position calculated in accordance with paragraph 1 and compliant with the criteria referred to in Article 243(4), shall be subject to a floor calculated as follows:

AddedFloor = min (15%; max (10%; 12% * KIRB*12.5).’

Added1c. The risk weight for a non-senior securitisation position shall be subject to a floor of 15%. In addition, the risk weight shall be no lower than the risk weight applicable to the senior tranche of the same securitisation.;

Added(d) paragraph 7 is replaced by the following:

Added‘7. Where the position is backed by a mixed pool and the institution is able to calculate KIRB on at least 95 % of the underlying exposure amounts in accordance with Article 258(1), point (a), the institution shall calculate the capital charge for the pool of underlying exposures as:

Added𝑑 ∙ 𝐾𝐼𝑅𝐵 + (1 − 𝑑)𝐾A‘;

Added(10) Article 260 is replaced by the following:

Added‘Article 260

AddedTreatment of STS securitisations under the SEC-IRBA

Added1. Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications:

Addedp = min (0.4, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a senior securitisation position▌

Addedp = min (0.4, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a non-senior ▌position

Added▌

AddedThe risk-weight floor for a senior securitisation position = min(10%; max (7%, 7% *KIRB*12.5).

AddedThe risk weight for a non-senior securitisation position shall be subject to a floor of 15%. In addition, the risk weight shall be no lower than the risk weight applicable to the senior tranche of the same securitisation.

Added2. ▌

AddedThe risk weight floor for a STS senior securitisation position compliant with the criteria laid down in Article 243(3), or the risk weight floor for a senior position in a traditional STS securitisation of auto or equipment loans and leases or in an ABCP securitisation of trade receivables, shall be calculated as follows:

AddedFloor = min (10%; max (5%; 7% * KIRB*12.5)).;

Added(11) Article 261 is amended as follows:

Added(a) paragraph 1 is amended as follows:

Added(1) the introductory wording is replaced by the following:

Added‘Under the SEC-SA, the risk-weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows:’

Added(2) ‘p = 1 for a securitisation exposure that is not a re-securitisation exposure’ is replaced by the following: