Changes from report parliamentary committee draft to plenary report

Added‘For a securitisation position that is not a re-securitisation exposure,

Addedp = 0.4 for a senior securitisation position of an originator or sponsor calculated in accordance with this paragraph and compliant with the criteria set out in Article 243(4);

Addedp = 0.6 for other senior securitisation positions;

Addedp = 1 for all other securitisation position’.;

Added(b) 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% *KA*12.5)).

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

AddedFloor = min (15%; max (10%; 12% * KA*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(c) In paragraph 2, the following sub-paragraph is added:

Added‘For the purpose of this paragraph, the nominal amount of the underlying exposures in default is the accounting value of the exposures in default minus any amounts by which the tranches have already been written down to absorb the losses on those exposures in default, or losses which have been absorbed by excess spread.’;

Added(d) The following paragraph is added:

Added‘3. For the purposes of the calculation of the floor for a senior securitisation position in paragraph 1a and paragraph 1b, KA shall be calculated for the pool of the underlying exposures at the origination of the securitisation.

AddedFor the purpose of the floor formula laid down in paragraphs 1a and 1b: KA = KSA * (1-w)+w*0.12.’;

Added(12) Article 262 is replaced by the following:

Added‘Article 262

AddedTreatment of STS securitisations under the SEC-SA

Added1. Under the SEC-SA the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications:

Addedp = 0.25 for a senior securitisation position▌

Addedp = 0.5 for other securitisation exposures

Addedrisk weight floor for a senior securitisation position = min (10%; max (7%; 7% * KA*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. Under the SEC-SA the risk weight for a position in an STS securitisation that complies with the criteria set out in Article 243(3) or the risk weight for a traditional STS securitisation of auto or equipment loans and leases or for an ABCP securitisation of trade receivables shall be calculated in accordance with Article 261, subject to the following modifications:

Addedp = 0.25 for a senior securitisation position▌

Addedp = 0.5 for other securitisation exposures

Addedrisk weight floor for a senior securitisation position = min (10%; max (5%; 7% * KA*12.5).’;

Added3. For the purpose of the calculation of the floor for a senior securitisation position in paragraph 1 and paragraph 2, KA shall be calculated for the pool of the underlying exposures at the origination of the securitisation.

AddedFor the purpose of calculating the risk-weight floor laid down in this Article, KA in the floor formula is

AddedKA = KSA * (1-w)+w*0.12.’;

Added(13) Article 263 is amended as follows:

Added(a) paragraph 2 is replaced by the following:

Added‘2. For exposures with short-term credit assessments or where a rating based on a short-term credit assessment may be inferred in accordance with paragraph 7, the following risk weights shall apply:

AddedTable 1

Added▌

Added(c) paragraph 3 is replaced by the following:

Added‘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 paragraph 7, the risk weights set out in Table 2 shall apply, adjusted as applicable for tranche maturity (MT) in accordance with Article 257 and paragraph 4 of this Article and for tranche thickness for non-senior tranches in accordance with paragraph 5 of this Article:

AddedTable 2

Added(d) the following paragraph is inserted:

Added‘3a. For a position in senior tranche in a traditional securitisation of auto or equipment loans and leases, and traditional securitisation of trade receivables, the investor positions shall be treated as positions of originators with regard to the risk weights laid down in Table 2, and the risk weight for CQS1 with any tranche maturity, or CQS2 with a tranche maturity of one year in Table 2, shall be 10%.’;

Added▌

Added(14) Article 264 is amended as follows:

Added(a) paragraph 2 is replaced by the following:

Added‘2. For exposures with short-term credit assessments or where a rating based on a short-term credit assessment may be inferred in accordance with Article 263(7), the following risk weights shall apply:

AddedTable 3

Added▌

Added(c) paragraph 3 is replaced by the following:

Added‘3. For exposures with long-term credit assessments or where a rating based on a long-term credit assessment may be inferred in accordance with Article 263(7), risk weights shall be determined in accordance with Table 4, adjusted for tranche maturity (MT) in accordance with Article 257 and Article 263(4) and for tranche thickness for non-senior tranches in accordance with Article 263(5):

AddedTable 4

AddedFor a position in a senior tranche in a traditional securitisation of auto or equipment loans and leases, and ABCP securitisations of trade receivables, the risk weight for CQS1 with any tranche maturity, or CQS2 with a tranche maturity of one year in Table 4, shall be 5%.’;

Added▌

Added(15) Article 268 is amended as follows:

Added(a) paragraph 1 is replaced by the following:

Added‘1. An institution may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 in respect of the underlying exposures had they not been securitised.

AddedFor the purposes of this Article, the IRB Approach capital requirement shall include the amount of the expected losses associated with those exposures calculated under Chapter 3 and that of unexpected losses. For originator institutions, the expected losses shall be net of any specific credit risk adjustments on the underlying exposures.’;

Added(b) paragraph 3 is replaced by the following:

Added‘3. The maximum capital requirement shall be the result of multiplying the amount calculated in accordance with paragraphs 1 or 2 by the largest proportion of interest that the institution holds in the relevant tranches (V), expressed as a percentage and calculated as follows:

Added(a) for an institution that has one or more securitisation positions in a single tranche, V shall be equal to the ratio of the nominal amount of the securitisation positions that the institution holds in that given tranche to the nominal amount of the tranche;

Added(b) for an institution that has securitisation positions in different tranches, V shall be equal to the maximum proportion of interest across tranches.

AddedFor the purposes of point (b), the proportion of interest for each of the different tranches shall be calculated as set out in point (a).