Changes from report parliamentary committee draft to plenary report

Added(i) the third subparagraph is replaced by the following:

Added‘The underlying exposures referred to in the first subparagraph shall have defined periodic payment streams, the instalments of which may differ in their amounts, relating to rental, principal or interest payments or to other payments, including commitment fees, received on a periodic basis, or to any other right to receive income from assets supporting such payments. The underlying exposures may also generate proceeds from the sale of any financed or leased assets.’;

Added(iii) the following subparagraph is added:

Added‘A pool of underlying exposures shall be deemed to comply with the first sentence of the first subparagraph where all of the following conditions are met:

Added(a) at least 70% of the exposures in the pool at origination consists of exposures to SMEs;

Added(b) all of the exposures in the pool are to obligors established in Member States;

Added(c) all of the exposures in the pool are underwritten in accordance with standards that apply similar approaches for assessing associated credit risk; (d) all of the exposures in the pool are serviced in accordance with similar procedures for monitoring, collecting and administering cash receivables;

Added(e) the overall risk profile of the exposures remains consistent and comparable.’;

Added(c) in paragraph 11, in point (a), point (ii) is replaced by the following:

Added‘(ii) the information provided by the originator, sponsor and SSPE explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring, and their performance since the date of the restructuring;’;

Added(ca) in paragraph 13, the first subparagraph is replaced by the following:

Added‘The EBA, in close cooperation with ESMA and EIOPA, shall develop draft regulatory technical standards further specifying which of the underlying exposures referred to in paragraph 8, first to fourth subparagraphs, are deemed to be homogeneous.’;

Added(12) in Article 26c, in paragraph 5, the eighth subparagraph is replaced by the following:

Added‘Where a credit event, as referred to in Article 26e, has occurred in relation to underlying exposures and the debt workout for those exposures has not been completed, the amount of credit protection remaining at any payment date plus the amount of any retained tranches which rank junior to the tranches covered by the credit protection remaining at any payment date shall be at least equivalent to the outstanding nominal amount of those underlying exposures, minus the amount of any interim payment made in relation to those underlying exposures.’;

Added(12a) in Article 26d, paragraph 1 is replaced by the following:

Added‘1. The originator shall make available robust data on static and dynamic historical default and loss performance such as delinquency and default data for substantially similar exposures to those being securitised, and the sources of those data and the basis for claiming similarity, to potential investors before pricing. The quality of the data shall be such as to enable potential institutional investors to conduct a prudent stress test analysis. Those data shall cover a period of five years, except for data relating to trade receivables and other short-term receivables, for which the historical period shall be no shorter than three years, unless the EBA confirms a shorter period for duly justified reasons.’

Added(13) Article 26e is amended as follows:

Added(a) in paragraph 3, the third subparagraph is replaced by the following:

Added‘The credit protection premiums to be paid under the credit protection agreement shall be structured as contingent on the outstanding size of the tranche and credit risk of the protected tranche. For those purposes, the credit protection agreement shall not stipulate guaranteed premiums, upfront premium payments, rebate mechanisms or other mechanisms that may avoid or reduce the actual allocation of losses to the investors or return part of the paid premiums to the originator after the maturity of the transaction.’;

Added(b) in paragraph 7, point (d) is replaced by the following:

Added‘(d) for originators not using the IRB Approach referred to in Article 143 of Regulation (EU) No 575/2013:

Added(i) the total committed amount per year shall not be higher than the one-year expected loss of the portfolio for that year;

Added(ii) the calculation of the one-year expected loss of the underlying portfolio shall be clearly determined in the transaction documentation.’;

Added(c) paragraph 8 is amended as follows:

Added(i) the following point (aa) is inserted:

Added‘(aa) a guarantee meeting the requirements set out in Part Three, Title II, Chapter 4 of Regulation (EU) No 575/2013, by which the credit risk is transferred to an insurance or reinsurance undertaking that meets ▌ the ▌ criteria laid down in points (i) to (iv):

Added(i) the undertaking uses an internal model approved in accordance with Articles 112 and 113 of Directive 2009/138/EC for thecalculation of capital requirements for such guarantees; (ii) the undertaking complies with its Solvency Capital Requirement and its Minimum Capital Requirement referred to in Articles 100 and 128 of Directive 2009/138/EC, respectively, and has been assigned to credit quality of at least step 2 or better, at the date on which the credit protection was first recognised;

Added(iii) the undertaking’s total non-life technical provisions, net of amounts recoverable from reinsurance contracts and special purpose vehicles, across all lines of business, within the meaning of the delegated regulation adopted pursuant to Article 86(1), point (e), of Directive 2009/138/EC, except those that correspond to non-life insurance classes of ‘credit’, ‘surety ship’ and ‘miscellaneous financial loss’, shall represent at least 40% of the total non-life technical provisions of the undertaking, net of amounts recoverable from reinsurance contracts and special purpose vehicles;

Added(iv) the undertaking providing the credit protection is based in the Union and either of the following conditions is fulfilled:

Added– the value of the total assets, calculated in accordance with Article 75 of Directive 2009/138/EC, of the undertaking exceeds EUR 10 billion; or

Added– the undertaking is not part of the same group as the originator, is a subsidiary of a group subject to group supervision within the meaning of Article 213(2), point (a) or (b), of Directive 2009/138/EC, the value of the total consolidated assets of that group, determined in accordance with Directive 2009/138/EC, exceeds EUR 15 billion, and the insurance undertaking can demonstrate, to the satisfaction of the supervisory authority, that, in the event that it is unable to meet its obligations under the credit protection agreement, a contractually binding commitment from its parent undertaking ensures the full and timely payment of claims arising under that agreement, either directly to the originating institution or by way of financial support of an equivalent amount to the subsidiary insurance undertaking;’;

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

Added(c) another credit protection not referred to in points (a), (aa) and (b) of this paragraph in the form of a guarantee, a credit derivative or a credit linked note that meets the requirements set out in Article 249 of Regulation (EU) No 575/2013, provided that the obligations of the investor are secured by collateral meeting the requirements laid down in paragraphs 9 and 10 of this Article.’;

Added(13a) Article 27 is amended as follows:

Added(a) paragraphs 1 and 2 are replaced by the following:

Added‘1. Originators and sponsors shall jointly notify ESMA by means of the template referred to in paragraph 7 of this Article where a securitisation meets the requirements set out in Articles 19 to 22, Articles 23 to 26 or Articles 26a to 26e (‘STS notification’). In the case of an ABCP programme, only the sponsor shall be responsible for the notification of that programme and, within that programme, of the ABCP transactions complying with Article 24. In the case of a securitisation of trade receivables where no SSPE is used, the buyer of the underlying exposures shall be responsible for the notification. In the case of a synthetic securitisation, only the originator shall be responsible for the notification.

AddedThe STS notification shall include an explanation by the originator and sponsor of how the STS criteria set out in Articles 20, 21 and 22, Articles 24, 25 and 26 or Articles 26b to 26e have been complied with.

AddedESMA shall inform the EBA of the STS notification and shall publish such notifications on its official website pursuant to paragraph 5.

Added2. The originator, sponsor, SSPE or the buyer of the underlying exposures referred to in paragraph 1 of this Article may use the service of a third party authorised under Article 28 to assess whether a securitisation complies with Articles 19 to 22, Articles 23 to 26 or Articles 26a to 26e. However, the use of such a service shall not, under any circumstances, affect the liability of the originator, sponsor, SSPE or the buyer of the underlying exposures referred to in paragraph 1 in respect of their legal obligations under this Regulation. The use of such service shall not affect the obligations imposed on institutional investors as set out in Article 5.

AddedWhere the originator, sponsor, SSPE or the buyer of the underlying exposures referred to in paragraph 1 uses the service of a third party authorised pursuant to Article 28 to assess whether a securitisation complies with Articles 19 to 22, Articles 23 to 26 or Articles 26a to 26e, the STS notification shall include a statement that compliance with the STS criteria was confirmed by that authorised third party. The notification shall include the name of the authorised third party, its place of establishment and the name of the competent authority that authorised it.’;

Added(b) paragraphs 4 and 5 are replaced by the following:

Added‘4. The originator and, where applicable, sponsor, shall immediately notify ESMA and inform the EBA where a securitisation no longer meets the requirements set out in Articles 19 to 22, Articles 23 to 26, or Articles 26a to 26e.

Added5. ESMA shall maintain, on its official website, a list of all securitisations which the originators and sponsors have notified it of meeting the requirements set out in Articles 19 to 22, Articles 23 to 26, or Articles 26a to 26e. ESMA shall add each securitisation so notified to that list immediately and shall update the list where the securitisations are no longer considered to be STS following a decision of the EBA or a notification by the originator or sponsor. Where the EBA has imposed administrative sanctions or remedial measures in accordance with Article 33a, it shall immediately notify ESMA thereof. ESMA shall immediately indicate on the list provided for in this paragraph that the EBA has imposed administrative sanctions or remedial measures in relation to the securitisation concerned.’;

Added(14) ▌Article 28 is amended as follows:

Added(a) paragraph 1 is amended as follows:

Added(i) in the first subparagraph, the introductory wording is replaced by the following:

Added‘A third party as referred to in Article 27(2) shall be authorised and supervised by ESMA to assess compliance of securitisations with the STS criteria provided for in Articles 19 to 22, Articles 23 to 26, and Articles 26a to 26e. ESMA shall grant the authorisation if the following conditions are met:’;

Added(ii) the second subparagraph is replaced by the following:

Added‘ESMA shall withdraw the authorisation when it considers the third party to be materially non-compliant with the first subparagraph.’;

Added(b) paragraphs 2 and 3 are replaced by the following:

Added‘2. A third party authorised in accordance with paragraph 1 shall notify ESMA without delay of any material changes to the information provided under that paragraph, or any other changes that could reasonably be considered to affect the assessment of its competent authority.

Added3. ESMA may charge cost-based fees to the third party referred to in paragraph 1, in order to cover necessary expenditure relating to the assessment of applications for authorisation and to the subsequent monitoring of compliance with the conditions set out in paragraph 1.’;

Added(15) in Article 29, paragraphs 5, 6 and 7 are deleted.

Added▌

Added(15a) the following article is inserted:

Added‘Article 29a

AddedDirect supervision of STS securitisation and third party verifiers

Added1. The EBA shall be responsible for supervising compliance by originators, sponsors, SSPEs and, in the case of a securitisation of trade receivables where no SSPE is used in accordance with Article 20, the buyers of the underlying exposures, with the obligations set out in Articles 18 to 27 of this Regulation and ESMA shall be responsible for supervising compliance of third parties verifying STS compliance with Article 28.

Added2. For the purposes of paragraph 1, the EBA and ESMA shall be empowered to exercise supervisory, investigatory and enforcement powers. Those powers shall be exercised in accordance with Articles 23a to 23e of Regulation (EU) No 1060/2009, which shall apply mutatis mutandis to both the EBA and ESMA, and in accordance with Article 33a of this Regulation.

Added3. The supervisory, investigatory and enforcement powers conferred on EBA and ESMA pursuant to paragraphs 1 and 2 shall be exclusive with regard to the obligations referred to therein. Member States shall ensure that no national competent authority exercises parallel supervisory or sanctioning powers in respect of compliance with Articles 18 to 27 and Article 28. Any transfer of responsibilities to EBA or ESMA under this Article shall fully replace corresponding national competences, including with regard to supervisory fees.’;