Europaudvalget 2025
KOM (2025) 0825
Offentligt
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EUROPEAN
COMMISSION
Strasbourg, 17.6.2025
COM(2025) 825 final
2025/0825 (COD)
Proposal for a
REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
amending Regulation (EU) No 575/2013 on prudential requirements for credit
institutions as regards requirements for securitisation exposures
(Text with EEA relevance)
{SEC(2025) 825 final} - {SWD(2025) 825 final} - {SWD(2025) 826 final}
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EXPLANATORY MEMORANDUM
1.
•
CONTEXT OF THE PROPOSAL
Reasons for and objectives of the proposal
General introduction
Relaunching the European securitisation market can help increasing the amount of financing
available to the real economy and enhancing risk diversification within the single market.
That is more important than ever in the current economic and geopolitical environment where
the Union faces significant investment needs to remain resilient and competitive. Well-
functioning securitisation markets can contribute to higher economic growth and facilitate
funding of Union strategic objectives, including investments in the green, digital and social
transitio,n by allowing credit institutions (i.e. banks) to transfer risks to those that are best
suited to bear them and thereby free up their capital. Banks are expected to use this capital for
additional lending to households and businesses, including SMEs. By redistributing risk
within the wider financial system, securitisation can also provide capital market investors with
more investment opportunities. The current EU securitisation framework is keeping the EU
economy from reaping all the benefits that securitisation can offer.
The reports from Enrico Letta
1
and Mario Draghi
2
have recommended securitisation as a
means of strengthening the lending capacity of European Union’s banks for the financing
needs of EU priorities including defence, creating deeper capital markets, building the
Savings and Investments Union and increasing the EU’s competitiveness.
The European Council has asked the European Commission to identify measures to relaunch
the European securitisation market, including “through regulatory and prudential changes,
using available room for manoeuvre”
3
and to swiftly propose, in 2025, a revised securitisation
framework
4
. There is also a call for action by many stakeholders, including issuers, investors
and supervisors, to address the impediments that are hindering the development of the EU
securitisation market
5
.
The EU securitisation framework was put in place in the aftermath of the 2008 financial crisis
and responded to concerns about risky US securitisations. At the time, strict requirements
were considered necessary to restore the reputation of the securitisation market which had
been suffering from inadequate protections and severe investor distrust. Now that appropriate
safeguards have been firmly embedded in the market’s organisation and securitisation is
gaining back investors’ trust, a better balance between safeguards and growth opportunities -
both for investments and issuance- needs to be found. The experience with the framework
indicates that it is too conservative and limits the potential use of securitisations in the EU.
High operational costs and overly conservative capital requirements keep many issuers and
investors out of the securitisation market.
1
2
3
4
5
Letta, E. (2024). Much more than a market - Speed, Security, Solidarity. Empowering the Single
Market to deliver a sustainable future and prosperity for all EU Citizens.
Draghi, M. (2024). The Future of European Competitiveness—A Competitiveness Strategy for Europe.
European Council conclusions of April 2024.
European Council conclusions of March 2025.
Feedback on call for evidence on review of the Securitisation Framework, 19 February 2025 – 26
March 2025,
europa.eu;
feedback on 2024 targeted consultation on the functioning of the EU
securitisation framework, 9 October – 4 December 2024,
finance.ec.europa.eu.
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The review aims to recognise the risk mitigants implemented in the EU securitisation
regulatory and supervisory frameworks, which have significantly reduced the risks embedded
in securitisation transactions, as well as the good credit performance of EU securitisations.
This proposal contributes to the 2024-2029 Commission’s priority of ‘A new plan for
Europe’s sustainable prosperity and competitiveness’. The proposal is a component of the
Savings and Investments Union
6
, which is a cornerstone of the 2024-2029 Commission
mandate, and it is the first legislative initiative under the Savings and Investments Union. At
the same time, it is important to recognise that the Securitisation Review is not a ‘silver
bullet’ on its own. The SIU project encompasses a broad range of other and complementary
measures to achieve its goals. Nevertheless, the European Commission expects that the
amendments to the non-prudential and prudential requirements envisaged in this package of
proposals will lead financial institutions to engage in more securitisation activity and,
importantly, to use the resultant capital relief for additional lending.
The proposed review of the EU securitisation framework aims to remove undue issuance and
investment barriers in the EU securitisation market, specifically: (i) to reduce undue
operational costs for issuers and investors, balancing with adequate standards of transparency,
investor protection and supervision; (ii) to adjust the prudential framework for banks and
insurers, to better account for actual risks and remove undue prudential costs when issuing
and investing in securitisations, while at the same time safeguarding financial stability.
The review of the EU securitisation framework aims to remove undue obstacles that hinder
the growth and development of the EU securitisation market, but without introducing risks to
financial stability, market integrity or investor protection. To achieve this, the proposed
reforms are carefully targeted to address specific impediments to issuance and (non-bank)
investment. The review envisages changes to four legal acts:
•
a legislative proposal amending the Regulation (EU) 2017/2402 of the European
Parliament and of the Council (the ‘Securitisation Regulation’
7
), which sets out
product rules and conduct rules for issuers and investors
a proposal amending Regulation (EU) No 575/2013 of the European Parliament and
of the Council (the ‘Capital Requirements Regulation’ or ‘CRR’
8
), which sets out the
capital requirements for banks holding and investing into securitisation, as well as
amendments to two delegated Regulations: the Commission Delegated Regulation
(EU) 2015/61 (the ‘Liquidity Coverage Ratio (LCR) Delegated Act’
9
), governing the
eligibility criteria for assets to be included in banks’ liquidity buffer, and the
Commission Delegated Regulation (EU) 2015/35 (the ‘Solvency II (SII) Delegated
•
•
6
7
8
9
https://finance.ec.europa.eu/document/download/13085856-09c8-4040-918e-
890a1ed7dbf2_en?filename=250319-communication-savings-investmlents-union_en.pdf
Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying
down a general framework for securitisation and creating a specific framework for simple, transparent
and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU
and Regulations (EC) No 1060/2009 and (EU) No 648/2012, OJ L 347, 28.12.2017, p. 35,
ELI: http://data.europa.eu/eli/reg/2017/2402/oj).
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on
prudential requirements for credit institutions and investment firms and amending Regulation (EU)
No 648/2012, OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).
Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU)
No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement
for Credit Institutions OJ L 11, 17.1.2015, p. 1, ELI: http://data.europa.eu/eli/reg_del/2015/61/oj).))
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Act’
10
), governing the capital requirements for insurance and reinsurance
undertakings.
The envisaged changes aim to make targeted improvements to the framework, rather than
overhaul it. Those changes should be viewed as a package, as none of the individual
components will achieve the desired outcome on its own. The elements of the package
address both the supply and demand side of the market and reinforce each other to produce
the desired impact. Streamlining reporting requirements and lowering capital requirements
will both lower entry barriers and make it cheaper for banks to originate securitisations.
Simplifying due diligence and amending the capital charges and liquidity treatment will make
it easier and more attractive to invest in securitisation. A larger and more dynamic investor
base will also incentivise more issuance. Relaunching the EU securitisation market is a
complex issue that requires changes to be made in various parts of the framework to foster
supply and demand in the securitisation market.
Regulation alone can only go so far in terms of stimulating this market’s development: market
participants must also step in and do their part, e.g. by embracing standardisation and
industry-wide initiatives towards specific segments – without market participant efforts,
scaling up of the market will not be possible.
Various inputs have informed this review, including the
2020 EBA report on the significant
risk transfer,
the 2020
ESRB report on Monitoring systemic risks in the EU securitisation
market,
the
2022 Commission Report on the Securitisation Regulation,
the
2022 Joint
Committee of the ESAs advice on the prudential framework,
the
2024 targeted consultation
on the functioning of the EU securitisation framework,
and the
2025 Joint Committee Report
on the implementation and functioning of the securitisation framework.
The Commission also
held various bilateral meetings with stakeholders and organised a workshop in July 2024 to
discuss stakeholder views about the EU securitisation framework.
In terms of timing, the amendments to the Securitisation Regulation and the Capital
Requirements Regulation are adopted by the Commission together. On the same date, the
draft amendments to the Liquidity Coverage Ratio Delegated Regulation are published on
Have Your Say for a four-week consultation. The draft amendments to the Solvency II
Delegated Regulation will be included in a broader package of amendments to that Regulation
that is expected to be published for consultation in the second half of July of this year.
Objectives of the proposal amending the Regulation (EU) No 575/2013 (CRR)
The evaluation of the framework, supported by feedback from stakeholders, indicates that (i)
the existing prudential securitisation requirements, as set out in Regulation (EU) No 575/2013
(the Capital Requirements Regulation or CRR), are insufficiently risk sensitive and, that, as a
result of those requirements, (ii) the level of capital requirements that credit institutions need
to comply with for their securitisation exposures are unduly high. Current requirements do not
sufficiently acknowledge the good credit performance of EU securitisation and the risk
mitigants implemented in the securitisation regulatory and supervisory frameworks which
have significantly reduced the agency and model risks embedded in securitisation
transactions
11
. While the principle of non-neutrality
12
of capital requirements – as one of the
10
11
Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive
2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the
business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17/01/2015, p. 1,
ELI: http://data.europa.eu/eli/reg_del/2015/35/oj)
‘Agency risk’ results from the information asymmetry and potential misalignment of interests between
the originator of and the investor in a securitisation, whereby the investor may have more limited
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main defining elements of the securitisation capital framework for credit institutions - is
justified, the magnitude of the non-neutrality seems no longer justified. In addition, there is an
excessive conservativeness embedded in the securitisation standardised approach (SEC-SA),
both in absolute terms and relative to the internal ratings-based approach (SEC-IRBA). The
lack of risk sensitivity acts as a prudential impediment that disincentivises EU credit
institutions from fully participating in the securitisation market, in particular in their capacity
of securitisation originators, and reduces the potential for the credit institutions to use the
freed up capital to offer more lending to the economy. It reduces the attractiveness of
securitisation as an effective instrument for managing the credit institutions’ capital and
balance sheets and redistributing risks across the wider financial system.
This proposal introduces targeted changes to the current prudential framework for credit
institutions in order to achieve the following objectives: (i) introduce greater risk sensitivity
into the existing framework; (ii) reduce unjustified levels of capital non-neutrality; (iii)
differentiate between originators/sponsors and investors with regard to the prudential
treatment of securitisations; (iv) mitigate undue discrepancies between the standardised
approach (SEC-SA) and internal rating-based approach (SEC-IRBA) for the calculation of
capital requirements for securitisations; and (iv) make the significant risk transfer framework
more robust and predictable.
The proposed amendments to the CRR concern the following two areas: (i) the calibration of
the two key parameters that set the level of non-neutrality, used in regulatory capital
calculations to capture securitisation inherent risks, i.e. the risk weight floor for senior
securitisation positions, and the (p) factor, and (ii) the framework for significant risk transfer.
A number of additional technical amendments are proposed to address certain technical
inconsistencies in the framework, as recommended in the Joint Committee of the European
Supervisory Authorities’ 2022 report, and as proposed by the stakeholders in the Commission
consultation.
•
Consistency with existing policy provisions in the policy area
The revisions to the regulatory capital treatment of securitisation in the CRR are part of a
broader legislative package which includes amendments to the Securitisation Regulation, the
Liquidity Coverage Ratio Delegated Act and the Solvency II Delegated Act. The proposed
changes have been drafted to ensure consistency across the various pieces of legislation and
with the same general objective in mind.
•
Consistency with other Union policies
The initiative is one piece in a set of measures to foster the Savings and Investments Union
and make it more resilient and integrated. The proposal is also consistent with the Union's
knowledge and understanding of the underlying portfolio than the originator. This misalignment of
interest or information asymmetry can lead to undesirable outcomes. ‘Model risk’ arises when the
financial models used to predict cash flows at portfolio level or the assumptions underpinning the
tranching of the credit risk under these models are wrong or inaccurate. In such a scenario, the
securitised product could turn out riskier than expected. Several regulatory and supervisory measures
have been taken in recent years to address the model risk and/or agency risk of securitisation
transactions, notably the introduction of STS criteria, the Single Supervisory Mechanism’s multi-year
targeted review of internal models, the European Banking Authority’s multi-year ‘IRB Repair’
programme, the introduction of the output floor in the banking package, the risk retention requirement
and the banning of re-securitisations.
‘Non-neutrality’ is one of the principles of the securitisation prudential framework, according to which
the amount of capital required for the securitisation transaction has to be significantly higher than the
capital required for the underlying non-securitised exposures.
12
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objective of safeguarding financial stability by introducing greater risk-sensitivity into the
framework and by ensuring that securitisation markets operate in a transparent, prudent, and
resilient manner.
2.
•
LEGAL BASIS, SUBSIDIARITY AND PROPORTIONALITY
Legal basis
The legal basis for this proposal is Article 114(1) of the Treaty on the Functioning of the
European Union (‘TFEU’). This article empowers the European Parliament and the Council to
adopt measures for the approximation of the Member States’ laws, regulations and
administrative actions concerned with the establishment and functioning of the internal
market.
This proposal aims to amend the CRR’s provisions related to the prudential framework for
credit institutions. This proposal aims to enhance the rules that are uniformly and directly
applicable to those institutions, including rules on capital requirements for their securitisation
positions. This harmonisation will ensure a level playing field for EU credit institutions and
will boost confidence in the stability of institutions across the EU, including in respect to their
activity as originators, sponsors or investors in securitisation markets.
•
Subsidiarity (for non-exclusive competence)
Only Union law can ensure that the regulatory capital treatment for securitisation is the same
for all credit institutions operating in more than one Member State. Harmonised regulatory
capital requirements ensure a level playing field, reduce regulatory complexity, avoid
unwarranted compliance costs for cross-border activities and promote further integration of
the internal market. Action at an EU level also ensures a high level of financial stability across
the EU. For these reasons, regulatory capital requirements for securitisations are set out in the
CRR and only amendments to that Regulation would achieve the purpose sought by this
proposal. Accordingly, this proposal complies with the principles of subsidiarity and
proportionality set out in Article 5 of the TFEU.
•
Proportionality
The proposal makes targeted amendments to the CRR only where such changes are necessary
to address the problems described above and analysed in the impact assessment.
Proportionality has been an integral part of the impact assessment accompanying the proposal.
The proposed amendments in different parts of the legislative package have been individually
assessed against the proportionality objective.
•
Choice of the instrument
The current proposal is an amendment to the CRR and is therefore also a Regulation. No
alternative means – legislative or operational – can be used to attain the objectives of this
proposal.
3.
•
RESULTS
OF
EX-POST
EVALUATIONS,
CONSULTATIONS AND IMPACT ASSESSMENTS
Ex-post
evaluations/fitness checks of existing legislation
STAKEHOLDER
The Commission has conducted an evaluation of the EU securitisation framework in general,
as part of the impact assessment. The evaluation also specifically covers the securitisation
prudential framework in the CRR (as set out in the Chapter 5 of Title II or Part III of the
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CRR). It covers the period from the entry into application of the amendments introduced as
part of the securitisation framework (1 January 2019) up to the present. In line with the Better
Regulation Toolbox, the evaluation examines whether the objectives of the securitisation
framework were met during that period (effectiveness), whether the objectives are still
appropriate (relevance) and whether, taking account of the costs and benefits, the framework
has been efficient in achieving its objectives (efficiency). The evaluation also considers
whether the securitisation framework, in the form of EU level legislation, has provided ‘EU
added value’ and whether it is consistent with other related pieces of legislation (coherence).
The evaluation concluded that amendments are needed to ensure that securitisation can
meaningfully contribute to improve the financing of the EU economy and further develop the
Savings and Investments Union. The prudential framework for credit institutions is
insufficiently risk sensitive and capital ‘non-neutrality’ is disproportionately high for certain
securitisation positions. Therefore, to address undue prudential impediments, a revision of the
prudential treatment of securitisations for banks is necessary.
•
Stakeholder consultations
On 3 July 2024, the Commission hosted a Securitisation Workshop, which invited
representatives from the banking industry/associations, Ministries, European Supervisory
Authorities (ESAs), the Single Supervisory Mechanism of the European Central Bank, the
European Investment Bank, insurers, asset managers, nongovernmental organisations and
pension funds to share their views.
A targeted public consultation on the functioning of the EU securitisation framework was
carried out between 9 October 2024 to 4 December 2024. 133 responses were received from a
variety of stakeholders
13
. The consultation was split into twelve sections which sought to
gather views from a broad range of stakeholders active in the EU securitisation market on
whether the Securitisation Framework met and continues to meet its objectives in terms of
market safety, operational cost reduction and prudential risk-sensitivity. The consultation was
also used to collect feedback on the operation of the STS standard, the effectiveness of
supervision, and the prospect of a future securitisation platform(s). In addition, the
Commission has carried a series of bilateral meetings with a wide range of stakeholders who
confirmed the feedback already received.
The feedback gathered in that consultation is reflected in the evaluation of the securitisation
framework.
A call for evidence was opened between 19 February 2025 and 26 March 2025
14
to request
feedback from stakeholders on the review of the Securitisation Framework. Stakeholders were
asked to provide views on the Commission's understanding of the problem and possible
solutions, and provide relevant information. 34 respondents replied to the call for evidence
and presented their views
15
. Out of those 34 respondents, 26
16
had also replied to the 2024
targeted consultation, with their views remaining broadly the same. Points made by first-time
13
14
15
16
Available
at
https://finance.ec.europa.eu/regulation-and-supervision/consultations-0/targeted-
consultation-functioning-eu-securitisation-framework-2024_en
Securities and markets - review of the Securitisation Framework (europa.eu)
One respondent made two separate (substantively similar) contributions; another respondent submitted
three separate contributions. Therefore, 37 contributions were received, from 34 individual respondents.
The
respondents
that
had
already
replied
to
the
targeted
consultation
represented: 7 companies/businesses, 15 business
associations, 2 non-governmental
organisations (NGOs), 2 such respondents identified as ‘other’
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respondents were also consistent with the feedback of the targeted consultation previously
received.
•
Collection and use of expertise
The preparation of this proposal has benefited from extensive expert input, including
stakeholder consultations, meetings, and analytical work carried out by the European
Supervisory Authorities. The proposal takes account of the ESAs’ Joint Committee’s advice
on the review of the securitisation prudential framework, which was published in December
2022 in response to the European Commission’s October 2021 call for advice. The Joint
Committee report assessed the performance of the rules on capital requirements (for credit
institutions, insurance and reinsurance undertakings) and liquidity requirements (for credit
institutions) with respect to the framework’s original objective of contributing to the sound
revival of the EU securitisation framework.
The proposal also takes account of the advice in the 2020 European Banking Authority (EBA)
report on significant risk transfer (SRT) in securitisation, which the EBA was mandated to
produce under Articles 244(6) and 245(6) of the CRR. Taking account of the findings of the
EBA discussion paper on SRT published in 2017, and further analysis based on the review of
SRT market practices and the supervisory approaches to SRT assessments, the report included
a set of detailed recommendations to the European Commission on the harmonisation of SRT
assessment practices and processes.
National authorities were consulted in the framework of the Eurogroup Working Group+
(EWG+), the Council Financial Services Committee (FSC), and the Commission Expert
Group on Banking, Payments and Insurance (EGBPI). Several Member States also replied to
the Targeted Consultation through their finance ministries and engaged with the Commission
bilaterally.
•
Impact assessment
An impact assessment was carried out for this proposal covering the complete legislative
package i.e. including the amendments to the Securitisation Regulation, the Liquidity
Coverage Ratio (LCR) Delegated Act as well as the Solvency II Delegated Act.
The impact assessment clearly shows the benefits in terms of efficiency and effectiveness of
introducing targeted changes to the risk weight floors, (p) factor and the SRT framework in
the CRR. The proposals are expected to be effective in reducing undue prudential
impediments for credit institutions to engage in securitisation. They are also expected to
increase the economic viability of securitisation as a risk transfer tool. By mitigating some of
the key barriers to entry for new EU credit institutions, the proposals are expected to make
securitisation more accessible to a larger number of credit institutions across the EU. This
should help strengthen the EU banking system’s ability to provide credit to the economy and
to provide funding to new businesses. Overall, as the measures do not propose a fundamental
overhaul of the methods that banks use for the calculation of capital, they rather involve an
adaptation of existing systems and parameters and make the framework more risk sensitive -
the costs are therefore expected to be limited. Some costs are expected for competent
authorities to adapt their methodologies, in particular as a consequence of changes to the SRT
framework. However, overall, the supervisory processes would be simplified. The proposals
have a targeted scope, aim to ensure a positive impact on the EU securitisation market going
forward, and aim to support the international competitiveness of EU credit institutions.
The measures focus on economic incentives through removing undue prudential impediments.
That said, a simpler, more risk-sensitive, and proportionate regulatory framework is expected
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to incentivise credit institutions to issue more securitisation transactions and hence increase
the amount of capital relief, which is expected in turn to give rise to additional lending to EU
businesses and households.
The impact assessment report was submitted to the Regulatory Scrutiny Board and was
examined by the Board on 9 April 2025.
The Board gave a positive opinion with reservations, noting that a limited number of
shortcomings were identified that required to be addressed in the final impact assessment. The
Board called for additional input in some areas, including further details on the content of
changes in the prudential framework and a substantiated comparative analysis of financial
stability risks related to the changes in the prudential framework. These issues have been
addressed and incorporated into the final version which is available on the Commission
website.
•
Regulatory fitness and simplification
The proposal puts forward a series of refinements to enhance the proportionality and risk
sensitivity of the existing securitisation prudential framework. Some elements of the proposal
simplify certain burdensome requirements and make the framework more consistent and
predictable. Some other elements, notably those which increase the risk sensitivity, introduce
some additional complexity into the framework. This is however inevitable to maintain the
prudence of the framework and promote financial stability; the introduced risk sensitivity
allows to reduce the capital requirements only for transactions where risks have been reduced.
The additional complexity is, however, limited. Ultimately, taking together all proposed
changes in the context of the overall securitisation framework, the framework is being
simplified and is expected to give rise to greater efficiency within the securitisation market.
•
Fundamental rights
The proposal has no consequences for the protection of fundamental rights.
4.
BUDGETARY IMPLICATIONS
The proposal has no budgetary implications.
5.
•
OTHER ELEMENTS
Implementation plans and monitoring, evaluation and reporting arrangements
The impact of the new framework will be closely monitored in cooperation with the EBA and
competent supervisory authorities. Monitoring will be based on the supervisory reporting
arrangements and disclosure requirements by institutions provided for in the CRR, and will
form part of the ongoing supervision and the supervisory assessments of the significant risk
transfer.
The Commission will also evaluate this package of proposed amendments, four years after its
entry into application, and present a report on its main findings to the European Parliament
and the Council. The evaluation will be carried out in accordance with the Commission's
Better Regulation Guidelines. It will be based on a list of specific and measurable indicators
that are relevant to the objective of the reform, as also presented in the impact assessment. To
prepare the evaluation report, the Commission will consult EBA and will also mandate the
European Supervisory Authorities, the European Central Bank/Single Supervisory
Mechanism and the Member States to collect data to calculate the indicators and report on
them to the Commission.
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•
Detailed explanation of the specific provisions of the proposal
Interaction and consistency between elements of the package
This proposal for a Regulation is part of a wider securitisation review which encompasses
changes to two Regulations (in addition to the CRR, the Securitisation Regulation) and two
Delegated Acts (the LCR Delegated Act and the Solvency II Delegated Act). The proposed
changes should be viewed as a package of measures that tackle supply and demand issues in
the securitisation market in a comprehensive manner.
Amendments to the risk weight floors for senior positions
Risk weight floors are minimum risk weights that credit institutions issuing and investing in
securitisation must apply to their securitisation exposures, even if the capital requirements
calculations under SEC-SA and SEC-IRBA approaches suggest a lower risk weight. They
ensure a bottom level of capital requirements. The current framework is quite risk-insensitive,
as it only allows for two fixed risk weight floors for senior positions: a 10% risk weight floor
for the exposure to a senior position of simple, transparent and standardised (STS)
transactions, and a 15% risk weight floor for the exposure to a senior position of non-STS
transactions.
The proposal introduces the new concept of a risk-sensitive risk weight floor, where the risk
weight floors for senior securitisation positions are proportionate to the riskiness (i.e. average
risk weights) of the underlying pool of exposures. This significantly increases the risk
sensitiveness of the securitisation capital framework and decreases existing disincentives for
the securitisation of portfolios with low risk weights. To prevent excessively low risk weights
floors and to preserve consistency with international standards, the risk weight floors
calculated under this risk-sensitive formula should be subject to a minimum level.
The calculation of the risk weight floor for senior positions differentiates between STS and
non-STS securitisations by using a different scalar for each, to reflect the inherent better
quality of STS securitisations framed by a set of detailed STS criteria and by a dedicated
supervision. The scalars have been calibrated to achieve moderate to ambitious results in
terms of reduction of the capital requirements, while still keeping prudent results.
Amendments to the (p) factor
The (p) factor is a parameter driving the ‘non-neutrality’ of the securitisation capital
requirements for securitisation exposures held by credit institutions. It is one of the
parameters used in the formulae for calculating securitisation risk weights, and it increases the
amount of capital for securitisation positions, above what would be required for the
underlying exposures if they were not securitised. A (p) factor of 1 should be interpreted as a
100% higher capital requirement or a doubling of the capital requirement for all securitisation
positions, compared to the capital requirement of the underlying non-securitised assets, while
a (p) factor of 0.3 results in a 30% higher capital requirement. The (p) factor only exists in the
formula-based approaches (SEC-IRBA and SEC-SA) and does not exist in the SEC-ERBA
external rating-based approach (where risk weights are specified directly in a table defined in
the CRR, to ‘mirror’ the risk weights computed under the SEC-SA formula).
One of the main takeaways from the evaluation of the current framework and the consultation
with stakeholders is that the levels of the (p) factor are excessively high and lead to
unjustified levels of overcapitalisation for some securitisation transactions. In addition, the
non-neutrality of capital requirements is particularly high under the SEC-SA approach and
causes unjustified differences between the capital requirements calculated under SEC-IRBA
and SEC-SA approaches.
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Targeted amendments should therefore be introduced to the (p) factor under the SEC-IRBA
and SEC-SA approaches, in order to: (i) introduce more risk sensitivity; (ii) address excessive
levels of non-neutrality; (iii) reduce the excessive conservativeness of the SEC-SA approach;
(iv) maintain the principle of the hierarchy of approaches (i.e. that the SEC-IRBA approach at
the top of the hierarchy should, as a principle, lead to lower capital requirements than the
SEC-SA approach in the middle and the SEC-ERBA approach at the bottom of the hierarchy
leading to the most conservative outcomes).
The targeted amendments therefore differentiate between positions in STS and non-STS
securitisations, originators/sponsors and investors positions, and senior and non-senior
positions. Generally, the focus of the reductions of the (p) factor is on senior positions,
originators/sponsors positions and on STS securitisations. Put differently, investor exposures
in non-STS securitisations and in non-senior positions of STS securitisations should not
benefit from a reduced (p) factor, as credit institutions’ investments in non-senior positions of
securitisation are not desirable and should not be supported.
Under SEC-IRBA, where the framework requires the (p) factor to be calculated based on a
specific formula, it is proposed that the (p) factor is subject to a reduced scaling factor, a
reduced floor and subject to a newly introduced cap. These changes are focused on the senior
positions. Apart from the changes explained above (to the cap, the floor and the scaling
factor), the formula for calculating the (p) factor under SEC-IRBA remains unchanged.
Under SEC-SA, where the framework sets out flat levels of the (p) factor, differentiating only
between STS and non-STS securitisations, it is proposed that the (p) factor is reduced for
senior positions.
Under SEC-ERBA, the risk weights in the look-up tables have been recalibrated, to reflect
changes proposed to the risk weight floor and to the (p) factor under SEC-IRBA and SEC-SA
approaches, while at the same time maintaining the hierarchy of approaches (i.e. to maintain
the principle that SEC-ERBA should lead to most conservative outcomes out of the three
approaches). To reflect the introduction of the risk sensitive risk weight floor, the look-up
tables have to incorporate the formula for calculating the risk sensitive risk weight floor, for
the positions with the highest credit quality steps (CQSs) that are likely to touch the lowest
risk weights. Therefore, the risk weight floor formula should override the updated risk
weights in the look-up tables, if it produces higher results. If banks cannot calculate K
A17
(because, for example, they cannot obtain the parameter w for the calculation of K
A
), they
must use the current risk weights of 10% for STS or 15% for non-STS. This is to avoid the
risk of regulatory arbitrage, where SEC-ERBA would be able to result in lower risk weights
for these highest CQS positions than under the formula-based (SEC-IRBA and SEC-SA)
approaches (where the formula has to be used for the calculation of the risk weight floor).
Overall, the proposed changes aim to maintain prudent results and take into consideration
EBA and supervisory concerns that reducing the (p) factor may lead to the undercapitalisation
of the mezzanine positions and cliff effects (i.e. situation where small changes in the (p) factor
result in large changes in the capital requirements and steep differences between capital
requirements for different positions).
Resilient positions
In addition, building on the proposals in the 2022 Joint Committee advice on the review of the
securitisation prudential framework, the proposal introduces a new concept of resilient
17
K
A
means a capital charge for the underlying exposures in securitisation, adjusted to reflect adverse
performance, using the Standardised framework.
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securitisation positions. The resilient securitisation positions are senior positions in
securitisations which satisfy a set of eligibility criteria that ensure low agency and model risk
and a robust loss absorbing capacity for the senior positions. The eligibility criteria build on
the Joint Committee’s recommendations. They are adapted to capture a larger part of the
securitisation market positions, while still ensuring prudent results.
The requirements are the following:
•
Reduced agency and model risks. Only securitisation positions which feature reduced
agency and model risks are eligible. This includes (i) positions by originators, both in
STS and non-STS securitisation (as originators have more detailed knowledge of and
control over the underlying exposures and the securitisation origination process than
investors); (ii) positions by sponsors, both in STS and non-STS securitisations (as
sponsors have access to more information than investors and agency risks are smaller
than risks associated with investors’ positions); and (iii) investor positions - in STS
securitisations only (because STS criteria largely mitigate the agency and model
risks). Investor positions in non-STS securitisations are excluded as the agency and
model risks are not reduced.
Amortisation mechanism. Only sequential amortisation is allowed, or pro-rata
amortisation, provided the transaction includes performance-related triggers
requiring a switch to sequential amortisation. This aims to ensure a conservative
credit enhancement for the senior position over the life of the transaction. These are
existing STS criteria. Therefore, traditional securitisation needs to comply with the
existing STS criterion defined in the Article 21(5) of the Regulation (EU) 2017/2402
and with the additional guidance provided in the EBA Guidelines for non-ABCP
securitisation EBA/GL/2018/09. Synthetic securitisation needs to comply with the
existing STS criterion defined in the Article 26c(5) of the Regulation (EU)
2017/2402, along with the guidance provided in the EBA Guidelines on the STS
criteria for on-balance-sheet securitisation EBA/GL/2024/05, and the requirements of
the Delegated Regulation (EU) 2024/920 on performance related triggers.
Concentration/granularity. The exposures in the pool must comply with a maximum
concentration limit of 2%, i.e. exposures to a single obligor may not exceed 2% of
the aggregate exposure value. A granular pool facilitates a higher-risk diversification,
generally reduces the probability of correlated defaults and better insulates the senior
position from the risk of losses.
Counterparty credit risk (only relevant for synthetic transactions). Only credit
protection supported by high quality collateral or in the form of guarantees provided
by sovereigns or supra-nationals is allowed. This reduces the counterparty credit risk
associated with the credit protection to which the originator is exposed, enables the
originator to quickly compensate the losses incurred in SRT structures and
contributes to the effectiveness of the risk transfer. The focus of this requirement is
to protect the originator (and the originator’s exposure to the senior position), since
in synthetic securitisations the senior position is usually retained by the originator.
Minimum credit enhancement (i.e. maximum thickness) of the senior position. This
requirement aims to ensure sufficiently thick non-senior positions to cushion the
senior position against potential losses. A specific formula is introduced for
calculating the minimum attachment point of the senior position under the SEC-
IRBA approach. This is largely consistent with the Single Supervisory Mechanism’s
expectations in the context of the SRT supervisory assessments. For SEC-SA and
SEC-ERBA approaches, a separate formula is introduced which is easier to
•
•
•
•
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implement and which avoids complexities with the application of the formula applied
under the SEC-IRBA approaches (for example, the complexities of the calculation of
the lifetime expected losses under the standardised approach). The formula for
calculating the minimum attachment point under the SEC-IRBA approach uses the
weighted average life (WAL) of the initial reference portfolio, as one of the inputs.
The WAL should be calculated consistently with the guidance provided in the
Guidelines on the STS criteria (EBA/GL/2024/05), which is consistent with the
assumptions of the calculation of WAL under the EBA Guidelines on the
determination of the weighted average maturity of the contractual payments due
under the tranche (EBA/GL/2020/04). Accordingly, the calculation of WAL should
not take into account any prepayments for synthetic securitisations, while for true
sale securitisation the prepayments should be allowed to be taken into account under
specific conditions (as set out in the section 4.3.2 of the respective guidelines).
In practice, for STS securitisations, only two out of five criteria are new, as the criteria on
amortisation mechanism, concentration/granularity and counterparty credit risk are already
existing STS criteria (set out in the Securitisation Regulation) or ‘STS+’ criteria for
preferential capital treatment (set out in Article 243 of the CRR).
Securitisation positions compliant with the above criteria are allowed to benefit from
additional reductions to the risk weight floors and, for certain investor positions, also
reductions in the (p) factor.
These criteria are specified in the Article 243 of the CRR. Article 243 of the CRR now
specifies two sets of criteria for differentiated capital treatment: first, existing criteria for STS
securitisations qualifying for STS capital treatment, and second, new ‘resilience’ criteria for
securitisation positions to qualify for more favourable capital treatment than other (non-
resilient) positions.
The risk of regulatory arbitrage (where the originator credit institution would be incentivised
to structure an unduly thick senior position to benefit from the lower (p) and lower risk
weights) is mitigated as follows: in the case of resilient positions, through a ‘resilience’
requirement on the maximum thickness of the senior position; and for other positions, through
the significant risk transfer framework, where the new principle-based approach test prevents
such arbitrage. Similarly, credit institutions investing in senior positions of STS securitisation
are able to benefit from a lower (p) only if the position is resilient and therefore complies with
the requirement on the thickness of the position.
All the proposed changes to the risk weight floors and to the (p) factor are summarised in the
following three tables.
Table 1: Current framework requirements
STS
Originator/
sponsor
SEC-IRBA
Senior
position
Risk
weight
floors
(p)
factor
Investor
SEC SEC-IRBA
-SA
10%
SEC
-SA
Non-STS
Originator/
sponsor
SEC-IRBA
Investor
SEC- SEC-IRBA
SA
15%
SEC-
SA
Formula,
Scaling factor
0.5,
Floor 0.3
0.5
Formula,
Scaling factor
0.5,
Floor 0.3
0.5
Formula,
Scaling factor
1,
Floor 0.3
1
Formula,
Scaling factor
1,
Floor 0.3
1
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Non-
senior
positions
(p)
factor
Formula,
Scaling factor
0.5,
Floor 0.3
0.5
Formula,
Scaling factor
0.5,
Floor 0.3
0.5
Formula,
Scaling factor
1,
Floor 0.3
1
Formula,
Scaling factor
1,
Floor 0.3
1
Table 2: Proposed requirements for transactions with resilient positions (changes compared
to the current framework are marked in
bold,
changes compared to the proposed treatment
for other transactions are marked in
bold underlined)
STS
Originator/
sponsor
SEC-IRBA
Senior
position
Risk
weight
floors
(p)
factor
Investor
SEC-
SA
SEC-IRBA
SEC-
SA
Non-STS
Originator/
sponsor
SEC-IRBA
Investor
SEC-
SA
SEC-IRBA
SEC-
SA
Formula:
10% * K
IRB
or K
A
* 12.5
Floor 5%
Formula,
Scaling
factor 0.3,
Floor 0.2,
Cap 0.5
Formula,
Scaling factor
0.5,
Floor 0.2,
Cap 0.5
0.3
Formula,
scaling
factor 0.3,
Floor 0.2,
Cap 0.5
Formula,
Scaling
factor 0.5,
Floor 0.3,
Cap 0.5
0.3
Non-
senior
positions
(p)
factor
0.5
0.5
Formula:
15% * K
IRB
or K
A
*
12.5
Floor 10%
Formula,
0.6
Scaling
factor 0.7,
Floor 0.3,
Cap 1
Formula,
1
Scaling
factor 1,
Floor 0.3,
Cap 1
Formula:
15% * K
IRB
or K
A
*
12.5
Floor 12%
Formula,
1
Scaling
factor 1,
Floor 0.3,
Cap 1
Formula,
1
Scaling
factor 1,
Floor 0.3,
Cap 1
Table 3: Proposed requirements for transactions with other than resilient positions (changes
compared to the current framework are marked in
bold)
STS
Originator/
sponsor
SEC-IRBA
Senior
position
Risk
weight
floors
(p)
factor
Investor
SEC-
SA
SEC-IRBA
SEC-
SA
Non-STS
Originator/
sponsor
SEC-IRBA
Investor
SEC-
SA
SEC-IRBA
SEC-
SA
Non-
senior
positions
(p)
factor
Formula:
10% * K
IRB
or K
A
* 12.5
Floor 7%
Formula,
0.3
Formula,
Scaling
Scaling factor
factor 0.3,
0.5,
Floor 0.2,
floor 0.3,
Cap 0.5
Cap 0.5
Formula,
0.5
Formula,
Scaling factor
Scaling
0.5,
factor 0.5,
Floor 0.2,
Floor 0.3,
Cap 0.5
Cap 0.5
0.5
0.5
Formula:
15% * K
IRB
or K
A
* 12.5
Floor 12%
Formula,
0.6
Formula,
Scaling
Scaling
factor 0.7,
factor 1,
Floor 0.3,
Floor 0.3,
Cap 1
Cap 1
Formula,
1
Formula,
Scaling
Scaling
factor 1,
factor 1,
Floor 0.3,
Floor 0.3,
Cap 1
Cap 1
1
1
*K
IRB
means a capital charge for the underlying exposures in securitisation using the IRB (Internal Ratings Based) framework. K
A
means a
capital charge for the underlying exposures in securitisation, adjusted to reflect adverse performance, using the Standardised framework.
Significant risk transfer (SRT)
The EBA report on the significant risk transfer
18
published in 2020 documented that the
existing SRT regulatory framework in the CRR had a number of limitations, in particular in
three areas: a) the SRT tests, with limitations relating to the interpretation of the quantitative
thresholds and measures used by the CRR mechanical tests and to the qualitative
‘commensurateness‘ test in general, for which the CRR provides only high‐level criteria; b)
18
The EBA calls on the European Commission to harmonise the significant risk transfer assessment in securitisation |
European Banking Authority (europa.eu)
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the process applied by competent authorities to assess SRT, and c) specific structural features
of securitisation transactions, which may be detrimental to complying with SRT requirements
on a continuous basis and, thus, affect the effectiveness of the risk transfer. These framework
limitations have contributed to market uncertainty and delays for competent authorities in
assessing some securitisation transactions. In some cases, they have also led to unjustified
inconsistencies in SRT outcomes and capital calculations in the SRT treatment of
securitisations with comparable characteristics across Member States.
The amendments to the SRT framework aim to address the limitations to the SRT framework
identified above (i.e. limitations relating to the current SRT tests, structural features of
securitisations and supervisory processes) and to make the SRT framework more consistent
and predictable. SRT predictability is enhanced by laying down the main elements of the SRT
assessment, including the broad design of the new SRT test, in the CRR. The
operationalisation of the technical details of the test, requirements as regards the structural
features and the principles of the supervisory assessment process are left to EBA regulatory
technical standards.
Replacement of the current mechanical tests by the new principle-based approach test
In line with the EBA recommendations, and with the aim of addressing the limitations
identified with respect to the existing mechanical tests, a new principle-based approach test
(PBA test) is introduced that replaces the existing two mechanical tests. This PBA test
requires the originator to transfer at least 50% of unexpected losses of the exposures of the
underlying portfolio of the securitisation transaction to third parties.
In addition, a new requirement is introduced for the originator to submit a self-assessment to
the competent authority. The self-assessment should demonstrate that significant risk transfer
is met, including in stress conditions. As part of this self-assessment, the originator should
provide a cash-flow model analysis which provides evidence of the SRT’s sustainability over
the life of the transaction and demonstrates how lifetime expected losses and unexpected
losses of the securitised exposures are allocated to the positions of the transaction. The cash-
flow analysis should cover both baseline as well as stress conditions and should be produced
at origination for the whole life of the transaction. Finally, the self-assessment should also
include information on the capital relief achieved by the securitisation. This should allow the
supervisor to assess whether a securitisation with complex or innovative features leads to a
disproportionate amount of capital relief compared to the risk transferred. The self-assessment
would in general make it easier for the competent authorities to identify those features of
securitisation transactions requiring greater supervisory attention. This would enable them to
provide originators with greater transparency and predictability for originators and to
streamline the SRT assessment.
Given the deletion of the mechanical tests, it is proposed to also delete the definition of the
mezzanine securitisation position. The definition is now redundant, given that the only
reference to the mezzanine position was made in the context of the mechanical tests.
Moreover, an amendment should also be introduced in the definition of the senior position,
where an additional condition/clarification should be introduced that the senior tranche needs
to attach above K
IRB
/K
A.
In due course, the EBA will issue a regulatory technical standard (RTS) containing: (i) further
details on the conditions for the competent authorities to apply the PBA test, and (ii) technical
specificities of the self-assessment and cash-flow modelling (including standards for the
allocation of the lifetime expected losses and the unexpected losses to the positions). This
should ensure a homogeneous implementation of the PBA test and address the main concerns
raised by stakeholders on these matters. Additionally, the RTS will deal with structural
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features that may hinder the significant transfer of risk, along the lines of the
recommendations made in the EBA report on SRT.
Under the proposal, the current permission-based approach – rarely used – will be removed
from the CRR (i.e. achievement of SRT through permission granted by the competent
authority is no longer allowed).
Preserving supervisory flexibility
It is crucial to preserve flexibility for competent authorities in their SRT assessments, and the
competence to carry out a comprehensive review of SRT transactions if there are complex and
innovative transactions. Further details on the conditions for the competent authorities to
apply the comprehensive review of SRT will be set out in the RTS developed by the EBA.
Process of the supervisory SRT assessment
The process of the supervisory SRT assessment is currently not covered in the CRR. High-
level principles governing SRT supervisory assessments should be harmonised at EU level
with the aim of making them more efficient. The EBA should formulate such high-level
principles in the RTS. This should also include high-level principles for a fast-track process
for qualifying securitisations, building on EBA recommendations and drawing on experience
with the fast-track process currently being developed by the Single Supervisory Mechanism in
cooperation with the European Banking Federation.
Transitional measure related to the output floor in Art. 465(13)
The changes to the (p) factor and the risk weight floors for senior positions have been
calibrated in such a way as to mitigate any excessive results for the output floor measure,
stemming from the conservative treatment under the SEC-SA approach and disproportionate
differences between the SEC-IRBA and SEC-SA approaches. The demands that have led to
the introduction of the transitional measure in Article 465(13) have therefore been largely
addressed, which also suggests that the transitional measure, which is in any case set to expire
after 31 December 2032, is not necessary to the same extent.
Other technical fixes and clarifications
A number of technical amendments and fixes, proposed by EBA and by stakeholders in the
Commission consultation, should be introduced as part of the review.
These include the following:
–
Time calls in synthetic securitisations and positive incentive in the context of Article
238. A clarification is included in Article 238 that a positive incentive, as referred to
in Article 238, for the purpose of determining a maturity mismatch, is present in time
calls only when at origination the contract includes terms apparently intended to
increase the advantageousness of exercising the time call option (such as step-up
coupon, the possibility to exercise a time call option less frequently than on an
annual basis after the first eligible time call date, or the release of collateral securing
the claims of the protection buyer at or after the first eligible time call date).
Criteria for STS securitisations qualifying for differentiated (STS) capital treatment
in Article 243. Some adjustments are necessary to make the securitisation framework
consistent with changes to risk weights applied to some types of exposures under the
credit risk framework, as introduced by the Capital Requirements Regulation III.
•
First, the requirement for a 75% risk weight limit for retail exposures on an
individual basis is deleted and merged with the requirement for a maximum
100% risk weight for any other exposures on an individual basis. This would
–
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make retail exposures to individuals above EUR 1 million eligible, for
example.
•
Second, the risk weight limit of 50% for commercial mortgages is increased to
60%. This would maintain the approach applied under the previous CRR
regime, where a 50% loan-to-value (LTV) limit has been applied to exposures
to commercial non-income-producing real estate (commercial non-IPRE). This
also means that exposures to commercial IPRE, which are not desirable for the
STS label, would not be eligible.
Third, no change is introduced to the risk weight limit applied to residential
mortgages. In fact, the 40% limit makes it possible to maintain an 80% LTV
limit for the majority of exposures and at the same time a higher share of
residential non-IPRE exposures with a 100% LTV limit than the previous CRR
regime. This enables income producing residential real estate exposures to be
included.
•
–
Clarifications with respect to the Article 248(1). The mandate, given to EBA in
Article 248(1) to draft RTS specifying what constitutes an appropriately conservative
method for calculating the nominal amount for the undrawn part of a liquidity
facility, is deleted, as no further clarification is considered necessary on the
calculation of the nominal amount of the drawn portion, beyond what is already set
out in the relevant Article. Also, as the calculation of the nominal amount of the
undrawn portion (the off-balance sheet item) is straight forward, because it can be
determined as the difference between the total nominal amount of the liquidity
facility and the nominal amount of the drawn portion (an on-balance sheet item), the
requirement for the institution to demonstrate application of an appropriately
conservative method for measuring the amount of the undrawn portion, is deleted.
Treatment of specific credit risk adjustments (SCRAs) for calculating capital
requirements post securitisation, under Article 248(1)(d). Article 248(1)(d) is
amended to extend the possibility to deduct SCRAs also to tranches that have been
assigned a risk weight lower than 1250%, provided they have an attachment point A
that is smaller than K
IRB
or K
A
. If this condition is satisfied, the securitisation
position may be treated as two securitisation positions: the more senior position with
A equal to K
IRB
or K
A
and the junior position with A below K
IRB
or K
A
and
detachment point D equal to K
IRB
or K
A
. In this case SCRAs will be deductible only
from the exposure value of this more junior position, which would be assigned a risk
weight of 1250%.
Clarification on the exposure value of synthetic excess spread under Article 248(1),
point (e). some minor technical clarifications are included in the provision on the
calculation of the exposure value of the synthetic excess spread, such as moving the
reference to the contractually designated SES to the introductory sentence and its
deletion from the points (i) to (iv), to avoid unnecessary repetitions.
Conditions in Article 254(1)(c) under which SEC-SA may not be used. Article
254(1) defines the hierarchy of approaches. However, the conditions under which
SEC-SA may not be used are not well specified. Article 254(1)(c) is therefore
amended to clarify that the only cases where the SEC-SA may not be used are
specified in paragraphs 2 and 4 of the same article. These paragraphs specify
respectively the conditions for a mandatory switch to SEC-ERBA and the cases in
which the use of the SEC-SA is prohibited by the relevant competent authority.
–
–
–
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–
Scope of application of the internal assessment approach (IAA) under Article 254(4).
Article 254(5) of the CRR is amended to clarify that the IAA cannot replace the
mandatory application of SEC-IRBA, but rather may only be used as an alternative
to the application of other approaches, i.e. the SEC-SA, the SEC-ERBA or the
application of a 1250% risk weight.
Calculation of K
A
in Article 256(1) within the application of the SEC-SA. Article
255(6) is amended to clarify that K
SA
should be calculated on the basis of the capital
requirements of the non-defaulted exposures in the pool of underlying exposures
only, to avoid double-counting those exposures in the calculation of K
A
in
accordance with Article 261(2) of the CRR. Article 261(2) gives a definition of
‘exposure in default’ for the purpose of calculating W; this definition should also be
used for the purpose of calculating K
SA
, to ensure consistency between the formula
for K
A
and the calculation of K
SA
. In addition, the second subparagraph of Article
255(6) is amended to improve clarity on the fact that that K
SA
should be calculated
on the basis of the exposure value of the underlying exposures gross of any SCRAs
and additional value adjustments on such underlying exposures (and not net of
these).
Treatment of defaulted exposures in calculation of attachment and detachment points
in Article 256. It is clarified that the outstanding balance of the pool of securitised
exposures should, for the purpose of calculating the attachment and detachment
points of the tranches, be reduced by the amount of losses already allocated to the
tranches in respect of the defaulted exposures that are still included in the
securitisation portfolio. This is to ensure that the calculation of the attachment and
detachment points of a tranche adequately reflects the balance of the securitised
exposures. This is relevant in case of a tranche which has been written down to
reflect losses on the securitised exposures that remain in the securitised portfolio.
Consistently with the clarification provided in the Article 256, Article 261(2) is
amended to clarify that, for the purpose of the formula for the W parameter, the
nominal amount of defaulted exposures is the accounting value of the defaulted
exposures minus any amounts by which the tranches have already been written down
to absorb losses on those defaulted exposures, or which have been absorbed by the
excess spread.
Calculation of K for mixed pools under Article 259(7). K
SA19
is replaced with K
A
in
the formula which specifies the calculation of K
IRB
for mixed pools. K
A
is better
suited in the formula than K
SA
, as K
A
reflects the capital requirements to be used in
the formula for exposures in a mixed pool which are treated under the SEC-SA.
Clarifications with respect to the calculation of the overall cap on capital
requirements for a securitisation position, under Article 268(1). Article 268(1) is
amended to align the calculation of the overall cap on capital requirements for a
securitisation position under Article 268 with the amendment made for NPE
securitisations in Article 269a(5) of the CRR. Consequently, originators using the
SEC-IRBA in case of non-NPE securitisations should deduct SCRAs from the
expected loss component of K
IRB
(capital requirements for the underlying exposures)
for the purposes of calculation of the overall cap in accordance with Article 268,
similarly as it allowed in the case of NPE securitisations. This is to ensure
Ks
A
means a capital charge for the underlying exposures in securitisation, using the Standardised framework. In
contrast to K
A
, it is not adjusted to reflect adverse performance.
–
–
–
–
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consistency with the IRB Approach when calculating the capital requirements pre-
securitisation and, therefore, the cap in accordance with Article 268. In addition, the
Article 268(1) should be amended to remove the existing restriction, according to
which the cap on the capital requirements cannot be applied by the SEC-SA and
SEC-ERBA investors, as the restriction is not justified.
–
Carving out fully capitalised tranches from the calculation of V (i.e. the largest
proportion of interest that the institution holds in the relevant tranches) in Article
268(3) of the CRR: An option is included to carve out from the calculation of V (i.e.
the largest proportion of interest that the institution holds in the relevant tranches)
under Article 268(3) of the CRR any tranche in full to which the originator applies a
1250% risk weight or which is deducted from Common Equity Tier 1 (CET1) items
in accordance with point (k) of Article 36(1). The maximum capital requirement
should be the sum of the capital requirements calculated under Chapter 2 or 3 on the
‘net underlying exposures’, i.e. total underlying exposure net of the exposure value
relative to the carved-out tranche, multiplied by the revised V and the sum of the
exposure values (which equal the capital requirements after securitisation) of the
securitisation positions which are carved out from the calculation of V. The scope of
this option should be as broad as the proposed amended scope of the Article 268(1).
Recital 11 is added to clarify the underlying rationale of paragraph 2 of Article 254
on the quantitative rules to switch to SEC-ERBA, and the intended scope of
application of this requirement. The aim here is to ensure a consistent interpretation
and application of the requirement by the competent authorities and institutions
across the Union. The recital clarifies that the article is aimed at avoiding the
mandatory use of SEC-ERBA in relation to transactions for which the sovereign
ceiling – and not the risk profile of the transactions – is the prevalent driver in
determining the risk weights under this approach.
Reports on STS on-balance sheet securitisations under Article 270(2) and (3).
Mandate for reports by the Commission and the EBA in relation to the STS on-
balance sheet securitisations are replaced by a mandate for a more general
monitoring report by EBA, under Article 506d(2), and a more general report by the
Commission, under Article 506d(1).
–
–
Review
It is also proposed that the framework, along with the targeted amendments introduced by this
current review, is to be reviewed 4 years after its entry into force. The review would be an
opportunity to assess the appropriateness of the amended Union prudential securitisation
framework. In particular, it would be an opportunity to consider whether a more fundamental
change to the risk-weight formulae and functions would lead to greater risk sensitivity and
more proportionate levels of capital non-neutrality, mitigate cliff effects and address the
structural limitations of the current framework. It is also proposed that the EBA submits a
monitoring report 2 years after its entry into force, monitoring the developments and
dynamics of the EU securitisation market resulting from the amended prudential framework.
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3042867_0020.png
2025/0825 (COD)
Proposal for a
REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
amending Regulation (EU) No 575/2013 on prudential requirements for credit
institutions as regards requirements for securitisation exposures
(Text with EEA relevance)
THE EUROPEAN PARLIAMENT AND THE COUNCIL OF THE EUROPEAN UNION,
Having regard to the Treaty on the Functioning of the European Union, and in particular
Article 114 thereof,
Having regard to the proposal from the European Commission,
After transmission of the draft legislative act to the national parliaments,
Having regard to the opinion of the European Economic and Social Committee
20
,
Having regard to the opinion of the European Central Bank
21
,
Having regard to the opinion of the Committee of the Regions
22
,
Acting in accordance with the ordinary legislative procedure,
Whereas:
(1)
Securitisation transactions are an important part of well-functioning financial markets
as they help to diversify credit institutions' funding sources and enable the release of
regulatory capital which can then be reallocated to support additional lending.
Furthermore, securitisations provide credit institutions and other market participants
with additional investment opportunities with specific risk-return trade-offs. This
makes possible both greater portfolio diversification and the redistribution of risk in
the wider financial system. It also facilitates the flow of funding to businesses and
individuals both within Member States and on a cross-border basis throughout the
Union.
The Union needs significant investment to remain resilient and competitive. The
securitisation framework can contribute to a more diversified financial system and
greater risk-sharing. However, there are material impediments to the issuance of and
investment in securitisations. These impediments weigh on the development of the
securitisation market. The regulatory capital requirements laid down in Regulation
(EU) No 575/2013 of the European Parliament and of the Council
23
for institutions
originating, sponsoring or investing in securitisations are not sufficiently risk sensitive,
OJ C , , p. .
OJ C ….
OJ C , , p. .
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on
prudential requirements for credit institutions and investment firms and amending Regulation (EU) No
648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).
(2)
20
21
22
23
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and they also incorporate an unjustified level of conservatism. The current
requirements fail to accurately recognise the good credit performance of Union
securitisations and the risk mitigants that have been implemented in the Union’s
regulatory and supervisory frameworks for securitisation. These frameworks have
significantly reduced the agency and model risks embedded in securitisation
transactions.
(3)
Capital requirements for securitisations under Regulation (EU) No 575/2013 should be
amended to increase the risk sensitivity and reduce excessive capitalisation by better
aligning the capital treatment with the underlying risks. In addition, targeted
amendments should be introduced to mitigate undue discrepancies between the capital
requirements under two different approaches: the securitisation internal ratings-based
approach (SEC-IRBA) and the securitisation standardised approach (SEC-SA). Such
mitigation should increase the participation of smaller and medium-sized credit
institutions that make use of the standardised approach.
Risk weight floors are minimum risk weights that credit institutions must apply to
their senior securitisation exposures, even where the capital calculations suggest a
lower risk weight could be applied. Risk weight floors for senior positions of
securitisations should be made more risk sensitive, making it possible to reflect the
riskiness of the underlying pool of exposures of each specific securitisation. Senior
securitisation positions of securitisation of low-risk portfolios should be allowed to
benefit from lower risk weight floors than senior securitisation positions in
securitisations of higher-risk portfolios. This new approach, which would mean that
risk weight floors are calculated based on a specific formula, should replace the
existing approach where risk weight floors are set at flat levels, irrespective of the
credit quality of the underlying pool of exposures. The new formula should make it
possible to reflect the simple, transparent and standardised (STS) or non-STS status of
a securitisation. To avoid excessive reductions of the capital requirements, a minimum
threshold to the risk weight floors should be introduced.
To provide for more risk sensitivity in the securitisation framework, while maintaining
a prudent regulatory treatment, it is necessary to adjust, under the SEC-IRBA
approach, the formula for the (p) factor to reduce the floor and to reduce the scaling
factor, and to introduce a cap to the (p) factor, mainly for the senior securitisation
positions of originator/sponsor credit institutions. For the same reason, under the SEC-
SA approach, it is necessary to reduce the (p) factor, for senior securitisation positions.
Changes to the (p) factor for non-senior securitisation positions should be minimal, to
prevent undercapitalisation of these positions. Changes to the (p) factor for positions
of investors in non-STS securitisations and in non-senior securitisation positions of
STS securitisations should be minimal, as those positions do not feature reduced
agency and model risks.
Senior securitisation positions are resilient if the securitisation satisfies a set of
eligibility criteria at the origination date and on an ongoing basis thereafter. This set of
eligibility criteria ensures the protection of the senior securitisation position and
mitigates agency and model risks. Such resilient securitisation positions should benefit
from additional reductions to the risk weight floors and to the (p) factor, compared
with positions that do not satisfy the eligibility criteria. Positions of credit institution
investors in senior securitisation positions of non-STS securitisations should not be
allowed to benefit from those further reductions, as they are not characterised by
reduced agency and model risk.
(4)
(5)
(6)
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(7)
Because of the changes to the risk weight floor for senior securitisation positions and
to the (p) factor under the SEC-IRBA and SEC-SA approaches, the risk weights in the
look-up tables under SEC-ERBA should be recalibrated accordingly.
Changes to the framework for significant risk transfer (SRT) should be introduced to
address limitations identified in that framework in relation to the current mechanical
tests measuring the significance of the risk transferred through securitisation, specific
structural features of securitisation transactions that may be detrimental to complying
with the SRT requirements, and processes applied by competent authorities to assess
SRT, and to make that framework more consistent and predictable. The predictability
of the SRT supervisory assessments should be increased by laying down the main
elements of the SRT assessment in Regulation (EU) No 575/2013, including the broad
design of the new SRT test. The way in which the technical details of the test should
be implemented, the requirements for the structural features of the transactions, and
the principles of the assessment process should all be specified in regulatory technical
standards developed by the European Banking Authority (EBA).
A new principle-based approach test should be introduced to replace the existing
mechanical tests, to measure the significance of the risk transferred through
securitisation. Given its very limited use, the current permission-based approach,
where the SRT is achieved through a permission granted by the competent authority,
should be removed and should no longer be allowed. To further streamline the SRT
assessment, and to increase transparency and predictability for originators, a new
requirement should be introduced for originators to submit a self-assessment to
demonstrate that the requirements related to the SRT are met, including in stress
conditions. As part of the self-assessment, originators should develop a cash-flow
model analysis to provide evidence on the resilience of the SRT.
To increase the efficiency of the SRT supervisory assessments, the principles of SRT
supervisory assessments should be harmonised at Union level. The EBA should
specify such principles in the regulatory technical standards, which should also include
high-level principles for a fast-track process for qualifying securitisations.
Targeted amendments should be introduced in specific provisions of Regulation (EU)
No 575/2013 to improve technical consistency and provide further clarifications on the
rationale underlying certain provisions of the current framework. To ensure the
consistent interpretation of Article 254(2) by the competent authorities and credit
institutions across the Union, it should also be specified that that Article is aimed at
avoiding the mandatory use of SEC-ERBA in relation to transactions for which the
rating is capped due to the sovereign ceiling – and not the risk profile of the
transactions – is the prevalent driver in determining the risk weights under that
approach.
Regulation (EU) No 575/2013 should therefore be amended accordingly.
Since the objective of this Regulation cannot be sufficiently achieved by the
Member States and, by reason of its scale and effects, can be better achieved at Union
level, the Union may adopt measures, in accordance with the principle of subsidiarity
as set out in Article 5 of the Treaty on European Union. In accordance with the
principle of proportionality, as set out in that Article, this Regulation does not go
beyond what is necessary in order to achieve that objective.
By 4 years after the entry into force, the Commission, after consulting the EBA,
should consider whether a more fundamental change to the risk weight formulae and
(8)
(9)
(10)
(11)
(12)
(13)
(14)
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functions should be introduced in the medium/long-term to make it possible, in a
comprehensive manner, to allow for more risk sensitivity, to achieve more
proportionate levels of capital non-neutrality, to mitigate cliff effects, and to address
the structural limitations of the current framework,
HAVE ADOPTED THIS REGULATION:
Article 1
Amendments to Regulation (EU) No 575/2013
Regulation (EU) No 575/2013 is amended as follows:
(1)
in Article 238(2), the following subparagraph is added:
‘A positive incentive shall be considered to be present in time call options only when
contractual clauses at origination include terms in respect of which it can be expected
that such terms have been included in the transaction documentation to increase the
advantageousness of exercising the time call option.’;
(2)
Article 242 is amended as follows:
(a)
point (6) is replaced by the following:
‘(6) ‘senior securitisation position’ means a position with the attachment point above
K
IRB
or K
A
and backed or secured by a first claim on the whole of the
underlying exposures, disregarding for these purposes amounts due under
interest rate or currency derivative contracts, fees or other similar payments,
and irrespective of any difference in maturity with one or more other senior
tranches with which that position shares losses on a pro-rata basis;’
(b)
(3)
(a)
point (18) is deleted;
the title of the Article is replaced by the following:
‘Article
243
Criteria for differentiated capital treatment’
(b)
in paragraph 2, point (b) is amended as follows:
(1)
point (ii) is replaced by the following:
‘(ii) 60 % on an individual exposure basis where the exposure is a loan
secured by a commercial mortgage;’;
(2)
(c)
point (iii) is deleted;
the following paragraphs 3, 4 and 5 are added:
Article 243 is amended as follows:
‘3. Senior position in a STS securitisation shall be eligible for the treatment set out in
Article 260(2), Article 262(2), Article 264(2a) and Article 264(3a) where the
following requirements are met:
(a)
(b)
(c)
for a position in an ABCP programme or ABCP transaction:
the requirements of the Article 243(1)
at the origination date and on an ongoing basis thereafter, the attachment
point of the senior securitisation position is determined as follows:
A >= 1.5 * K
A
, when using SEC-SA or SEC-ERBA, or
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A >= 1.1 * (EL * WAL of the initial reference securitised portfolio +
UL), when using SEC-IRBA.
(d)
(e)
(f)
for a position a securitisation other than ABCP programme or ABCP
transaction:
the requirements of the Article 243(2)
at the origination date and on an ongoing basis thereafter, the attachment
point of the senior securitisation position is determined as follows:
A >= 1.5 * K
A
, when using SEC-SA or SEC-ERBA, or
A >= 1.1 * (EL * WAL of the initial reference securitised portfolio +
UL), when using SEC-IRBA.
4. A senior securitisation position in a non-STS securitisation shall be eligible for the
treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and
Article 263(3a) where the following requirements are met, at the origination
date and on an ongoing basis thereafter:
(a)
for an on-balance-sheet securitisation:
(1)
the requirement of Article 26c(5) of Regulation (EU) 2017/2402
and the requirements of Commission Delegated Regulation (EU)
2024/920;
the requirements of Article 26(e)8, 9 and 10 of Regulation (EU)
2017/2402;
the attachment point of the senior securitisation position is
determined as follows:
A >= 1.5 * K
A
, when using SEC-SA or SEC-ERBA, or
A >= 1.1 * (EL * WAL of the initial reference securitised portfolio
+ UL), when using SEC-IRBA;
(4)
(5)
(b)
(1)
(2)
the requirement of Article 243(2), point (a) of this Regulation;
the position is not a position of investor;
the requirements of Article 24(17), point (b), of Regulation (EU)
2017/2402;
the attachment point of the senior securitisation position is
determined as follows:
A >= 1.5 * K
A
, when using SEC-SA or SEC-ERBA, or
A >= 1.1 * (EL * WAL of the initial reference securitised portfolio
+ UL), when using SEC-IRBA;
(3)
(4)
(c)
(1)
the requirements of Article 243(1), point (b) of this Regulation;
the position is not a position of investor;
the requirements of Article 21(4), point (b), and Article 21(5) of
Regulation (EU) 2017/2402;
(2)
(3)
for an ABCP programme or ABCP transaction:
for non-ABCP traditional securitisation:
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3042867_0025.png
(2)
the attachment point of the senior securitisation position is
determined as follows:
A >= 1.5 * K
A
, when using SEC-SA or SEC-ERBA, or
A >= 1.1 * (EL * WAL of the initial reference securitised portfolio
+ UL), when using SEC-IRBA;
(3)
the requirement of Article 243(2), point (a), of this Regulation; the
position is not a position of investor.
5. For the purposes of paragraphs 3 and 4, the WAL (weighted average life) of the
initial reference portfolio shall be calculated by time-weighting, until the
expected maturity of the transaction, only the repayments of principal amounts
from the securitised exposures, without taking into account any payments
relating to fees or interest to be paid by the obligors of the securitised
exposures, and, in case of synthetic securitisations, without taking into account
any prepayment assumptions. For a transaction with a replenishment period,
the WAL shall be the sum of the remaining replenishment period plus the
remaining weighted average life of the reference portfolio measured from the
end of that replenishment period. The WAL shall be no greater than five
years.’;
(4)
Articles 244 and 245 are replaced by the following:
‘Article 244
Traditional securitisation
1.
The originator institution of a traditional securitisation may exclude the securitised
exposures from its calculation of risk-weighted exposure amounts and, where
relevant, expected loss amounts where all of the following conditions are met:
(a)
a significant credit risk associated with the securitised exposures has been
transferred to third parties, or the originator institution applies a 1250 % risk
weight to all securitisation positions that institution holds in the securitisation
or deducts those securitisation positions from Common Equity Tier 1 items in
accordance with Article 36(1), point (k);
the conditions for the effective risk transfer on the securitised exposures
referred to in paragraph 4 of this Article are met.
(b)
2.
Significant credit risk shall be considered transferred to third parties where after the
allocation of the lifetime expected loss of the underlying exposures to the tranches of
the securitisation, the share of weighted amounts of unexpected losses of the
underlying exposures allocated to the securitisation positions that the originator
institution has transferred to third parties is at least 50% of all the weighted amounts
of unexpected losses of the underlying exposures allocated to all the securitisation
tranches in accordance with the following formula:
∑
����
����������������
����
× ��������_��������������������
����
≥ 0.5
∑
����
����������������
����
× ��������
����
where:
–
–
RWEA
i
is the risk-weighted exposure amount of tranche i
UL
i
is the amount of unexpected losses allocated to tranche i where the
unexpected loss equals the risk-weighted exposure amounts that would be
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calculated by the originator institution under Chapter 2 or Chapter 3, as
applicable, in respect of the underlying exposures as if they had not been
securitised multiplied by 8 %.
–
UL_trans
i
is the amount of UL
i
allocated to the transferred securitisation
positions in tranche i
For the purposes of this formula, the risk-weighted exposure amounts that would be
calculated under Chapter 3 shall not include the amount of expected losses associated
with all the underlying exposures of the securitisation, including defaulted
underlying exposures that are still part of the pool.
3.
By way of derogation from paragraph 2, competent authorities may require the
originator institution on a case-by-case basis to transfer to third parties a weighted
amount of unexpected losses larger than the 50% referred to in that paragraph, or
object to the significant credit risk transfer. The measures referred to in this
paragraph may be imposed to address failings in the management of systems and
controls or other internal governance failures of the originator institution, including
remedial action plans not yet completed following supervisory examinations, or
where the competent authority deems the credit risk transferred under paragraph 2 as
insufficient to address certain special or complex features of the securitisation, or
leading to disproportionate capital relief.
In addition to the requirements set out in paragraphs 1, 2, and 3, all of the following
conditions for the effective risk transfer shall be met:
(a)
(b)
(c)
the transaction documentation reflects the economic substance of the
securitisation;
the securitisation positions do not constitute payment obligations of the
originator institution;
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 20(1) of Regulation (EU) 2017/2402;
the originator institution does not retain control over the underlying exposures;
the securitisation documentation does not contain terms or conditions that
require the originator institution to alter the underlying exposures to improve
the average quality of the pool or 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;
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 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);
the securitisation transaction does not exhibit any structural features that
prevent or significantly undermine the effective transfer of credit risk to third
parties on a sustainable basis or, where any of those features is present, the
transaction exhibits adequate safeguards;
4.
(d)
(e)
(f)
(g)
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(h)
where there is a clean-up call option, that option shall also meet all of the
following conditions:
(1)
(2)
(3)
that option can be exercised at the discretion of the originator institution;
that option may only be exercised when 10 % or less of the original value
of the underlying exposures remains unamortised;
that option is not structured to avoid allocating losses to credit
enhancement positions or other positions held by investors in the
securitisation and is not otherwise structured to provide credit
enhancement;
(i)
the originator institution has received an opinion from a qualified legal counsel
confirming that the securitisation complies with the conditions set out in point
(c) of this paragraph.
For the purposes of point (d), 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
shall not of itself constitute control of the exposures.
5.
The conditions for significant credit risk transfer referred to in paragraphs 2 and 3
shall be met at the time of origination of the securitisation covering the lifetime of
the transaction in both base-case and stress-case conditions, provided that no
structural changes are made to the transaction after origination. The requirements
referred to in paragraph 4 shall be met on an ongoing basis. The originator institution
shall submit a self-assessment to the competent authority to demonstrate the
fulfilment of the conditions for effective and, where applicable, significant credit risk
transfer referred to in paragraphs 1 to 4.
For certain transactions that do not exhibit problematic features, competent
authorities may apply a fast-track simplified assessment process.
The EBA shall develop regulatory technical standards to specify:
(a)
the conditions for the fulfilment of the significant credit risk transfer
requirement referred to in paragraph 2 of this Article and Article 245(2), in
particular:
(1)
the calculation of the lifetime expected losses of the underlying
exposures and their allocation for the purposes of paragraph of this
Article and Article 245(2);
the allocation of the unexpected losses of the securitised exposures to the
securitisation tranches for the purposes of paragraph of this Article and
Article 245(2);
the calculation of the weighted amounts of unexpected losses in relation
to the allocation of the unexpected losses of the securitised exposures to
the securitisation tranches of paragraph of this Article and Article 245(2);
6.
7.
(2)
(3)
(b)
the structural features and safeguards referred to in Article 244(4), point (g)
and Article 245(4), point (f), respectively, in particular the coverage of the
legal clauses for the early termination of securitisations;
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(c)
the minimum requirements for the self-assessment by the originator institution
referred to in Article 244(5) and Article 245(5), including the specification of
the scenarios to be applied;
the conditions for the competent authorities to apply Article 244(2) and (3) and
Article 245(2) and (3) in relation to securitisation transactions and originator
institutions;
the high level principles for the process for the review and assessment of the
conditions for the fulfilment of the credit risk transfer requirement in
accordance with Article 244(1) to (4) and Article 245(1) to (4), and the high
level principles for certain securitisations to qualify for a fast-track simplified
assessment process referred to in Article 244(6) and Article 245(6);
the necessary adjustments for the application of Article 244 and 245 to NPE
securitisations.
(d)
(e)
(f)
The EBA shall submit those draft regulatory technical standards to the Commission
by [18 months after the date of entry into force].
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.
8.
By 31 March of each year, competent authorities shall notify to the EBA all the
securitisations assessed in accordance with paragraphs 1 to 7 in the previous year.
The notification shall convey all the information needed to calculate the ratio under
paragraph 2 and on relevant structural features. The information shall at least provide
a breakdown on the size, thickness and amounts of tranches, portfolio LGD, EL,
LTEL and UL, WAL of the underlying exposures and risk weights of the tranches,
and information on whether the measures referred to in paragraph 3 were applied.
Article 245
Synthetic securitisation
1.
The originator institution of a synthetic securitisation may calculate risk-weighted
exposure amounts, and, where relevant, expected loss amounts with respect to the
underlying exposures in accordance with Articles 251 and 252, where either of the
following conditions is met:
(a)
significant credit risk associated with the securitised exposures has been
transferred to third parties, or the originator institution applies a 1250 % risk
weight to all securitisation positions that institution holds in the securitisation
or deducts those securitisation positions from Common Equity Tier 1 items in
accordance with Article 36(1), point (k);
the conditions for the effective risk transfer on the securitised exposures
referred to in paragraph 4 of this Article are met.
(b)
2.
Significant credit risk shall be considered transferred to third parties where after the
allocation of the lifetime expected loss of the underlying exposures to the tranches of
the securitisation the share of weighted amounts of unexpected losses of the
underlying exposures allocated to the securitisation positions that the originator
institution has transferred to third parties is at least 50% of all the weighted amounts
of unexpected losses of the underlying exposures allocated to all the securitisation
tranches in accordance with the following formula:
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3042867_0029.png
∑
����
����������������
����
× ��������_��������������������
����
≥ 0.5
∑
����
����������������
����
× ��������
����
where:
–
–
RWEA
i
is the risk-weighted exposure amount of tranche i
UL
i
is the amount of unexpected losses allocated to tranche i where the
unexpected loss equals the risk-weighted exposure amounts that would be
calculated by the originator institution under Chapter 2 or Chapter 3, as
applicable, in respect of the underlying exposures as if they had not been
securitised multiplied by 8 %.
UL_trans
i
is the amount of UL
i
allocated to the transferred securitisation
positions in tranche i
–
For the purposes of this formula, the risk-weighted exposure amounts that would be
calculated under Chapter 3 shall not include the amount of expected losses associated
with all the underlying exposures of the securitisation, including defaulted
underlying exposures that are still part of the pool.
3.
By way of derogation from paragraph 2, competent authorities may require the
originator institution on a case-by-case basis to transfer to third parties a weighted
amount of unexpected losses larger than the 50 % referred to in that paragraph, or
object to the significant risk transfer. Competent authorities may impose the
measures referred to in this paragraph where necessary to address failings in the
management of systems and controls or other internal governance failures of the
originator institution, including remedial action plans not yet completed following
supervisory examinations, or where the competent authority deems the credit risk
transferred under paragraph 2 as insufficient to address certain special or complex
features of the securitisation, or leading to a disproportionate capital relief.
In addition to the requirements set out in paragraphs 1, 2, and 3, all of the following
conditions for the effective risk transfer shall be met:
(a)
(b)
(c)
the transaction documentation reflects the economic substance of the
securitisation;
the credit protection by virtue of which credit risk is transferred complies with
Article 249;
the securitisation documentation does not contain terms or conditions that:
(1)
(2)
(3)
(4)
impose significant materiality thresholds below which credit protection is
deemed not to be triggered if a credit event occurs;
allow for the termination of the protection due to deterioration of the
credit quality of the underlying exposures;
require the originator institution to alter the composition of the
underlying exposures to improve the average quality of the pool; or
increase the institution’s cost of credit protection or the yield payable to
holders of positions in the securitisation in response to a deterioration in
the credit quality of the underlying pool;
4.
(d)
the credit protection is enforceable in all relevant jurisdictions;
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(e)
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 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);
the securitisation transaction does not exhibit any structural features that
prevent or significantly undermine the effective transfer of credit risk to third
parties on a sustainable basis or, where any of those features is present, the
transaction exhibits adequate safeguards;
where there is a clean-up call option, that option meets all the following
conditions:
(1)
(2)
(3)
that option may be exercised at the discretion of the originator institution;
that option may only be exercised when 10 % or less of the original value
of the underlying exposures remains unamortised;
that option is not structured to avoid allocating losses to credit
enhancement positions or other positions held by investors in the
securitisation and is not otherwise structured to provide credit
enhancement;
(f)
(g)
(h)
where there is a time call option, the option is only exercisable after a period
measured from the closing date of a transaction corresponding to the initial
weighted average life of the securitised exposures, or after a period measured
from the end of the replenishment period of a transaction corresponding to the
weighted average life at the end of that replenishment period;
the originator institution has received an opinion from a qualified legal counsel
confirming that the securitisation complies with the conditions set out in point
(d) of this paragraph.
(i)
5.
The conditions for significant credit risk transfer referred to in paragraphs 2 and 3
shall be met at the time of origination of the securitisation covering the lifetime of
the transaction in both base-case and stress-case conditions, provided that no
structural changes are made to the transaction after origination. The requirements
referred to in paragraph 4 shall be met on an ongoing basis. The originator institution
shall submit a self-assessment to the competent authority to demonstrate the
fulfilment of the conditions for effective and, where applicable, significant credit risk
transfer referred to in paragraphs 1 to 4.
For certain transactions that do not exhibit problematic features, competent
authorities may apply a fast-track simplified assessment process.
By 31 March of each year, competent authorities shall notify to the EBA all the
securitisations for which a self-assessment has been received in accordance with the
paragraphs 1 to 6 in the previous year. The notification shall convey all the
information needed to calculate the ratio under paragraph 2 and on relevant structural
features. The information shall at least provide a breakdown on the size, thickness
and amounts of tranches, portfolio LGD, EL, LTEL and UL, WAL of the underlying
exposures and risk weights of the tranches, and information on whether the measures
referred to in paragraph 3 were applied.’;
Article 248(1) is amended as follows:
6.
7.
(5)
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(a)
point (b) is replaced by the following:
‘(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. To determine the
exposure value of the undrawn portion of the cash advance facilities, a
conversion factor of 0 % 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;’;
(b)
point (d) is replaced by the following:
‘(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.
The 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 K
IRB
or K
A
. 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 K
IRB
or K
A
and
the junior position with A below K
IRB
or K
A
and D equal to K
IRB
or K
A
, 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 K
IRB
or
K
A
and D equal to K
IRB
or K
A
.’;
(c)
point (e) is replaced by the following:
‘(e) the exposure value of a contractually designated synthetic excess spread
shall include, as applicable, the following:
(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;
any synthetic excess spread that is contractually designated by the
originator institution in any previous periods and that is still available to
absorb losses;
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;
any synthetic excess spread contractually designated by the originator
institution for future contractual periods.
(2)
(3)
(4)
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For 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.’;
(d)
(6)
(a)
the second, third and fourth subparagraphs are deleted.
in paragraph 1, point (c) is replaced by the following:
‘(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.’;
(b)
paragraph 5 is replaced by the following:
‘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.’;
(7)
in Article 255, paragraph 6 is replaced by the following:
‘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.
For the purposes of this paragraph, non-defaulted exposures shall exclude
underlying exposures that are in default as referred to in Article 261(2).
For 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.’;
(8)
In Article 256, the following paragraph is 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.’;
(9)
Article 259 is amended as follows:
(a)
the introductory wording is replaced by the following:
‘Under the SEC-IRBA, the risk-weighted exposure amount for a securitisation
position shall be calculated by multiplying the exposure value of the position
Article 254 is amended as follows:
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calculated in accordance with Article 248 by the applicable risk weight
determined as follows:’
(b)
the text ‘where: p = max [0,3; (A + B*(1/N) + C*K
IRB
+ D * LGD + E*M
T
)] is
replaced by the following:
‘Where:
p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*K
IRB
+ D*LGD + E*MT)]) for
an originator or sponsor exposure to a senior securitisation position, or
p = min (1, max [0.3; 1 *(A + B*(1/N) + C*K
IRB
+ D*LGD + E*MT)]) for
other exposures.’;
(c)
the following paragraphs 1a and 1b are inserted:
‘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:
Floor = max (12%; 15% *K
IRB
*12.5)
1b. The risk-weighted exposure amount for a senior securitisation position calculated
in accordance with paragraph 1 that complies with the criteria referred to in
Article 243(4) shall be subject to a floor calculated as follows:
Floor = max (10%; 15% * K
IRB
*12.5).’;
(d)
paragraph 7 is replaced by the following:
‘7. Where the position is backed by a mixed pool and the institution is able to
calculate K
IRB
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:
����
∙
����
������������
+ (1 −
����)
����
A
‘;
(10)
Article 260 is replaced by the following:
‘Article 260
Treatment of STS securitisations under the SEC-IRBA
1.
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:
p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*K
IRB
+ D*LGD + E*M
T
)]) for a
senior securitisation position of originator or sponsor
p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*K
IRB
+ D*LGD + E*M
T
)]) for a
non-senior originator or sponsor position
p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*K
IRB
+ D*LGD + E*M
T
)]) for
other positions
The risk-weight floor for a senior securitisation position = max (7%; 10%
*K
IRB
*12.5).
2.
Under the SEC-IRBA, the risk weight for a position in an STS securitisation
compliant with the criteria laid down in the Article 243(3) shall be calculated in
accordance with Article 259, subject to the following modifications:
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p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*K
IRB
+ D*LGD + E*MT)]) for
a senior securitisation position of originator, sponsor or investor
p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*K
IRB
+ D*LGD + E*MT)]) for
a non-senior originator or sponsor position
p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*K
IRB
+ D*LGD + E*MT)]) for
other positions
The risk weight floor for a senior securitisation position = max (5%; 10% *
K
IRB
*12.5).;
(11)
Article 261 is amended as follows:
(a)
paragraph 1 is amended as follows:
(1)
the introductory wording is replaced by the following:
‘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:’
(2)
‘p = 1 for a securitisation exposure that is not a re-securitisation
exposure’ is replaced by the following:
‘For a securitisation position that is not a re-securitisation exposure, p =
0.6 for a senior securitisation position of originator or sponsor; 1 for
other securitisation position’.;
(b)
the following paragraphs 1a and 1b are inserted:
‘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:
Floor = max (12%; 15% *K
A
*12.5).
1b. The risk-weighted exposure amount for a senior securitisation position calculated
in accordance with paragraph 1 that complies with the criteria set out in Article
243(4) shall be subject to a floor calculated as follows:
Floor = max (10%; 15% * K
A
*12.5).’;
(c)
In paragraph 2, the following sub-paragraph is 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.’;
(12)
Article 262 is replaced by the following:
‘Article 262
Treatment of STS securitisations under the SEC-SA
1.
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:
p = 0.3 for a senior securitisation position of originator or sponsor
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p = 0.5 for other securitisation exposures
risk weight floor for a senior securitisation position = max (7%; 10% * K
A
*12.5).
2.
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) shall be calculated in accordance
with Article 261, subject to the following modifications:
p = 0.3 for a senior securitisation position of originator, sponsor or investor
p = 0.5 for other securitisation exposures
risk weight floor for a senior securitisation position = max (5%; 10% * K
A
*12.5).’;
(13)
Article 263 is amended as follows:
(a)
paragraph 2 is replaced by the following:
‘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:
Table 1
Credit
step
quality 1
Senior tranche:
Max (12%; 15% *K
A
*12.5)
Non-senior tranche:
15 %
(b)
the following paragraphs 2a and 2b are inserted:
2
50 %
3
100 %
All
other
ratings
1250 %
Risk weight
‘2a. For a position in senior tranche with CQS1 in a securitisation that complies with
the criteria set out in Article 243(4), the risk weight shall be calculated as
follow:
Max (10 %; 15% *K
A
*12.5)
2b. Where an institution is not able to use the formula set out in the Table 1 or under
paragraph 2a, because it is not able to calculate K
A
, a risk weight of 15 % shall
apply to the relevant exposure.’;
(c)
paragraph 3 is replaced by the following:
‘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 (M
T
) 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:
Table 2
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Credit
quality
step
Senior tranche,
position of originator
or sponsor
Tranche maturity (M
T
)
1 year
5 year
Senior tranche, position
of investor
Tranche maturity (M
T
)
1 year
5 year
20 %
Max (12 %;
15%
*K
A
*12.5)
Non-senior (thin)
tranche
Tranche maturity (M
T
)
5 year
1 year
15 %
70 %
15 %
30 %
40 %
60 %
80 %
120 %
170 %
220 %
330 %
470 %
620 %
750 %
900 %
1050 %
1130 %
1250 %
1250 %
90 %
120 %
140 %
160 %
180 %
210 %
260 %
310 %
420 %
580 %
760 %
860 %
950 %
1050 %
1130 %
1250 %
1250 %
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
All other
(d)
Max (12 % ; 15% *K
A
*12.5)
Max (12 % ;
15%
18%
*K
A
*12.5)
30 %
40 %
45 %
50 %
65 %
70 %
90 %
105 %
140 %
160 %
180 %
225 %
280 %
340 %
420 %
505 %
1250 %
17 %
18 %
24 %
34 %
40 %
51 %
62 %
80 %
124 %
140 %
176 %
230 %
286 %
348 %
424 %
1250 %
24 %
29 %
34 %
45 %
46 %
62 %
73 %
96 %
140 %
160 %
201 %
256 %
312 %
388 %
465 %
1250 %
25 %
30 %
40 %
50 %
60 %
75 %
90 %
120 %
140 %
160 %
200 %
250 %
310 %
380 %
460 %
1250 %
the following paragraphs 3a and 3b are inserted:
‘3a. For in position by originator or sponsor in senior tranche with CQS1, or CQS2
with tranche maturity of 1 year, in a securitisation that complies with the
criteria set out in Article 243(4), the risk weight shall be calculated as follows:
Max (10 %; 15% *K
A
*12.5)
3b. Where an institution is not able to use the formula set out in the Table 2 or under
the paragraph 3a, because it is not able to calculate K
A
, a risk weight of 15 %
shall apply to the relevant exposure.’;
(14)
Article 264 is amended as follows:
(a)
paragraph 2 is replaced by the following:
‘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:
Table 3
Credit
quality 1
step
Risk weight
Senior tranche:
Max (7%; 10%*K
A
*12.5)
2
30 %
3
60 %
All
other
ratings
1250 %
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Non-senior tranche:
10%
(b)
the following paragraphs 2a and 2b are inserted:
‘2a. For a position in senior tranche with CQS1 in a securitisation that complies with
the criteria set out in Article 243(3), the risk weight shall be calculated as
follows:
Max (5%; 10%* K
A
*12.5)
2b. Where an institution is not able to use the formula set out in Table 3 or under the
paragraph 2a, because it is not able to calculate K
A
, a risk weight of 10 % shall
apply to the relevant exposures.’;
(c)
paragraph 3 is replaced by the following:
‘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 (M
T
) in accordance with Article 257 and Article 263(4) and
for tranche thickness for non-senior tranches in accordance with Article 263(5):
Table 4
Senior tranche
(position of originator
or sponsor, or of
investor in a
securitisation
compliant with Article
243(3))
Tranche maturity (M
T
)
1 year
5 year
Max (7 %; 10%*K
A
*12.5)
Max (7 %;
10% *K
A
*
10 %
12.5)
Credit
quality
step
Senior tranche (other
positions of investor)
Non-senior (thin)
tranche
Tranche maturity (M
T
)
1 year
5 year
Max (7 %; 10%*K
A
*12.5)
Max (7%;
10% * K
A
15 %
*12.5)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16.
17
All other
Tranche maturity (M
T
)
1 year
5 year
15 %
40 %
15 %
15 %
25 %
35 %
60 %
95 %
150 %
180 %
270 %
405 %
535 %
645 %
810 %
945 %
1015 %
1250 %
1250 %
55 %
70 %
80 %
95 %
135 %
170 %
225 %
255 %
345 %
500 %
655 %
740 %
855 %
945 %
1015 %
1250 %
1250 %
10 %
10 %
12 %
20 %
23 %
31 %
38 %
47 %
106 %
118 %
150 %
207 %
258 %
311 %
383 %
1250 %
12 %
16 %
20 %
28 %
28 %
38 %
45 %
58 %
118 %
138 %
174 %
229 %
280 %
351 %
419 %
1250 %
15 %
15 %
20 %
30 %
35 %
45 %
55 %
70 %
120 %
135 %
170 %
225 %
280 %
340 %
415 %
1250 %
20 %
25 %
30 %
40 %
40 %
55 %
65 %
85 %
135 %
155 %
195 %
250 %
305 %
380 %
455 %
1250 %
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(d)
the following paragraphs 3a and 3b is added:
‘3a. For a position in senior tranche with CQS1, or CQS 2 with tranche maturity of 1
year, in a securitisation that complies with the criteria set out in Article 243(3),
the risk weight shall be calculated as follows:
Max (5 %; 10% *K
A
*12.5)
3b. When an institution is not able to use the formula set out in Table 4, because it is
not able to calculate K
A
, a risk weight of 10 % shall apply to the relevant
exposure.’;
(15)
Article 268 is amended as follows:
(a)
paragraph 1 is replaced by the following:
‘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.
For 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.’;
(b)
paragraph 3 is replaced by the following:
‘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:
(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;
for an institution that has securitisation positions in different tranches, V
shall be equal to the maximum proportion of interest across tranches.
(b)
For the purposes of point (b), the proportion of interest for each of the different
tranches shall be calculated as set out in point (a).
By way of derogation from the first and second subparagraphs, institutions may
disregard the interest of any tranche whose securitisation positions held by the
institution are assigned a 1250 % risk weight in accordance with Subsection 3
or are deducted from Common Equity Tier 1 in accordance with Article 36(1),
point (k). In that case, the maximum capital requirements shall be the sum of
the amount calculated in accordance with paragraphs 1 or 2, net of the
exposure values of the securitisation positions which were disregarded in the
determination of V, multiplied by V plus the sum of the exposure values of the
securitisation positions which were disregarded in the determination of V.’;
(16)
(17)
(18)
in Article 270, paragraphs 2, 3 and 4 are deleted;
Article 506b is deleted;
Article 506d is replaced by the following:
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‘Article 506d
Prudential treatment of securitisation
1.
By [4
years after the date of entry into force],
the Commission, after having
consulted the EBA, shall assess the overall situation and dynamics of the Union
securitisation market, and report on the appropriateness and effectiveness of the
Union prudential securitisation framework, including on the financing of the real
economy, differentiating between different types of securitisations, including
between synthetic, traditional and NPE securitisations, between originators and
investors, between STS and non-STS transactions, and between different methods for
calculation of risk-weighted exposure amounts.
As part of the review, the Commission shall assess the impact on financial stability.
The Commission shall also monitor the use of the transitional arrangement referred
to in Article 465(13) and assess the extent to which the application of the output floor
to securitisation exposures would affect the capital reduction obtained by originator
institutions in transactions for which a significant risk transfer has been recognised,
would excessively reduce the risk sensitivity and would affect the economic viability
of new securitisation transactions.
In particular, the Commission shall consider whether a more fundamental change to
the risk-weight formulas and functions would make it possible to achieve more risk
sensitivity, achieve more proportionate levels of capital non-neutrality, mitigate cliff
effects and address structural limitations of the current framework, taking into
account the historic credit performance of securitisation transactions in the Union
and the reduced model and agency risks of the securitisation framework.
The Commission shall submit that report to the European Parliament and the
Council, together with a legislative proposal, where appropriate.
2.
The EBA shall submit a report to the Commission, by [2 years after entry into force],
to monitor the developments and dynamics of the Union securitisation market
resulting from the amended prudential framework, focusing on the role of the credit
institutions as originators of SRT transactions and as investors. The analysis shall
differentiate between different types of securitisations, including between synthetic,
traditional and NPE securitisations, and between STS and non-STS transactions. The
report shall also analyse the impact of the amended prudential framework on
additional lending by credit institutions to households and businesses, including
SMEs.
Article 2
This Regulation shall enter into force on the […] day following that of its publication in the
Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Strasbourg,
For the European Parliament
The President
For the Council
The President
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LEGISLATIVE FINANCIAL AND DIGITAL STATEMENT
1.
1.1.
1.2.
1.3.
1.3.1.
1.3.2.
1.3.3.
1.3.4.
1.4.
1.5.
1.5.1.
1.5.2.
FRAMEWORK OF THE PROPOSAL/INITIATIVE ................................................. 3
Title of the proposal/initiative ...................................................................................... 3
Policy area(s) concerned .............................................................................................. 3
Objective(s) .................................................................................................................. 3
General objective(s) ..................................................................................................... 3
Specific objective(s) ..................................................................................................... 3
Expected result(s) and impact ...................................................................................... 3
Indicators of performance ............................................................................................ 3
The proposal/initiative relates to: ................................................................................. 4
Grounds for the proposal/initiative .............................................................................. 4
Requirement(s) to be met in the short or long term including a detailed timeline for
roll-out of the implementation of the initiative ............................................................ 4
Added value of EU involvement (it may result from different factors, e.g.
coordination gains, legal certainty, greater effectiveness or complementarities). For
the purposes of this section 'added value of EU involvement' is the value resulting
from EU action, that is additional to the value that would have been otherwise
created by Member States alone. ................................................................................. 4
Lessons learned from similar experiences in the past .................................................. 4
Compatibility with the multiannual financial framework and possible synergies with
other appropriate instruments ....................................................................................... 5
Assessment of the different available financing options, including scope for
redeployment ................................................................................................................ 5
Duration of the proposal/initiative and of its financial impact .................................... 6
Method(s) of budget implementation planned ............................................................. 6
MANAGEMENT MEASURES................................................................................... 8
Monitoring and reporting rules .................................................................................... 8
Management and control system(s) ............................................................................. 8
Justification of the budget implementation method(s), the funding implementation
mechanism(s), the payment modalities and the control strategy proposed .................. 8
Information concerning the risks identified and the internal control system(s) set up
to mitigate them............................................................................................................ 8
Estimation and justification of the cost-effectiveness of the controls (ratio between
the control costs and the value of the related funds managed), and assessment of the
expected levels of risk of error (at payment & at closure) ........................................... 8
Measures to prevent fraud and irregularities ................................................................ 9
ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE ............ 10
Heading(s) of the multiannual financial framework and expenditure budget line(s)
affected ....................................................................................................................... 10
1.5.3.
1.5.4.
1.5.5.
1.6.
1.7.
2.
2.1.
2.2.
2.2.1.
2.2.2.
2.2.3.
2.3.
3.
3.1.
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3.2.
3.2.1.
Estimated financial impact of the proposal on appropriations ................................... 12
Summary of estimated impact on operational appropriations.................................... 12
3.2.1.1. Appropriations from voted budget ............................................................................. 12
3.2.1.2. Appropriations from external assigned revenues ....................................................... 17
3.2.2.
3.2.3.
Estimated output funded from operational appropriations......................................... 22
Summary of estimated impact on administrative appropriations ............................... 24
3.2.3.1. Appropriations from voted budget .............................................................................. 24
3.2.3.2. Appropriations from external assigned revenues ....................................................... 24
3.2.3.3. Total appropriations ................................................................................................... 24
3.2.4.
Estimated requirements of human resources.............................................................. 25
3.2.4.1. Financed from voted budget....................................................................................... 25
3.2.4.2. Financed from external assigned revenues ................................................................ 26
3.2.4.3. Total requirements of human resources ..................................................................... 26
3.2.5.
3.2.6.
3.2.7.
3.3.
4.
4.1.
4.2.
4.3.
4.4.
4.5.
Overview of estimated impact on digital technology-related investments ................ 28
Compatibility with the current multiannual financial framework.............................. 28
Third-party contributions ........................................................................................... 28
Estimated impact on revenue ..................................................................................... 29
DIGITAL DIMENSIONS .......................................................................................... 29
Requirements of digital relevance .............................................................................. 30
Data ............................................................................................................................ 30
Digital solutions ......................................................................................................... 31
Interoperability assessment ........................................................................................ 31
Measures to support digital implementation .............................................................. 32
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1.
1.1.
FRAMEWORK OF THE PROPOSAL/INITIATIVE
Title of the proposal/initiative
Proposal for a Regulation of the European parliament and of the Council amending
Regulation (EU) No 575/2013 on prudential requirements for credit institutions ad
regards requirements for securitisation exposures
1.2.
Policy area(s) concerned
Financial Stability
Capital Markets Union
1.3.
1.3.1.
Objective(s)
General objective(s)
To increase the risk sensitivity of the framework and remove prudential barriers that
disincentivise EU banks from participating in the EU securitisation market.
1.3.2.
Specific objective(s)
Associated with the general objective, there are the following specific objectives: (i)
to reduce unjustified levels of conservatism and capital non-neutrality; (iii) to
differentiate the prudential treatment for originators/sponsors of securitisations and
investors in securitisations; and (iv) to mitigate undue discrepancies between the
securitisation standardised approach (SEC-SA) and securitisation internal ratings-
based approach (SEC-IRBA) for the calculation of capital requirements for
securitisation.
1.3.3.
Expected result(s) and impact
Specify the effects which the proposal/initiative should have on the beneficiaries/groups targeted.
The proposal makes part of a wider legislative package that aims to address undue
barriers that are hindering the development of the EU securitisation market and adapt
the regulatory framework to the actual risks, while preserving its overall level of
resilience and efficiency. It aims to revitalise the securitisation market through
reducing burden and compliance costs for issuers and investors, which should
ultimately allow securitisation to play a role in the development of the Savings and
Investments Union.
1.3.4.
Indicators of performance
Specify the indicators for monitoring progress and achievements.
A close monitoring of the impact of the new framework will be carried out in
cooperation with the EBA and competent supervisory authorities on the basis of the
supervisory reporting arrangements and disclosure requirements by institutions
provided for in the CRR, and will form part of the ongoing supervision and the
supervisory assessments of the significant risk transfer.
The Commission shall also carry out an evaluation of this package of proposed
amendments, four years after its entry into application and present a report on the
main findings to the European Parliament, the Council and the European Economic
and Social Committee.
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1.4.
The proposal/initiative relates to:
a new action
a new action following a pilot project / preparatory action
24
the extension of an existing action
a merger or redirection of one or more actions towards another/a new action
1.5.
1.5.1.
Grounds for the proposal/initiative
Requirement(s) to be met in the short or long term including a detailed timeline for
roll-out of the implementation of the initiative
The proposal is an amendment to the existing Regulation (EU) No 575/2013. It is
expected to enter into force on the twentieth day following that of its publication in
the Official Journal of the European Union. The Regulation shall be binding in its
entirety and directly applicable in all Member States.
1.5.2.
Added value of EU involvement (it may result from different factors, e.g.
coordination gains, legal certainty, greater effectiveness or complementarities). For
the purposes of this section 'added value of EU involvement' is the value resulting
from EU action, that is additional to the value that would have been otherwise
created by Member States alone.
Reasons for action at EU level (ex-ante): Given that the proposed measure aims to
amend existing EU legislation, it is best achieved at EU level rather than through
different national initiatives. To achieve the EU single market’s objectives, it is
crucial to ensure a standard application of the proposed measure, a convergence of
related supervisory practices and a level playing field throughout the single market
for banking services.
Expected generated EU added value (ex-post): Adopting national measures would be
difficult from a legal standpoint given that the CRR is directly applicable. In
addition, a minimum degree of harmonisation and consistency across Member States
is necessary to achieve the single market’s objectives.
1.5.3.
Lessons learned from similar experiences in the past
The CRR is directly applicable across the EU and already regulates prudential
treatment of securitisation in all Member States. This ensures a standard application
of prudential measures in this area, the necessary convergence in supervisory
practices and a level playing field throughout the single market for banking services,
forming the basis for sound competition across the EU.
1.5.4.
Compatibility with the multiannual financial framework and possible synergies with
other appropriate instruments
Not applicable for this proposal – no budgetary impact.
1.5.5.
Assessment of the different available financing options, including scope for
redeployment
Not applicable for this proposal – no budgetary impact.
24
As referred to in Article 58(2), point (a) or (b) of the Financial Regulation.
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1.6.
Duration of the proposal/initiative and of its financial impact
limited duration
–
in effect from [DD/MM]YYYY to [DD/MM]YYYY
–
financial impact from YYYY to YYYY for commitment appropriations and
from YYYY to YYYY for payment appropriations.
unlimited duration
– Implementation with a start-up period from YYYY to YYYY,
– followed by full-scale operation.
1.7.
Method(s) of budget implementation planned
25
Direct management
by the Commission
–
by its departments, including by its staff in the Union delegations;
–
by the executive agencies
Shared management
with the Member States
Indirect management
by entrusting budget implementation tasks to:
–
third countries or the bodies they have designated
–
international organisations and their agencies (to be specified)
–
the European Investment Bank and the European Investment Fund
–
bodies referred to in Articles 70 and 71 of the Financial Regulation
–
public law bodies
–
bodies governed by private law with a public service mission to the extent that
they are provided with adequate financial guarantees
–
bodies governed by the private law of a Member State that are entrusted with
the implementation of a public-private partnership and that are provided with
adequate financial guarantees
–
bodies or persons entrusted with the implementation of specific actions in the
common foreign and security policy pursuant to Title V of the Treaty on
European Union, and identified in the relevant basic act
–
bodies
established in a Member State, governed by the private law of a
Member State or Union law and eligible to be entrusted, in accordance with
sector-specific rules, with the implementation of Union funds or budgetary
guarantees, to the extent that such bodies are controlled by public law bodies or
by bodies governed by private law with a public service mission, and are provided
with adequate financial guarantees in the form of joint and several liability by the
controlling bodies or equivalent financial guarantees and which may be, for each
action, limited to the maximum amount of the Union support.
Comments
25
Details of budget implementation methods and references to the Financial Regulation may be found on
the BUDGpedia site:
https://myintracomm.ec.europa.eu/corp/budget/financial-rules/budget-
implementation/Pages/implementation-methods.aspx.
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Not applicable for this proposal – no budgetary impact.
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2.
2.1.
MANAGEMENT MEASURES
Monitoring and reporting rules
Not applicable for this proposal – no budgetary impact.
2.2.
2.2.1.
Management and control system(s)
Justification of the budget implementation method(s), the funding implementation
mechanism(s), the payment modalities and the control strategy proposed
Not applicable for this proposal – no budgetary impact.
2.2.2.
Information concerning the risks identified and the internal control system(s) set up
to mitigate them
Not applicable for this proposal – no budgetary impact.
2.2.3.
Estimation and justification of the cost-effectiveness of the controls (ratio between
the control costs and the value of the related funds managed), and assessment of the
expected levels of risk of error (at payment & at closure)
Not applicable for this proposal – no budgetary impact.
2.3.
Measures to prevent fraud and irregularities
Not applicable for this proposal – no budgetary impact.
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3.
3.1.
ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE
Heading(s) of the multiannual financial framework and expenditure budget
line(s) affected
Not applicable for this proposal – no budgetary impact.
•
Existing budget lines
In order of multiannual financial framework headings and budget lines.
Budget line
Type of
expenditure
Contribution
from
candidate
countries
and
potential
candidates
28
Heading of
multiannual
financial
framework
Number
Diff./Non-
diff.
26
from
EFTA
countries
27
From
other
third
countries
other assigned
revenue
[XX.YY.YY.YY]
Diff./Non
-diff.
Diff./Non
-diff.
Diff./Non
-diff.
YES/NO
YES/NO
YES/NO
YES/NO
[XX.YY.YY.YY]
YES/NO
YES/NO
YES/NO
YES/NO
[XX.YY.YY.YY]
YES/NO
YES/NO
YES/NO
YES/NO
•
New budget lines requested
In order of multiannual financial framework headings and budget lines.
Budget line
Heading of
multiannual
financial
framework
Type of
expenditure
Contribution
from
candidate
countries
and
potential
candidates
Number
Diff./Non-
diff.
from
EFTA
countries
from
other
third
countries
other assigned
revenue
[XX.YY.YY.YY]
Diff./Non
-diff.
Diff./Non
-diff.
Diff./Non
-diff.
YES/NO
YES/NO
YES/NO
YES/NO
[XX.YY.YY.YY]
YES/NO
YES/NO
YES/NO
YES/NO
[XX.YY.YY.YY]
YES/NO
YES/NO
YES/NO
YES/NO
26
27
28
Diff. = Differentiated appropriations / Non-diff. = Non-differentiated appropriations.
EFTA: European Free Trade Association.
Candidate countries and, where applicable, potential candidates from the Western Balkans.
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3.2.
3.2.1.
Estimated financial impact of the proposal on appropriations
Summary of estimated impact on operational appropriations
–
The proposal/initiative does not require the use of operational appropriations
–
The proposal/initiative requires the use of operational appropriations, as explained below
3.2.1.1. Appropriations from voted budget
EUR million (to three decimal places)
Heading of multiannual financial framework
Number
DG: <…….>
Operational appropriations
Year
2024
Commitments
Payments
Commitments
(1a)
(2a)
(1b)
(2b)
Year
2025
Year
2026
Year
2027
TOTAL MFF
2021-2027
Budget line
Budget line
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
0.000
0.000
Year
2025
0.000
0.000
Year
2026
0.000
0.000
Year
2027
0.000
0.000
TOTAL MFF
2021-2027
Payments
Appropriations of an administrative nature financed from the envelope of specific programmes
29
Budget line
(3)
TOTAL appropriations
for DG
<…….>
DG: <…….>
Operational appropriations
Budget line
Commitments
Payments
=1a+1b+3
=2a+2b+3
Commitments
(1a)
0.000
29
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
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Payments
Commitments
(2a)
(1b)
(2b)
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
0.000
0.000
Year
2025
0.000
0.000
Year
2026
0.000
0.000
0.000
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
0.000
TOTAL MFF
2021-2027
0.000
0.000
Budget line
Payments
Appropriations of an administrative nature financed from the envelope of specific programmes
30
Budget line
(3)
TOTAL appropriations
for DG
<…….>
Commitments
Payments
=1a+1b+3
=2a+2b+3
Commitments
(4)
(5)
0.000
0.000
TOTAL
operational
appropriations
Payments
TOTAL appropriations of an administrative nature financed
from the envelope for specific programmes
(6)
0.000
0.000
0.000
0.000
0.000
TOTAL appropriations under
HEADING <….>
of the multiannual financial framework
Heading of multiannual financial
framework
Commitments
Payments
=4+6
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
=5+6
Number
DG: <…….>
Operational appropriations
Year
2024
Commitments
(1a)
Year
2025
Year
2026
Year
2027
TOTAL MFF
2021-2027
Budget line
30
0.000
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
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Payments
(2a)
(1b)
(2b)
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Budget line
Commitments
Payments
Appropriations of an administrative nature financed from the envelope of specific programmes
31
Budget line
(3)
TOTAL appropriations
for DG
<…….>
Commitments
Payments
=1a+1b +3
=2a+2b+3
DG: <…….>
Operational appropriations
Year
2024
Commitments
Payments
Commitments
Payments
(1a)
(2a)
(1b)
(2b)
Year
2025
Year
2026
Year
2027
TOTAL MFF
2021-2027
Budget line
Budget line
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Appropriations of an administrative nature financed from the envelope of specific programmes
32
Budget line
(3)
TOTAL appropriations
for DG
<…….>
Commitments
Payments
=1a+1b +3
=2a+2b+3
Year
2024
Year
2025
0.000
Year
2026
0.000
Year
2027
0.000
TOTAL MFF
2021-2027
0.000
TOTAL
operational
appropriations
Commitments
(4)
0.000
31
32
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
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Payments
(5)
0.000
0.000
0.000
0.000
0.000
TOTAL appropriations of an administrative nature financed
from the envelope for specific programmes
(6)
0.000
0.000
0.000
0.000
0.000
TOTAL appropriations under
HEADING <….>
of the multiannual financial framework
Commitments
Payments
=4+6
0.000
0.000
Year
2024
0.000
0.000
Year
2025
0.000
0.000
0.000
0.000
0.000
Year
2026
0.000
0.000
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
0.000
0.000
TOTAL MFF
2021-2027
0.000
0.000
0.000
=5+6
•
TOTAL operational
operational headings)
appropriations
(all
Commitments
Payments
(4)
(5)
0.000
0.000
0.000
•
TOTAL appropriations of an administrative nature financed
from the envelope for specific programmes (all operational
headings)
(6)
TOTAL appropriations Under Heading 1
to 6
of the multiannual financial framework
(Reference amount)
Commitments
Payments
=4+6
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
=5+6
Heading of multiannual financial framework
7
‘Administrative expenditure’
33
Year
2024
0.000
0.000
Year
2025
0.000
0.000
Year
2026
0.000
0.000
Year
2027
0.000
0.000
TOTAL
MFF 2021-
2027
0.000
0.000
DG: <…….>
Human resources
Other administrative expenditure
33
The necessary appropriations should be determined using the annual average cost figures available on the appropriate BUDGpedia webpage
.
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TOTAL DG
<…….>
Appropriations
0.000
Year
2024
0.000
0.000
0.000
Year
2025
0.000
0.000
0.000
0.000
Year
2026
0.000
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
0.000
TOTAL
MFF 2021-
2027
0.000
0.000
0.000
DG: <…….>
Human resources
Other administrative expenditure
TOTAL DG
<…….>
Appropriations
0.000
(Total
commitments
= Total
payments)
TOTAL appropriations under HEADING 7 of the multiannual financial
framework
0.000
0.000
0.000
0.000
0.000
EUR million (to three decimal places)
Year
2024
Year
2025
Year
2026
Year
2027
TOTAL MFF
2021-2027
TOTAL appropriations under HEADINGS 1 to 7
of the multiannual financial framework
Commitments
Payments
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.2.1.2. Appropriations from external assigned revenues
EUR million (to three decimal places)
Heading of multiannual financial framework
Number
DG: <…….>
Operational appropriations
Budget line
Year
2024
Commitments
(1a)
Year
2025
Year
2026
Year
2027
TOTAL MFF
2021-2027
0.000
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Payments
Commitments
(2a)
(1b)
(2b)
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
0.000
0.000
Year
2025
0.000
0.000
Year
2026
0.000
0.000
Year
2027
0.000
0.000
TOTAL MFF
2021-2027
Budget line
Payments
Appropriations of an administrative nature financed from the envelope of specific programmes
34
Budget line
(3)
TOTAL appropriations
for DG
<…….>
DG: <…….>
Operational appropriations
Commitments
Payments
=1a+1b+3
=2a+2b+3
Budget line
Budget line
Commitments
Payments
Commitments
Payments
(1a)
(2a)
(1b)
(2b)
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
0.000
0.000
Year
2025
0.000
0.000
Year
2026
0.000
0.000
0.000
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
0.000
TOTAL MFF
2021-2027
0.000
0.000
Appropriations of an administrative nature financed from the envelope of specific programmes
35
Budget line
(3)
TOTAL appropriations
for DG
<…….>
Commitments
Payments
=1a+1b+3
=2a+2b+3
Commitments
(4)
(5)
0.000
0.000
TOTAL
operational
appropriations
Payments
34
35
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
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TOTAL appropriations of an administrative nature financed
from the envelope for specific programmes
(6)
0.000
0.000
0.000
0.000
0.000
TOTAL appropriations under
HEADING <….>
of the multiannual financial framework
Commitments
Payments
=4+6
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
=5+6
Heading of multiannual financial framework
Number
DG: <…….>
Operational appropriations
Year
2024
Commitments
Payments
Commitments
(1a)
(2a)
(1b)
(2b)
Year
2025
Year
2026
Year
2027
TOTAL MFF
2021-2027
Budget line
Budget line
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
0.000
0.000
Year
2025
0.000
0.000
Year
2026
0.000
0.000
Year
2027
0.000
0.000
TOTAL MFF
2021-2027
Payments
Appropriations of an administrative nature financed from the envelope of specific programmes
36
Budget line
(3)
TOTAL appropriations
for DG
<…….>
DG: <…….>
Operational appropriations
Commitments
Payments
=1a+1b+3
=2a+2b+3
Budget line
Commitments
Payments
(1a)
(2a)
0.000
0.000
36
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
EN
53
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Commitments
(1b)
(2b)
Budget line
0.000
0.000
0.000
0.000
0.000
Year
2024
Year
2025
0.000
0.000
0.000
0.000
Year
2026
0.000
0.000
0.000
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
0.000
TOTAL MFF
2021-2027
0.000
0.000
Payments
Appropriations of an administrative nature financed from the envelope of specific programmes
37
Budget line
(3)
TOTAL appropriations
for DG
<…….>
Commitments
Payments
=1a+1b+3
=2a+2b+3
Commitments
(4)
(5)
0.000
0.000
TOTAL
operational
appropriations
Payments
TOTAL appropriations of an administrative nature financed
from the envelope for specific programmes
(6)
0.000
0.000
0.000
0.000
0.000
TOTAL appropriations under
HEADING <….>
of the multiannual financial framework
Commitments
Payments
=4+6
0.000
0.000
Year
2024
0.000
0.000
Year
2025
0.000
0.000
0.000
0.000
0.000
Year
2026
0.000
0.000
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
0.000
0.000
TOTAL MFF
2021-2027
0.000
0.000
0.000
=5+6
•
TOTAL operational
operational headings)
appropriations
(all
Commitments
Payments
(4)
(5)
0.000
0.000
0.000
•
TOTAL appropriations of an administrative nature financed
from the envelope for specific programmes (all operational
headings)
(6)
37
Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.
EN
54
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TOTAL appropriations under Headings 1
to 6
of the multiannual financial framework (Reference
amount)
Commitments
Payments
=4+6
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
=5+6
Heading of multiannual financial framework
7
‘Administrative expenditure’
38
EUR million (to three decimal places)
DG: <…….>
Human resources
Other administrative expenditure
TOTAL DG
<…….>
Year
2024
0.000
0.000
Year
2025
0.000
0.000
0.000
Year
2025
0.000
0.000
0.000
Year
2026
0.000
0.000
0.000
Year
2026
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
Year
2027
0.000
0.000
0.000
TOTAL
MFF 2021-
2027
0.000
0.000
0.000
TOTAL
MFF 2021-
2027
0.000
0.000
0.000
Appropriations
0.000
Year
2024
0.000
0.000
DG: <…….>
Human resources
Other administrative expenditure
TOTAL DG
<…….>
Appropriations
0.000
(Total
commitments
= Total
payments)
TOTAL appropriations under HEADING 7 of the multiannual
financial framework
0.000
0.000
0.000
0.000
0.000
EUR million (to three decimal places)
Year
38
Year
Year
Year
TOTAL MFF
The necessary appropriations should be determined using the annual average cost figures available on the appropriate BUDGpedia webpage.
EN
55
EN
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2024
2025
2026
2027
2021-2027
TOTAL appropriations under HEADINGS 1 to 7
of the multiannual financial framework
Commitments
Payments
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3.2.2.
Estimated output funded from operational appropriations (not to be completed for decentralised agencies)
Commitment appropriations in EUR million (to three decimal places)
Year
2024
Year
2025
Year
2026
Year
2027
OUTPUTS
Avera
ge
cost
Enter as many years as necessary to show the
duration of the impact (see Section1.6)
TOTAL
Indicate
objectives and
outputs
No
No
No
No
No
No
Cost
Cost
Cost
Cost
Cost
Cost
No
Type
39
Cost
Total
No
Total
cost
SPECIFIC OBJECTIVE No 1
40
…
- Output
- Output
- Output
Subtotal for specific objective No 1
SPECIFIC OBJECTIVE No 2 ...
- Output
Subtotal for specific objective No 2
39
40
Outputs are products and services to be supplied (e.g. number of student exchanges financed, number of km of roads built, etc.).
As described in Section 1.3.2. ‘Specific objective(s)’
EN
56
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TOTALS
EN
57
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3.2.3.
Summary of estimated impact on administrative appropriations
–
The proposal/initiative does not require the use of appropriations of an administrative nature
–
The proposal/initiative requires the use of appropriations of an administrative nature, as explained below
3.2.3.1. Appropriations from voted budget
VOTED APPROPRIATIONS
HEADING 7
Human resources
Other administrative expenditure
Subtotal HEADING 7
Outside HEADING 7
Human resources
Other expenditure of an administrative nature
Subtotal outside HEADING 7
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
Year
2025
Year
2026
Year
2027
TOTAL 2021 - 2027
TOTAL
0.000
0.000
0.000
0.000
0.000
3.2.3.2. Appropriations from external assigned revenues
EXTERNAL ASSIGNED REVENUES
HEADING 7
Human resources
Other administrative expenditure
Subtotal HEADING 7
Outside HEADING 7
Human resources
Other expenditure of an administrative nature
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
Year
2025
Year
2026
Year
2027
TOTAL 2021 - 2027
EN
58
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Subtotal outside HEADING 7
0.000
0.000
0.000
0.000
0.000
TOTAL
0.000
0.000
0.000
0.000
0.000
3.2.3.3. Total appropriations
TOTAL
VOTED APPROPRIATIONS + EXTERNAL
ASSIGNED REVENUES
HEADING 7
Human resources
Other administrative expenditure
Subtotal HEADING 7
Outside HEADING 7
Human resources
Other expenditure of an administrative nature
Subtotal outside HEADING 7
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Year
2024
Year
2025
Year
2026
Year
2027
TOTAL
2021 -
2027
TOTAL
0.000
0.000
0.000
0.000
0.000
The appropriations required for human resources and other expenditure of an administrative nature will be met by appropriations from the DG that are already
assigned to management of the action and/or have been redeployed within the DG, together, if necessary, with any additional allocation which may be granted to the
managing DG under the annual allocation procedure and in the light of budgetary constraints.
3.2.4.
Estimated requirements of human resources
–
The proposal/initiative does not require the use of human resources
–
The proposal/initiative requires the use of human resources, as explained below
EN
59
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3.2.4.1. Financed from voted budget
Estimate to be expressed in full-time equivalent units (FTEs)
41
VOTED APPROPRIATIONS
Establishment plan posts (officials and temporary staff)
20 01 02 01 (Headquarters and Commission’s Representation Offices)
20 01 02 03 (EU Delegations)
01 01 01 01 (Indirect research)
01 01 01 11 (Direct research)
Other budget lines (specify)
•
External staff (inFTEs)
20 02 01 (AC, END from the ‘global envelope’)
20 02 03 (AC, AL, END and JPD in the EU Delegations)
Admin. Support line
[XX.01.YY.YY]
- at Headquarters
- in EU Delegations
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Year
2024
Year
2025
Year
2026
Year
2027
01 01 01 02 (AC, END - Indirect research)
01 01 01 12 (AC, END - Direct research)
Other budget lines (specify) - Heading 7
Other budget lines (specify) - Outside Heading 7
TOTAL
3.2.4.2. Financed from external assigned revenues
EXTERNAL ASSIGNED REVENUES
Year
2024
Year
2025
Year
2026
Year
2027
41
Please specify below the table how many FTEs within the number indicated are already assigned to the management of the action and/or can be redeployed within your DG
and what are your net needs.
EN
60
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Establishment plan posts (officials and temporary staff)
20 01 02 01 (Headquarters and Commission’s Representation Offices)
20 01 02 03 (EU Delegations)
01 01 01 01 (Indirect research)
01 01 01 11 (Direct research)
Other budget lines (specify)
•
External staff (in full time equivalent units)
20 02 01 (AC, END from the ‘global envelope’)
20 02 03 (AC, AL, END and JPD in the EU Delegations)
Admin. Support line
[XX.01.YY.YY]
- at Headquarters
- in EU Delegations
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
01 01 01 02 (AC, END - Indirect research)
01 01 01 12 (AC, END - Direct research)
Other budget lines (specify) - Heading 7
Other budget lines (specify) - Outside Heading 7
TOTAL
3.2.4.3. Total requirements of human resources
TOTAL VOTED APPROPRIATIONS + EXTERNAL ASSIGNED
REVENUES
Establishment plan posts (officials and temporary staff)
20 01 02 01 (Headquarters and Commission’s Representation Offices)
20 01 02 03 (EU Delegations)
01 01 01 01 (Indirect research)
01 01 01 11 (Direct research)
Other budget lines (specify)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Year
2024
Year
2025
Year
2026
Year
2027
EN
61
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•
External staff (in full time equivalent units)
20 02 01 (AC, END from the ‘global envelope’)
20 02 03 (AC, AL, END and JPD in the EU Delegations)
Admin. Support
line
[XX.01.YY.YY]
- at Headquarters
- in EU Delegations
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
01 01 01 02 (AC, END - Indirect research)
01 01 01 12 (AC, END - Direct research)
Other budget lines (specify) - Heading 7
Other budget lines (specify) - Outside Heading 7
TOTAL
The staff required to implement the proposal (in FTEs):
To be covered by
current staff
available in the
Commission
services
Exceptional additional staff*
To be financed
under Heading 7
or Research
Establishment
plan posts
External
staff
(CA, SNEs, INT)
To be financed
from BA line
To be financed
from fees
N/A
*
Description of tasks to be carried out by:
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Officials and temporary staff
External staff
3.2.5.
Overview of estimated impact on digital technology-related investments
Compulsory: the best estimate of the digital technology-related investments entailed by the proposal/initiative should be included in the table
below.
Exceptionally, when required for the implementation of the proposal/initiative, the appropriations under Heading 7 should be presented in the
designated line.
The appropriations under Headings 1-6 should be reflected as “Policy IT expenditure on operational programmes”. This expenditure refers to
the operational budget to be used to re-use/ buy/ develop IT platforms/ tools directly linked to the implementation of the initiative and their
associated investments (e.g. licences, studies, data storage etc). The information provided in this table should be consistent with details
presented under Section 4 “Digital dimensions”.
Year
Year
2025
Year
2026
Year
2027
TOTAL
MFF
2021 -
2027
TOTAL Digital and IT appropriations
2024
HEADING 7
IT expenditure (corporate)
Subtotal HEADING 7
Outside HEADING 7
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Policy IT expenditure on operational
programmes
Subtotal outside HEADING 7
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
TOTAL
0.000
0.000
0.000
0.000
0.000
3.2.6.
Compatibility with the current multiannual financial framework
The proposal/initiative:
EN
63
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–
can be fully financed through redeployment within the relevant heading of the multiannual financial framework (MFF)
–
requires use of the unallocated margin under the relevant heading of the MFF and/or use of the special instruments as defined in the
MFF Regulation
–
requires a revision of the MFF
3.2.7.
Third-party contributions
The proposal/initiative:
–
does not provide for co-financing by third parties
–
provides for the co-financing by third parties estimated below:
Appropriations in EUR million (to three decimal places)
Year
2024
Specify the co-financing body
TOTAL appropriations co-financed
Year
2025
Year
2026
Year
2027
Total
3.3.
Estimated impact on revenue
–
The proposal/initiative has no financial impact on revenue.
–
The proposal/initiative has the following financial impact:
–
–
–
on own resources
on other revenue
please indicate, if the revenue is assigned to expenditure lines
EUR million (to three decimal places)
EN
64
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Budget revenue line:
Appropriations available for the
current financial year
Impact of the proposal/initiative
42
Year
2024
Year
2025
Year
2026
Year
2027
Article ………….
For assigned revenue, specify the budget expenditure line(s) affected.
Not applicable for this proposal – no budgetary impact.
Other remarks (e.g. method/formula used for calculating the impact on revenue or any other information).
Not applicable for this proposal – no budgetary impact.
42
As regards traditional own resources (customs duties, sugar levies), the amounts indicated must be net amounts, i.e. gross amounts after deduction of 20% for collection
costs.
EN
65
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4.
DIGITAL DIMENSIONS
4.1. Requirements of digital relevance
If the policy initiative is assessed as having no requirement of digital relevance, provide an explanation as to why digital means are not used
The proposal has no digital relevance, as it does not make any substantial changes to the existing data infrastructure. The existing EBA system
of notifications currently in place is expected to continue to be used for the purpose of collecting the data as requested under the Article 244(8)
and 245(7) of the proposal.
Otherwise, please list the requirements of digital relevance in the table below:
Reference to the
requirement
Requirement description
Actor affected or
concerned by the
requirement
High-level
Processes
Category
4.2. Data
EN
66
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High-level description of the data in scope and any related standards/specifications
Type of data
Reference to the requirement(s)
Standard and/or specification (if applicable)
Alignment with the European Data Strategy
Explain how the requirement(s) are aligned with the European Data Strategy
Alignment with the once-only principle
Explain how the once-only principle has been considered how the possibility to reuse existing data explored
Explain how newly created data is findable, accessible, interoperable and reusable, and meets high-quality standards
EN
67
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Data flows
Type of data
Reference(s)
Actor who
to the
provides the
requirement(s) data
Actor who
receives the
data
Trigger for the
data exchange
Frequency (if
applicable)
4.3 Digital Solutions
For each digital solution, please provide the reference to the requirement(s) of digital relevance concerning it, a description of the digital solution's
mandated functionality, the body that will be responsible for it, and other relevant aspects such as reusability and accessibility. Finally, explain
whether the digital solution intends to make use of AI technologies.
Digital solution
Reference(s)
to the
requirement(s)
Main mandated
functionalities
Responsible body
How is
accessibility
catered for?
How is reusability
considered?
Use of AI
technologies
(if
applicable)
Digital
solution #1
Digital
solution #2
EN
68
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For each digital solution, explain how the digital solution complies with the requirements and obligations of the EU cybersecurity framework, and
other applicable digital policies and legislative enactments (such as eIDAS, Single Digital Gateway, etc.).
Digital solution #1
Digital and/or sectorial policy (when these are
applicable)
AI Act
EU Cybersecurity framework
eIDAS
Single Digital Gateway and IMI
Others
Digital solution #2
Digital and/or sectorial policy (when these are
applicable)
AI Act
Explanation on how it aligns
Explanation on how it aligns
EN
69
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EU Cybersecurity framework
eIDAS
Single Digital Gateway and IMI
Others
4.4
Interoperability assessment
Reference(s) to the
requirement(s)
Interoperable Europe
Solution(s)
(NOT APPLICABLE)
Describe the digital public service(s) affected by the requirements
Digital public service
or category of digital
public services
Digital public service
#1
Category of digital
public services
according to
COFOG
#1
Assess the impact of the requirement(s) on cross-border interoperability
Digital public service #1
Assessment
Assess the alignment with existing
digital and sectorial policies
Measures
Potential remaining barriers
Description
Other interoperability solution(s)
//
//
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70
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Please list the applicable digital and
sectorial policies identified
Assess the organisational measures for
a smooth cross-border digital public
services delivery
Please list the governance measures
foreseen
Assess the measures taken to ensure a
shared understanding of the data
Please list such measures
Assess the use of commonly agreed
open technical specifications and
standards
Please list such measures
4.5
Measures to support digital implementation
Reference(s) to the requirement(s)
Commission role
(if applicable)
Actors to be
involved
(if applicable)
Expected timeline
(if applicable)
Description of the measure
EN
71
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EN
72
EN