BETA

10 Amendments of Molly SCOTT CATO related to 2015/0225(COD)

Amendment 67 #
Proposal for a regulation
Recital 8
(8) As pointed out by the European Banking Authority (the "EBA") in its "Report on Qualifying Securitisations" of June 201510 , empirical evidence on defaults and losses shows that STS securitisations exhibited better performance than other securitisations during the financial crisis, reflecting the use of simple and transparent structures and robust execution practices in STS securitisation which deliver lower credit, operational and agency risks. It is therefore appropriate to amend Regulation (EU) No 575/2013 to provide for an appropriately risk-sensitive calibration for STS securitisations in the manner recommended by the EBA in its Report which involves, in particular, a lower risk weight floor of 10% for senior positions. However, in the case of securitisations of exposures originated by credit institutions, the risk weight floor should be 15 % to reflect the likelihood of higher correlation between the risk of the underlying exposures and the balance sheets of the investing banks than between such exposures and non- banks. _________________ 10 See https://www.eba.europa.eu/documents/101 80/950548/EBA+report+on+qualifying+se curitisation.pdf
2016/09/06
Committee: ECON
Amendment 69 #
Proposal for a regulation
Recital 9
(9) The definition of STS securitisations for regulatory capital purposes under Regulation (EU) No 575/2013 should be limited to securitisations where the ownership of the underlying exposures is transferred to the Special Purpose Entity ("traditional securitisations"). However, institutions retaining senior positions in synthetic securitisations backed by an underlying pool of loans to small and medium-size enterprises ("SMEs") should be allowed to apply to these positions the lower capital requirements available for STS securitisations where such transactions are regarded as of high quality in accordance with certain strict criteria. In particular, where such subset of synthetic securitisations benefits from the guarantee or counterguarantee by the central government or central bank of a Member State, the preferential regulatory capital treatment that would be available to them under Regulation (EU) No 575/2013 is without prejudice to compliance with the State Aid rules.
2016/09/06
Committee: ECON
Amendment 124 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 254 – paragraph 1
(1) Institutions shall use one of the methods set out in Subsection 3 to calculate risk-weighted exposure amounts in relation to all the positions they hold in a securitisation that is not an STS securitisation.
2016/09/06
Committee: ECON
Amendment 125 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
(1a) Institutions shall us the SEC-SA method set out in Article 264 to calculate risk-weighted exposure amounts in relation to all the positions they hold in an STS securitisation.
2016/09/06
Committee: ECON
Amendment 158 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 260
Treatment of STS securitisations under Under the SEC-IRBA, the risk weight for position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications: risk weight floor for senior securitisation positions = 10% p = max [0.3; 0.5ˑ (A + Bˑ(1/N) + Cˑ KIRB + D*LGD + EˑMT)]Article 260 deleted the SEC-IRBA
2016/09/06
Committee: ECON
Amendment 165 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 262
Article 262 Treatment of STS securitisations under SEC-ERBA (1) Under the SEC-ERBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 261, subject to the modifications laid down in this Article. (2) For exposures with short-term credit assessments or when a rating based on a short- term credit assessment may be inferred in accordance with Article 261(7), the following risk weights shall apply: Table 3 Credit Quality Step 1 2 3 All other ratings Risk weight 10% 35% 70% 1,250% (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 Article 261(7), risk weights shall be determined in accordance with Table 4, adjusted for tranche maturity (MT) in accordance with Article 257 and Article 261(4) and for tranche thickness for non-senior tranches in accordance with Article 261(5): Table 4 Credit Quality Senior tranche Non-senior (thin) tranche Step Tranche maturity (MT) Tranche maturity (MT) 1 year 5 years 1 year 5 years 1 10% 15% 15% 50% 2 10% 20% 15% 55% 3 15% 25% 20% 75% 4 20% 30% 25% 90% 5 25% 35% 40% 105% 6 35% 45% 55% 120% 7 40% 45% 80% 140% 8 55% 65% 120% 185% 9 65% 75% 155% 220% 10 85% 100% 235% 300% 11 105% 120% 355% 440% 12 120% 135% 470% 580% 13 150% 170% 570% 650% 14 210% 235% 755% 800% 15 260% 285% 880% 880% 16 320% 355% 950% 950% 17 395% 430% 1,250% 1,250% All other 1,250% 1,250% 1,250% 1,250% deleted
2016/09/06
Committee: ECON
Amendment 174 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 264 – Title
Article 264 Article 264 Treatment of STS securitisations underSEC-SA
2016/09/06
Committee: ECON
Amendment 175 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 264 – paragraph 1 – introductory part
Under the SEC-SA tThe risk weight for a position in an STS securitisation shall be calculated in accordance with Article 263, subject to the following modifications
2016/09/06
Committee: ECON
Amendment 176 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 264 – paragraph 1 – point 1
risk weight floor for senior securitisation positions = 10The risk weight shall be multiplied by 1,5 where the originator of the underlying exposures is a credit institution. The risk weight floor for senior securitisation positions shall be: - 15%, where the originator of the underlying exposures is an institution - 10%, in all other cases
2016/09/06
Committee: ECON
Amendment 187 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 270 Senior positions in SME securitisations An originator institution may calculate the risk-weighted exposure amounts in respect of a securitisation position in accordance with Articles 260, 262 or 264, as applicable, where the following conditions are met: (a) the securitisation meets the requirements set out in Article 6(2) of the [Securitisation Regulation], other than point (a) of that paragraph; (b) the position qualifies as the senior securitisation position; (c) the securitisation is backed by a pool of exposures to undertakings, provided that at least 80% of those in terms of portfolio balance qualify as SMEs as defined in Art 501 at the time of issuance of the securitisation; (d) the credit risk associated with the positions not retained by the originator institution is transferred through a guarantee or a counter-guarantee meeting the requirements for unfunded credit protection set out in Chapter 4 for the Standardised Approach to credit risk; (e) the guarantor or counter-guarantor, as applicable, is the central government or the central bank of a Member State, a multilateral development bank or an international organisation, provided that the exposures to the guarantor or counter-guarantor qualify for a 0% risk weight under Chapter Two of Part Three.deleted
2016/09/06
Committee: ECON