BETA

22 Amendments of Paul TANG related to 2015/0225(COD)

Proposal for a regulation
Recital 5

(5) Agency and model risks are more prevalent for securitisations than for other financial assets and give rise to some degree of uncertainty in the calculation of capital requirements for securitisations even after all appropriate risk drivers have been taken into account. In order to capture those risks adequately, Regulation (EU) No. 575/2013 should be amended to provide for a minimum 157 % risk weight floor for all securitisation positions. Re- securitisations, however, exhibit greater complexity and riskiness and, accordingly, positions in them, should be subject to a more conservative regulatory capital calculation and a 100% risk weight floor.

2016/09/06
Committee: ECON

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 103 % for senior positions. _________________ 10 See https://www.eba.europa.eu/documents/101 80/950548/EBA+report+on+qualifying+se curitisation.pdf

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 6

Regulation (EU) No 575/2013
Article 197 – paragraph 1 – point h

(6) In Article 197(1), point (h) is replaced by the following: ‘(h) securitisation positions that are not re-securitisation positions and which are subject to a 100% risk-weight or lower in accordance with Article 261 to Article 264;’deleted

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 243 – paragraph 2 – point e

(e) where point (c)(i) applies, no loan in the pool of underlying exposures shall have a loan-to-value ratio higher than 1005 %, measured in accordance with paragraph 1(d)(i) of Article 129 and paragraph 1 of Article 229.

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 254 – paragraph 2 – point b

(b) where the SEC-IRBA may not be used, institutions shall use the Securitisation ~~External Ratings-Ba~~Standardised Approach (SEC-~~ERB~~SA) for rated positions or positions in respect of which an inferred rating may be used in accordance with Articles 2613 and 2624;

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 254 – paragraph 2 – point c

(c) where the S~~EC-ERBA~~ecuritisation Standardised Approach (SEC-SA) may not be used, institutions shall use the Securitisation ~~Standardised Approach (SEC-SA)~~External Ratings-Based Approach (SEC-ERBA) for rated positions or positions in respect of which an inferred rating may be used in accordance with Articles 2631 and 2642.

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 254 – paragraph 5

~~(5) For a position in a re- securitisation, institutions shall apply the SEC-SA in accordance with Article 263, with the modifications set out in Article 269.~~deleted

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Under the SEC-IRBA, the risk weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows, in all cases subject to a floor of 157%:

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 260 – paragraph 2

risk weight floor for senior securitisation positions = 103%

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7 Regulation (EU) No 575/2013

Table 1 Credit Quality 1 2 3 All other ~~Quality Step~~Step ratings Risk Weight ~~10%~~ 17% 35% 70% 1,250%

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 261 - Table 2

Table 2 Credit Quality Step Senior Tranche Non-senior (thin) tranche Tranche maturity (Mt) Tranche maturity (Mt) 1 year 5 years 1 year 5 years 1 1 157% 20% 1517% 70% 2 2 15% 30% 15% 90% 3 25% 40% 30% 120% 4 4 30% 45% 40% 140% 5 5 40% 50% 60% 160% 6 6 50% 65% 80% 180% 7 7 60% 70% 120% 210% 8 75% 90% 170% 260% 9 90% 105% 220% 310% 10 120% 140% 330% 420% 11 140% 160% 470% 580% 12 160% 180% 620% 760% 13 200% 225% 750% 860% 14 250% 280% 900% 950% 15 310% 340% 1050% 1050% 16 380% 420% 1130% 1130% 17 17 460% 505% 1,250% 1,250% All other 1,250% 1,250% 1,250% 1,250%

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 261 – paragraph 6

(6) The risk weight for non-senior tranches resulting from paragraphs 3 to 5 shall be subject to a floor of 157%. In addition, the resulting risk weight shall be no lower than the risk weight corresponding to a hypothetical senior tranche of the same securitisation with the same credit assessment and maturity.

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 262 – table 3

Table 3 Credit Quality Step 1 2 3 All other ratings Risk weight 103% 35% 70% 1,250%

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 262 – table 4

Table 4 Credit Quality Step Senior tranche Non-senior (thin) tranche Tranche maturity (MT) Tranche maturity (MT) 1 year 5 years 1 year 5 years 1 10% 3% 15% ~~15 %~~ 13% 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% ~~430%~~ 1,250% 1,250% All other 1,250% 1,250% 1,250% 1,250%

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 263 – paragraph 1 – introductory part

Under the SEC-SA, the risk weighted exposure amount for a position in a securitisation shall be calculated by multiplying the exposure value of the position as calculated in accordance with Article 248 by the applicable risk weight determined as follows, in all cases subject to a floor of 157 %:

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 263 – paragraph 1 – subpoint 3 – line 7

p = 1 for a securitisation exposure ~~that is not a re-securitisation exposure~~

2016/09/06
Committee: ECON

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 = 103 %

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 264 – paragraph 1 – point 2

p ~~= 0,5~~=1

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 269

(1) securitisation, institutions shall apply the SEC-SA in accordance with Article 263, with the following changes: (a) W = 0 for any exposure to a securitisation tranche within the underlying pool pf exposures; (b) p = 1.5; (c) the resulting risk weight shall be subject to a floor risk weight of 100%. (2) securitisation exposures shall be calculated in accordance with Subsection 2. (3) requirements set out in Sub-Section 4 shall not be applied to re-securitisation positions. (4) exposures consists in a mix of securitisation tranches and other types of assets, the KA parameter shall be determined as the nominal exposure weighted-average of the KA calculated individually for each subset of exposures.Article 269 deleted Re-securitisations For a position in a re- KSA for the underlying The maximum capital Where the pool of underlying

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 270 – paragraph 1 – point c

(c) the securitisation is backed by a pool of exposures to undertakings, provided that at least 890% of those in terms of portfolio balance qualify as SMEs as defined in Art 501 at the time of issuance of the securitisation;

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 7

Regulation (EU) No 575/2013
Article 270 f (new)

COM(2015)0472 - C8-0288/2015 – 2015/0226(COD) - Common rules on securitisation and creating a European framework for simple, transparent and standardised securitisation

2016/09/06
Committee: ECON

Proposal for a regulation
Article 1 – paragraph 1 – point 9 a (new)

Regulation (EU) No 575/2013
Article 424 – paragraph 5 – point a

(9a) Article 424 paragraph 5 point a is modified as follows: (a) liquidity facilities that the institution has granted to SSPEs ~~other than those referred to in point (b) of paragraph 3~~;

2016/09/06
Committee: ECON