What changed between the draft committee report and the plenary report

Added:(1) the requirements of Article 21(4), point (b), and Article 21(5) of Regulation (EU) 2017/2402;

Removed:Regulation (EU) No 575/2013

Added:(2) the attachment point of the senior securitisation position is determined as follows:

Removed:Article 1 – paragraph 1 – point 12, Article 262 – paragraph 1 – indent 3: risk weight floor for a senior securitisation position = min (10%; max (7%; 7% * KA*12.5)).

Added:A >= 1.5 * KA, when using SEC-SA▌,

Removed:Regulation (EU) No 575/2013

Added:A >= 1.1 * (EL * WAL of the initial reference securitised portfolio + UL), when using SEC-IRBA;

Removed:Article 1 – paragraph 1 – point 12, Article 262 – paragraph 2 – introductory part: 2. Under the SEC-SA the risk weight for a position in a synthetic STS securitisation that complies with the criteria set out in Article 243(3) or the risk weight for a traditional STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications:

Added:(3) the requirement of Article 243(2), point (a), of this Regulation; ▌

Removed:Regulation (EU) No 575/2013

Added: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.’;

Removed:Article 1 – paragraph 1 – point 12, Article 262 – paragraph 2 – indent 1: p = 0.25 for a senior securitisation position

Added:(4) Articles 244 and 245 are replaced by the following:

Removed:Regulation (EU) No 575/2013

Added:‘Article 244

Removed:Article 1 – paragraph 1 – point 12, Article 262 – paragraph 2 – indent 3: risk weight floor for a senior securitisation position = min (10%; max (4%; 7% * KA*12.5)).;

Added:Traditional securitisation

Removed:Regulation (EU) No 575/2013

Added: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:

Removed:Article 1 – paragraph 1 – point 12, Article 262 – paragraph 2 – subparagraph 1 a (new): For the purpose of calculating the risk weight floor laid down in paragraph 1 and in this paragraph, KA in the floor formula is / KA = KSA * (1-w)+w*0.12.

Added:(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);

Removed:Regulation (EU) No 575/2013

Added:(b) the conditions for the effective risk transfer on the securitised exposures referred to in paragraph 4 of this Article are met.

Removed:Article 1 – paragraph 1 – point 13 – point a, Article 263 – paragraph 2 – table 1 – column 2 – row 2: 10%

Added: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:

Removed:Regulation (EU) No 575/2013

Added:where:

Removed:Art. 263 – paragraphs 2a and 2b

Added:– RWEAi is the risk-weighted exposure amount of tranche i

Removed:Article 1 – paragraph 1 – point 13 – point b: deleted / (deleted) / (deleted) / (deleted)

Added:– ULi 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 %.

Removed:Regulation (EU) No 575/2013

Added:– UL_transi is the amount of ULi allocated to the transferred securitisation positions in tranche i

Removed:Regulation (EU) No 575/2013

Added: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.

Removed:Article 1 – paragraph 1 – point 13 – point d, Article 263 – paragraphs 3a and 3b: deleted / (deleted) / (deleted) / (deleted)

Added:3. By way of derogation from paragraph 2, competent authorities may require in individual cases the originator institution ▌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.

Removed:Regulation (EU) No 575/2013

Added:4. 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:

Removed:Article 1 – paragraph 1 – point 14 – point a, Article 264 – paragraph 2 – table 3 – column 2 – row 2: 5%

Added:(a) the transaction documentation reflects the economic substance of the securitisation;

Removed:Regulation (EU) No 575/2013

Added:(b) the securitisation positions do not constitute payment obligations of the originator institution;

Removed:Article 1 – paragraph 1 – point 14 – point b, Article 264 – paragraphs 2a and 2b: deleted / (deleted) / (deleted) / (deleted)

Added:(c) 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;

Removed:Regulation (EU) No 575/2013

Added:(d) the originator institution does not retain control over the underlying exposures;

Removed:Regulation (EU) No 575/2013

Added:(e) 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;

Removed:Article 1 – paragraph 1 – point 14 – point d, Article 264 – paragraphs 3a and 3b: deleted / (deleted) / (deleted) / (deleted)

Added:(f) 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);

Removed:Regulation (EU) No 575/2013

Added:(g) 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;

Removed:Article 1 – paragraph 1 – point 18, Article 506d – paragraph 1 – subparagraph 1: By [5 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.

Added:(h) where there is a clean-up call option, that option shall also meet all of the following conditions:

Removed:Directive 2009/65/EC

Added:(1) that option can be exercised at the discretion of the originator institution;

Removed:Article 1 a (new), Article 56 – paragraph 2 – subparagraph 1 a (new): Article 1a / Amendment to Directive 2009/65/EC / Directive 2009/65/EC is amended as follows: / In Article 56(2), the following subparagraph is added: / 'By way of derogation from the first subparagraph, point (b), a UCITS may acquire no more than 70% of the securities in a securitisation issued in accordance with Regulation (EU) 2017/2402 by a single issuing body where such positions are in public securitisations as defined in Article 2, point (32), of that Regulation.”

Added:(2) that option may only be exercised when 10 % or less of the original value of the underlying exposures remains unamortised;

Removed:The 10% UCITS investment limit on debt securities of a single issuer is overly restrictive for EU securitisations, suppressing investor demand and limiting market growth. The proposed change broadens investor access, enhances market participation, and supports the development of a deeper, more resilient and inclusive European securitisation market. . The AM proposes a limit of 70% if the positions are in a public securitisation. However, a more thorough assessment of such a limit based on a sufficient data basis is warranted.