What changed between the draft committee report and the plenary report

Removed:EXPLANATORY STATEMENT

Added:(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.

Removed:The rapporteur supports the Commission’s objective of revitalising the European securitisation market. The initiative aims to restore market confidence, improve access to finance for the real economy, and promote sustainable capital market growth across the Union. In particular, it seeks to foster a well-functioning and sustainable securitisation market that supports financing for businesses throughout Europe.

Added: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.

Removed:Following the financial crisis, the EU securitisation market contracted significantly. At the time, the introduction of stringent requirements was a necessary and appropriate response to reinforce financial stability. However, overly conservative rules have since hindered market development, preventing it from reaching its full potential.

Added: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.

Removed:The rapporteur is concerned that the Commission’s proposal may not fully achieve its ambitious objectives. The primary aim should be to ensure greater risk adequacy within the regulatory framework while enhancing the financing of the real economy. The proposed concept of “resilient positions” introduces additional complexity, which could impede market growth in certain segments or have a dampening effect overall.

Added:6. For certain transactions that do not exhibit problematic features, competent authorities may apply a fast-track simplified assessment process.

Removed:Given that the securitisation framework represents a flagship initiative of the Savings and Investments Union, the European Union cannot afford excessive delays in its implementation. For this reason, the removal of the resilient concept is not proposed. With appropriate adjustments, enhanced risk sensitivity could provide added value for specific parts of the market. Nevertheless, the rapporteur identifies major weaknesses in the proposed approach and remains concerned that the concept may not function effectively for all market participants.

Added:7. EBA shall develop regulatory technical standards to specify:

Removed:The concept of resilient securitisation introduced in the CRR has been developed primarily for synthetic on-balance sheet securitisations, with the objective of allowing lower risk weights and increased risk sensitivity. With several modifications, the resilience concept could function adequately for synthetic securitisations, but it is not suitable for traditional securitisations.

Added:(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), ▌ with respect to:

Removed:The rapporteur proposes therefore several simplifications for synthetic securitisations. The main priority should be the reduction of complexity, as the Commission has introduced too many categories for calculating risk weights. This increases market entry barriers for smaller banks and further reduces the attractiveness of securitisation as a financing tool. Streamlining the approach would support broader participation and reduce unnecessary obstacles for market entrants.

Added:(1) the calculation of the lifetime expected losses of the underlying exposures and their allocation to the tranches of the securitisation for the purposes of paragraph 2 of this Article and Article 245(2);

Removed:Traditional securitisations are a vital and well-established tool for financing the real economy and offer the highest potential for market growth. Introducing an additional risk-sensitive category of resilient positions for SEC-ERBA that already incorporates a high degree of risk sensitivity, with ratings reflecting historical performance, portfolio quality, market expectations, macroeconomic factors, and structural features would add unnecessary complexity without enhancing risk differentiation and disproportionately affect market participants with historically strong performance. The resilient concept for traditional securitisations should be removed. Instead, the well-established STS category should be reinforced, and all STS senior tranches of traditional securitisations should be treated as ‘resilient’. Maintaining two distinct approaches does not create an uneven playing field or fragment the market, as external models already provide sufficient risk sensitivity.

Added:(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);

Removed:In addition, the proposed ‛resilient’ concept appears to be calibrated mainly for synthetic securitisations applying a formula-based approach. Consequently, it does not adequately accommodate the specific characteristics of high-quality SEC-ERBA ABS.

Added:(3) 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);

Removed:To ensure that the recalibration of capital requirements delivers genuine added value rather than mere redistributive effects, it must fit coherently into the broader framework of prudential rules, particularly regarding covered bonds. In this context, maintaining a consistent and proportionate treatment of covered bonds is essential to avoid unintended market distortions. Therefore, it would be coherent to lower the capital requirements for covered bonds accordingly. Sustainable capital market growth can only be achieved by developing both key markets, securitisations and covered bonds, in parallel, thereby ensuring a level playing field.

Added:(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;

Added:(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;

Added:(d) 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;

Added:(e) 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);

Added:(f) the necessary adjustments for the application of Article 244 and 245 to NPE securitisations.

Added:The objective of those regulatory technical standards shall be to enhance clarity and predictability in the assessment of significant credit risk transfer, while maintaining proportionality and operational efficiency for supervised entities. When developing those draft regulatory technical standards, EBA shall ensure that, in all cases, those standards do not result in a material increase in the supervisory burden for credit institutions.

Added:EBA shall submit those draft regulatory technical standards to the Commission by [18 months after the date of entry into force].

Added: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.

Added:8. By 31 March of each year, competent authorities shall notify to 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.

Added:Synthetic securitisation

Added: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 all of the following conditions are met:

Added:(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);

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

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:

Added:where:

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

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 %.

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

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.

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

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:

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

Added:(b) the credit protection by virtue of which credit risk is transferred complies with Article 249;

Added:(c) the securitisation documentation does not contain terms or conditions that:

Added:(1) impose significant materiality thresholds below which credit protection is deemed not to be triggered if a credit event occurs;

Added:(2) allow for the termination of the protection due to deterioration of the credit quality of the underlying exposures;

Added:(3) require the originator institution to alter the composition of the underlying exposures to improve the average quality of the pool; or

Added:(4) 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;

Added:(d) the credit protection is enforceable in all relevant jurisdictions;

Added:(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);

Added:(f) 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;

Added:(g) where there is a clean-up call option, that option meets all the following conditions:

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

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

Added:(3) 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;

Added:(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;

Added:(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 (d) of this paragraph.

Added: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.

Added:6. For certain transactions that do not exhibit problematic features, competent authorities may apply a fast-track simplified assessment process.

Added:7. By 31 March of each year, competent authorities shall notify to 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.’;

Added:(5) Article 248(1) is amended as follows: