What changed between the draft committee report and the plenary report

Added: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.’;

Added:(16) in Article 270, paragraphs 2, 3 and 4 are deleted;

Added:(16a) in Article 428p, the following paragraph is inserted:

Added:‘(3a) In the case of a securitisation in accordance with Regulation (EU) No. 2017/2402, originator institutions may apply the stable funding factor required for securitisation positions held, even if the securitised exposures are accounted for on the balance sheet of the institution, instead of the stable funding factor provided for securitised exposures.’;

Added:(16b) in Article 428ag, the following point is added:

Added:‘(i) traditional securitisations that are retained by the originator, and only beyond the minimum requirement for the material net economic interest that applies to the originator of the securitisation, as specified in Article 6 of Regulation (EU) 2017/2402.’;

Added:(16c) the following Article is inserted:

Added:‘Article 494ca

Added:Grandfathering of existing securitisations

Added:Securitisations issued before...[the date of entry into force of this amending Regulation] shall continue to be subject to the rules applicable on...[the day before the date of entry into force of this amending Regulation]. By way of derogation, institutions may choose to apply the new regime from...[the date of entry into force of this amending Regulation] to those existing transactions on an optional and irrevocable basis.’;

Added:(16d) Article 500a is amended as follows:

Added:(a) in paragraph 1, the introductory wording is replaced by the following:

Added:‘By way of derogation from Article 114(2), until 31 December 2026, for exposures to the central governments and central banks of Member States, where those exposures are denominated and funded in the domestic currency of anothera non-euro Member State, except euro, the following apply:’

Added:(b) paragraph 3 is replaced by the following:

Added:‘3 By way of derogation from point (a)(ii) of Article 150(1a), after receiving the prior permission of the competent authorities and subject to the conditions laid down in Article 150, institutions may also apply the Standardised Approach to exposures to central governments and central banks, where those exposures are assigned a 0 % risk weight under paragraph 4 of this Article.’;

Added:(c) the following paragraphs are added:

Added:‘4. By way of derogation from Article 114(2), until 31 December 2034, for exposures to the central governments and central banks of non-euro Member States, where those exposures are denominated and funded in euro, the following apply:

Added:(a) until 31 December 2030, the risk weight applied to the exposure values shall be 0 % of the risk weight assigned to those exposures in accordance with Article 114(2);

Added:(b) in 2031, the risk weight applied to the exposure values shall be 20 % of the risk-weight assigned to those exposures in accordance with Article 114(2);

Added:(c) in 2032, the risk weight applied to the exposure values shall be 40 % of the risk-weight assigned to those exposures in accordance with Article 114(2);

Added:(d) in 2033, the risk weight applied to the exposure values shall be 60 % of the risk-weight assigned to those exposures in accordance with Article 114(2);

Added:(e) in 2034, the risk weight applied to the exposure values shall be 80 % of the risk-weight assigned to those exposures in accordance with Article 114(2).’;

Added:5.By way of derogation from Article 395(1) and Article 493(4), competent authorities may allow institutions to incur exposures referred to in paragraph 4 of this Article, up to the following limits:

Added:(a) 100 % of the institution’s Tier 1 capital until 31 December 2031;

Added:(b) 80 % of the institution’s Tier 1 capital between 1 January and 31 December 2032;

Added:(c) 60 % of the institution’s Tier 1 capital between 1 January and 31 December 2033;

Added:(d) 40 % of the institution’s Tier 1 capital between 1 January and 31 December 2034;

Added:The limits referred to in points (a), (b), (c) and (d) of the first subparagraph of this paragraph shall apply to exposure values after taking into account the effect of the credit risk mitigation in accordance with Articles 399 to 403.’;

Added:(17) Article 506b is deleted;

Added:(18) Article 506d is replaced by the following:

Added:‘Article 506d

Added:Prudential treatment of securitisation and covered bonds

Added:1. By [5 years after the date of entry into force], the Commission, after having consulted 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 and the use of buybacks and dividend payments by credit institutions, 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 well as monitor the effects of the reforms to the covered bond markets.

Added: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.

Added: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.

Added:In addition the Commission should consider, in order to maintain an appropriate balance between the prudential treatment of securitisations and covered bonds, whether it is necessary to adjust the risk weights for covered bonds.

Added:The Commission shall submit that report to the European Parliament and the Council, together with a legislative proposal, where appropriate.

Added:2. 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 and whether it has contributed to additional and more affordable lending by credit institutions to the real economy, such as households and businesses, including SMEs, and include an assessment of the amended prudential framework’s impact on credit institutions’ use of buy-backs and dividend pay-out to investors.

Added:The report shall also include an assessment of potential effects on the convered bonds market.

Added:Amendment to Directive 2009/65/EC

Added:Directive 2009/65/EC is amended as follows:

Added:In Article 56(2), the following subparagraph is added:

Added:‘By way of derogation from the first subparagraph, point (b), a UCITS may acquire no more than 20% of the securities in a securitisation issued in accordance with Regulation (EU) 2017/2402 by a single issuing body.’

Added:This Regulation shall enter into force on the […] day following that of its publication in the Official Journal of the European Union.

Added:This Regulation shall be binding in its entirety and directly applicable in all Member States.

Added:Done at Strasbourg,

Added:For the European Parliament For the Council

Added:The President The President