39 Amendments of Jonás FERNÁNDEZ related to 2015/0225(COD)
Amendment 48 #
Proposal for a regulation
Recital 1
Recital 1
(1) Securitisations are an important constituent part of well-functioning financial markets insofar as they contribute to diversifying institutions' funding sources and releasing regulatory capital which can then be reallocated to support further lending, provided that financial stability is guaranteed and that the capital is used to fund the real economy rather than for speculative activity. Furthermore, securitisations provide institutions and other market participants with additional investment opportunities, thus allowing portfolio diversification and facilitating the flow of funding to businesses and individuals both within Member States and on a cross- border basis throughout the Union. These benefits, however, should be weighed against their potential costs and risks. As seen during the first phase of the financial crisis starting in the summer of 2007, unsound practices in securitisation markets rdesulted in significant threats totroyed the integrity of the financial system, namely due to excessive leverage, opaque and complex structures that made pricing problematic, mechanistic reliance on external ratings or misalignment between the interests of investors and originators ("agency risks").
Amendment 55 #
Proposal for a regulation
Recital 3
Recital 3
(3) Consistent with the objectives of Regulation [Securitisation Regulation], the regulatory capital requirements laid down in Regulation (EU) No 575/2013 for institutions originating, sponsoring or investing in securitisations should be amended to reflect adequately the specific features of STS securitisations ,when they also meet additional requirements laid down in the regulation, and address the shortcomings of the framework which became apparent during the financial crisis, namely its mechanistic reliance on external ratings, excessively low risk weights for highly-rated securitisation tranches and, conversely, excessively high risk weights for low-rated tranches, and insufficient risk sensitivity. On 11 December 2014 the Basel Committee for Banking Supervision ("BCBS") published its “Revisions to the securitisation framework” (the “Revised Basel Framework”) setting out various changes to the regulatory capital standards for securitisations to address specifically those shortcomings. The amendments to Regulation (EU) No 575/2013 should take into account the provisions of the Revised Basel Framework.
Amendment 59 #
Proposal for a regulation
Recital 4
Recital 4
(4) Capital requirements for positions in a securitisation under Regulation (EU) No 575/2013 should be subject to the same calculation methods for all institutions. In the first instance and to remove any form of mechanistic reliance on external ratings, an institution should use its own calculation of regulatory capital requirements where the institution has permission to use the Internal Ratings Based approach (the "IRB") in relation to exposures of the same type as those underlying the securitisation and is able to calculate regulatory capital requirements in relation to the underlying exposures as if these had not been securitised ("Kirb"), in each case subject to certain pre-defined inputs (the "SEC-IRBA"). A Securitisation External Ratings-Based Approach ("SEC-ERBA") should then be available to institutions that may not use the SEC- IRBA in relation to their positions in a given securitisation. Under the SEC- ERBA,Institutions that may not use the SEC- IBRA should apply the Securitisation Standardised Approach ("SEC-SA") which should rely on a supervisory- provided formula using as an input the capital requirements shthat would be assigned to securitisation tranches on the basis of their external rating. When the first two approaches are not available orcalculated under the Standardised Approach ("SA") to credit risk in relation to the underlying exposures if these had not been securitised ("Ksa"). When the use of the SEC-ERBSA would result in inon-commensurate regulatory capital requirements relative to the credit risk embedded in the underlying exposures, institutions should be able to applat the request of the competent authority the Securitisation StandardiExternal Ratings-Based Approach (the "SEC-SERBA") which should rely on a supervisory-provided formula using as an input thebe used. Under the SEC-ERBA, capital requirements that wshould be calculated under the Standardised Approach to credit risk (the "SA") in relation to the underlying exposures if these had not been securitised ("Ksa")assigned to securitisation tranches on the basis of their external rating. The SEC-ERBA should not be used for STS securitisations under any circumstance.
Amendment 63 #
Proposal for a regulation
Recital 5
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 15 % risk weight floor for all securitisation positions. Re- securitisations, however, are more complex and more risky and, accordingly, all positions in them should be subject to a more conservative regulatory capital calculation and a minimum 100 % risk weight floor are not allowed.
Amendment 68 #
Proposal for a regulation
Recital 8
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 that also meet additional requirements to minimise risk, in the manner recommended by the EBA in its Report which involves, in particular, a lower risk weight floor of 10 % for senior positions. _________________ 10 See https://www.eba.europa.eu/documents/101 80/950548/EBA+report+on+qualifying+se curitisation.pdf.
Amendment 70 #
Proposal for a regulation
Recital 9
Recital 9
(9) The definition of STS securitisations for regulatory capital purposewith lower capital requirements pursuant to the additional conditions 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 transactnot be regarded as STS or as subject to lower capital requirements. In that regard, the European Commission is 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 rulessked to submit another legislative proposal to define synthetic securitisations that may be STS and may have lower capital requirements. Arbitrage synthetic securitisations may not be regarded as STS or as subject to lower capital requirements under any circumstance.
Amendment 73 #
Proposal for a regulation
Recital 11
Recital 11
Amendment 76 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 242 – paragraph 1 – point 12
Article 242 – paragraph 1 – point 12
(12) 'STS securitisation' means a securi qualifying for differentisation meeting the requirements set out in Chapter 3 of [Securitisation regulation] and the requirements set out in Article 243;ed capital treatments' means a traditional securitisation or an STS ABCP programme qualifying for differentiated capital treatment.
Amendment 77 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 242 – paragraph 1 – point 12 a (new)
Article 242 – paragraph 1 – point 12 a (new)
(12 a) "Traditional STS securitisation qualifying for differentiated capital treatment" means a securitisation meeting the requirements set out in section 1 of Chapter 3 of Regulation (EU) .../... [Securitisation Regulation] and the requirements set out in Article 243(1) of this regulation.
Amendment 78 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 242 – paragraph 1 – point 12 b (new)
Article 242 – paragraph 1 – point 12 b (new)
(12 b) "STS ABCP programme qualifying for differentiated capital treatment" means an ABCP programme meeting the requirements set out in section 2 of Chapter 3 of Regulation (EU) .../... [Securitisation Regulation] and the requirements set out in Article 243(1) of this Regulation.
Amendment 80 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 243 – Title
Article 243 – Title
Article 243 Criteria for STS Ssecuritisations qualifying for differentiated capital treatment
Amendment 83 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 243 – paragraph 1
Article 243 – paragraph 1
(1) PA positions in an STS ABCP programme shall qualify as positions in an STS securifor differentisation for the purposes ofed capital treatment referred to in Articles 260, 262 and 264 where the following requirements are met:
Amendment 94 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 243 – paragraph 2
Article 243 – paragraph 2
(2) Positions in a securitisation other than an ABCP programme shall qualify as positions in an STS securitisation for the purposes oftraditional STS securitisation shall qualify for differentiated capital treatment referred to in Articles 260, 262 and 264 where the following requirements are met:
Amendment 100 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 243 – paragraph 2 a (new)
Article 243 – paragraph 2 a (new)
(2a) Originators, sponsors and SSPE's shall jointly notify ESMA that the STS securitisation meets the requirements of Article 243(1) or 243(2). They shall also inform their competent authority. The originator, sponsor or SSPE shall immediately notify ESMA and their competent authority when an STS securitisation no longer meets the requirements of either Article 243(1) or Article 243(2). ESMA shall publish the STS securitisations qualifying for differentiated capital treatment on its official website pursuant to paragraph 4 of Article 14 of Regulation (EU) .../... [Securitisation Regulation]. ESMA shall update the list where the STS securitisations are no longer qualifying for differentiated capital treatment following a decision of competent authorities or a notification by the originator, sponsor or SSPE.
Amendment 102 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 244 – paragraph 2 – point a
Article 244 – paragraph 2 – point a
(a) the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator institution in the securitisation do not exceed 5049 % of the risk-weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;
Amendment 104 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 244 – paragraph 2 – point b
Article 244 – paragraph 2 – point b
(b) the originator institution does not hold more than 20 % of the exposure value of the first loss tranche in the securitisationsecuritisation positions that would be subject to a 1250 % risk weight, provided that the following conditions are met:
Amendment 105 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 242 – paragraph 2 – point b – subpoint i
Article 242 – paragraph 2 – point b – subpoint i
(i) the originator can demonstrate that the exposure value of the first loss tranchesecuritisation positions that would be subject to a 1250 % risk weight exceeds a reasoned estimate of the expected loss on the underlying exposures by a substantial margin;
Amendment 108 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
(a) it is subject to a risk weight lower than 1,250 % in accordance with this Section or, in the absence of a position with that risk weight, it is more senior than the first loss tranche; andsection,
Amendment 110 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 244 – paragraph 2 – subparagraph 3 – point b
Article 244 – paragraph 2 – subparagraph 3 – point b
(b) it is more senior than the first loss tranche and is subordinated to the senior securitisation position.
Amendment 113 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 244 – paragraph 4 – point f
Article 244 – paragraph 4 – point f
(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)any future transaction, including, without limitation, any amendments to the securitisation documentation and changes to the coupon, yields or other features of the securitisation exposures or positions, entered into by the sponsor or originator with respect to the securitisation shall not be entered into with a view to reducing the potential or actual losses to investors as specified in Article 250;
Amendment 114 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 244 – paragraph 6
Article 244 – paragraph 6
(6) EBA shall monitor the range of supervisory practices in relation to the recognition of significant risk transfer in traditional securitisations in accordance with this Article and report its findings to the Commission by 31 December 2017. The Commission, where appropriate after having taken into account the Report from EBA, may adopt a Delegated Act to specify further. In addition, the EBA shall review the following items: (a) significant credit risk to third parties in accordance with paragraphs 2, 3 and 4whether the conditions for derogation and the additional requirements in paragraph 4 are sufficiently specified; (b) twhe interpretation of "commensurate transfer of credit risk to third parties" for the purposes of the competent authorities' assessment providedther the assessment of credit risk transfer pursuant to paragraph 2 is adequate; (c) the requirements for in the penultimate subparagraph of paragraph 2 and paragraph 3; (c)competent authorities' assessment of securitisation transactions in relation to which the originator seeks recognition of significant credit risk transfer to third parties in accordance with paragraphs 2 or 3. The EBA shall report its findings in relation to such monitoring and review to the Commission by 31 December 2017. The Commission, where appropriate after having taken into account the Report from the EBA, may adopt a Delegated Act to specify further the items listed under points (a) to(c). the conditions for the transfer of the requirements for the competent
Amendment 116 #
(a) the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator institution in the securitisation do not exceed 5049 % of the risk-weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;
Amendment 117 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 245 – paragraph 2 – point b
Article 245 – paragraph 2 – point b
(b) the originator institution does not hold more than 20 % of the exposure value of the first loss tranche in the securitisation,securitisation positions that would be subject to a 1250 % risk weight provided that the following conditions are met: (i) the originator can demonstrate that the exposure value of the securitisation positions that would be subject to a 1250 % risk weight first loss tranche exceeds a reasoned estimate of the expected loss on the underlying exposures by a substantial margin;
Amendment 119 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 245 – paragraph 4 – point e
Article 245 – paragraph 4 – point e
(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 tranany future transaction, including, without limitation, any amendments to the securitisation documentation and any changes to the coupon, yields or other features of the securitisation positions, entered into by the sponsor or originator with respect to the securitisactions 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) will not be entered into with a view to reducing the potential or actual losses to investors as specified in Article 250;
Amendment 120 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
(6) EBA shall monitor the range of supervisory practices in relation to the recognition of significant risk transfer in synthetic securitisations in accordance with this Article and report its findings to the Commission by 31 December 2017. The Commission, where appropriate after having taken into account the Report from EBA, may adopt a Delegated Act to specify further the following items:. In addition, the EBA shall review the following items: (-a) whether the assessment of credit risk transfer pursuant to paragraph 2 is adequate and if any changes are necessary; (a) the conditions for the transfer of significant credit risk to third parties in accordance with paragraphs 2, 3 and 4; (aa) whether the conditions for derogation and the additional requirements in paragraph 4 are sufficiently specified; (b) the interpretation of "commensurate transfer of credit risk to third parties" for the purposes of the competent authorities' assessment provided for in the penultimate last subparagraph of paragraph 2 and paragraph 3; (c) the requirements for the competent authorities' assessment of securitisation transactions in relation to which the originator seeks recognition of significant credit risk transfer to third parties in accordance with paragraphs 2 or 3. The EBA shall report its findings in relation to such monitoring and review to the Commission by 31 December 2017. The Commission, where appropriate after having taken into account the Report from the EBA, may adopt a Delegated Act to specify further the items listed under points (a) to (c).
Amendment 122 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 250 – paragraph 2
Article 250 – paragraph 2
(2) A transaction shall not be considered asto provide support for the purposes of paragraph 1 where the transaction has been duly taken into account in thedoes not invalidate the initial assessment of significant risk transfer and both parties have executed the transaction acting in their own interest as free and independent parties (arm's length). For these purposes, the institution shall undertake a full credit review of the transaction and, at a minimum, take into account all of the following items:
Amendment 123 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 250 – paragraph 4
Article 250 – paragraph 4
(4) EBA shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines on what constitutes "arm's length" for the purposes of this Article and when a transaction is not structured to provide support.
Amendment 130 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 254 – paragraph 2 – point b
Article 254 – paragraph 2 – point b
(b) where the SEC-IRBA may not be used, institutions shallmay use the Securitisation 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 261 and 262;EC-SA in accordance with Articles 263 and 264 and shall promptly notify the competent authority. Institutions should also disclose the capital requirements that would have been estimated under the SEC-ERBA in accordance with Articles 261 and 262. The competent authority may enforce application of the SEC-ERBA on the basis of risk exposure.
Amendment 131 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 254 – paragraph 2 – point c
Article 254 – paragraph 2 – point c
Amendment 135 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 254 – paragraph 3
Article 254 – paragraph 3
Amendment 140 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Amendment 142 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 254 – paragraph 7
Article 254 – paragraph 7
(7) The competent authorities shall inform EBA of any notifications received and decisions made in accordance with paragraph 32(b). EBA shall monitor the range of practices in connection with paragraph 32(b) and issue guidelines in accordance with Article 16 of Regulation (EU) No 1093/2010.
Amendment 146 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 254 a (new)
Article 254 a (new)
Amendment 152 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 258 – paragraph 1 – point a
Article 258 – paragraph 1 – point a
(a) the position is backed by an IRB pool or a mixed pool, provided that, in the latter case, the institution is able to calculate KIRB in accordance with Section 3 on at a minimum of 957% of the underlying risk-weighted exposure amount;.
Amendment 154 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 258 a (new)
Article 258 a (new)
Article 258 a Discretion to preclude the use of the Standardised Approach (SEC-SA) 1. Competent authorities may preclude, on a case-by-case basis, the use of the SEC-SA where securitisations have highly complex or risky features, or the repayment of the relevant securitisation positions are highly dependent on risk drivers not sufficient reflected in KA, such as securitisations that have the features specified in Article 258(2)(a) to (d). 2. In the case of STS securitisations where an ECAI credit assessment is available, if competent authorities assess that the conditions referred to in paragraph 1 also apply, they may impose, on a case-by-case basis, a risk weight equal to 75% of the risk weights in Table 1 or 2, as applicable, or 1,250%. For this purpose, competent authorities may impose the risk weights pursuant to the first sentence for first loss tranches and mezzanine positions as defined in Article 243(2), when the risk weights produced by SEC-SA are at least 25 % lower than the risk weights produced by either Table 1 or Table 2, as applicable. 3. For exposures with short-term credit assessments or where a rating based on a short-term credit assessment may be inferred in accordance with Article 261(7), for the purposes of paragraph 2 the following risk weights shall apply:
Amendment 166 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 262
Article 262
Amendment 182 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 265 – paragraph 2
Article 265 – paragraph 2
(2) The competent authorities may grant institutions permission to use the IAA within a clearly defined scope of application where all of the following conditions are met: (a) all positions inthe institution is authorised to use the IRB approach for at least some of the underlying exposures; (b) the commercial paper issued from the ABCP programme areis rated positions;.
Amendment 184 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 269
Article 269
Amendment 188 #
Proposal for a regulation
Article 1 – paragraph 1 – point 7
Article 1 – paragraph 1 – point 7
Regulation (EU) No 575/2013
Article 270
Article 270