[ParlTrack]

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 2

(2) To address those problems, provide legal certainty and signal our commitment to our international partners in the G20, it is of utmost importance to implement the outstanding elements of the Basel III reform faithfully. At the same time, the implementation should avoid a significant increase in overall capital requirements for the EU banking system on the whole and take into account specificities of the EU economy. ~~Where possible, adjustments to the international standards should be applied on a transitional basis.~~ The implementation should help avoid competitive disadvantages for EU institutions, in particular in the area of trading activities, where EU institutions directly compete with their international peers. Furthermore, the proposed approach should be coherent with the logic of the Banking Union and avoid further fragmentation of the Single Market for banking. Finally, it should ensure proportionality of the rules and aim at further reducing compliance costs, in particular for smaller institutions, without loosening the prudential standards.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL, Engin EROGLU

Proposal for a regulation
Recital 3

(3) Regulation (EU) No 575/2013 enables institutions to calculate their capital requirements either by using standardised approaches, or by using internal model approaches. Internal model approaches, approved by national competent authorities, allow institutions to estimate most or all the parameters required to calculate capital requirements on their own, whereas standardised approaches require institutions to calculate capital requirements using fixed parameters, which are based on relatively conservative assumptions and laid down in Regulation (EU) No 575/2013. The Basel Committee decided in December 2017 to introduce an aggregate output floor. That decision was based on an analysis carried out in the wake of the financial crisis of 2008-2009, which revealed that internal models tend to underestimate the risks that institutions are exposed to, especially for certain types of exposures and risks, and hence, tend to result in insufficient capital requirements. Compared to capital requirements calculated using the standardised approaches, internal models produce, on average, lower capital requirements for the same exposures.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Olivier CHASTEL

Proposal for a regulation
Recital 5

(5) In order to avoid fragmentation of the internal market for banking, the approach for the output floor should be coherent with the principle of risk aggregation across different entities within the same banking group and the logic of consolidated supervision. At the same time, the output floor should address risks stemming from internal models in both home and host Member States. The output floor should therefore be calculated at the highest level of consolidation in the Union, whereas subsidiaries located in other Member States than the EU parent should calculate, on a sub-consolidated basis, their contribution to the output floor requirement of the entire banking group. That approach should avoid unintended impacts and ensure a fair distribution of the additional capital required by the application of the output floor between group entities in home and host Member States according to their risk profileThe output floor should therefore be calculated at the highest level of consolidation in the Union.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 8

(8) For subordinated debt and equity exposures, a more granular and stringent risk weight treatment is necessary to reflect the higher loss risk of subordinated debt and equity exposures when compared to debt exposures, and to prevent regulatory arbitrage between the banking book and the trading book. Union institutions have long-standing, strategic equity investments in financial and non-financial corporates. ~~As the standard risk weight for equity exposures increases over a 5-year transition period, existing s~~Strategic equity holdings in corporates and insurance undertakings under significant influence of the institution should be ~~grandfathered~~treated under a preferential treatment to avoid disruptive effects and to preserve the role of Union institutions as long-standing, strategic equity investors. Given the prudential safeguards and supervisory oversight to foster financial integration of the financial sector, however, for equity holdings in other institutions within the same group or covered by the same institutional protection scheme, the current regime should be maintained for institutions using the standardised approach, and, as a consequence, in order to ensure a level playing field, should be adequately adapted for banks using the IRB Approach. In addition, to reinforce private and public initiatives to provide long-term equity to EU corporates, be they listed or unlisted, investments should not be considered as speculative where they are made with the firm intention of the institution’s senior management to hold it for three or more years.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 11

(11) Most EU corporates, however, do not seek external credit ratings, in particular due to cost considerations. To avoid disruptive impacts on bank lending to unrated corporates and to provide enough time to establish public or private initiatives aimed at increasing the coverage of external credit ratings, it is necessary to provide for a ~~transitional~~ period for such increase in the coverage. During that ~~transitional~~ period, institutions using IRB approaches should be able to apply a favourable treatment when calculating their output floor for investment grade exposures to unrated corporates, whilst initiatives to foster widespread use of credit ratings should be established. That ~~transitional~~ arrangement should be coupled with a report prepared by the European Banking Authority (‘EBA’). After the ~~transition~~ period, institutions should be able to refer to credit assessments by ECAIs to calculate the capital requirements for most of their corporate exposures. To inform any future initiative on the set-up of public or private rating schemes, the European Supervisory Authorities (ESAs) should be requested to prepare a report on the impediments to the availability of external credit ratings by ECAIs, in particular for corporates, and on possible measures to address those impediments. In the meanwhile, the European Commission stands ready to provide technical support to Member States via its Technical Support Instrument in this area, e.g. to formulate strategies on increasing the rating- penetration of their unlisted corporates or to explore best practices on setting up entities capable of providing ratings or providing related guidance to corporates.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 15

(15) To ensure that the impacts of the output floor on low-risk residential mortgage lending by institutions using IRB approaches are spread over a sufficiently long period and thus avoid disruptions to that type of lending that could be caused by sudden increases in own funds requirements, it is necessary to provide for a specific ~~transitional arrangement. For the duration of the arrangement, w~~arrangement. When calculating the output floor, IRB institutions should be able to apply a lower risk weight to the part of their residential mortgage exposures that is considered secured by residential property under the revised SA-CR. To ensure that the ~~transitional~~ arrangement is available only to low-risk mortgage exposures, appropriate eligibility criteria, based on established concepts used under the SA- CR, should be set. The compliance with those criteria should be verified by competent authorities. Because residential real estate markets may differ from one Member States to another, the decision on whether to activate the ~~transitional~~specific arrangement should be left to individual Member States. The use of the ~~transitional~~specific arrangement should be monitored by EBA.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 27

(27) Specialised lending exposures have risk characteristics that differ from general corporate exposures. It is thus appropriate to ~~provide for a transitional period during which~~adjust the LGD input floor applicable to specialised lending exposures i~~s reduced~~n order to reflect the lower risk of these exposures.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 29

(29) To ensure a consistent approach for all RGLA-PSE exposures, a new RGLA- PSA exposure class should be created, independent from both sovereign and institutions exposure classes~~, and which should all be subject to the input floors provided by the new rules~~.

2022/08/11
Committee: ECON

Billy KELLEHER, Gilles BOYER

Proposal for a regulation
Recital 30 a (new)

(30 a) In the context of removing unwarranted variability in capital requirements, existing discounting rules applied to artificial cash flows should be clarified in order to remove any unintended consequences. It has been shown that the current rules on the treatment of artificial cashflows for exposures that return to non-default status have the effect of inflating credit institutions Loss Given Default (LGD) calculations, and, in turn, Risk Weighted Assets(RWAs), and contributes to the variability in own fund requirements amongst financial institutions. These costs are ultimately reflected in the cost of banking services and borne by the customer thereby impacting the competitiveness of certain EU banks as well as the real economy. Restructuring arrangements are a viable and prudent option for debtors in arrears and should not be inadvertently penalised by the calculation methodology for LGD. Therefore, for the purpose of calculating artificial cashflows for cases which return to non-default status, the total amount to be discounted should only cover the actual period of default up to the time of cure.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 30 a (new)

(30 a) The introduction of the output floor could have a significant impact on own funds requirements for securitisation positions held by institutions using the Securitisation Internal Ratings Based Approach(SEC-IRBA). Although such positions are generally small relative to other exposures, the introduction of the output floor could affect the economic viability of the securitisation operation because of an insufficient prudential benefit of the transfer of risk. This would come at a juncture where the development of the securitisation market is part of the action plan on Capital Markets Union and also where originating banks might need to use securitisation more extensively in order to manage more actively their portfolios if they become bound by the output floor. This impact should therefore be mitigated by providing for a specific arrangement increasing the risk-sensitivity of the standardized approach of the purpose of the calculation of the output floor.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Olivier CHASTEL

Proposal for a regulation
Recital 36

(36) The new standardised approach for operational risk introduced by the BCBS combines an indicator that relies on the size of the business of an institution with an indicator that takes into account the loss history of that institution. The revised Basel standards envisage a number of discretions on how the indicator that takes into account the loss history of an institution may be implemented. Jurisdictions may disregard historical losses for the calculation of operational risk capital for all relevant institutions, or may take historical loss data into account even for institutions below a certain business size. ~~To ensure a level playing field w~~In order to incentivise credith in ~~the Union and to simplify the calculation of operational risk capital, those discretions should be exercised in a harmonised manner for th~~stitutions to maintain a robust operational risk management framework it is appropriate to take min~~imum own funds requirements by disregarding historical operational loss data for all institution~~to account credit institutions' historical losses in the calculation of their operational risk minimum own funds requirements.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Recital 43 a (new)

(43 a) Under the final Basel III reforms, the very short-term nature of SFTs is not well reflected in the Standardised Approach for credit risk, leading to own funds requirements calculated under that approach that could be excessively higher than own funds requirements calculated under the IRB approach and consequently affecting the liquidity of debt and securities markets, including the sovereign debt markets. The standardised approach is therefore adjusted in order to reflect the short-term nature of these exposures and mitigate the impact on the real economy and, in particular, on the financing of sovereigns.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

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

Regulation (EU) No 575/2013
Article 4 – paragraph 1 – point 75e

(75e) ‘exposure secured by residential property’, or ‘exposure secured by a mortgage on residential property’, or ‘exposure secured by residential property collateral’, or ‘exposure secured by residential immovable property’, means an exposure secured by a mortgage on residential property or secured by any other mechanisms other than mortgages but which are economically equivalent to mortgages and recognised as collateral on residential property under the applicable national law setting out the conditions for the establishment of those mechanismsan exposure regarded as such in accordance with Article 108(3);

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

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

Regulation (EU) No 575/2013
Article 4 – pargraph 1 – point 75g

(75g) ‘exposure secured by immovable property’, or ‘exposure secured by a mortgage on immovable property’, or ‘exposure secured by immovable property collateral’ means an exposure secured by a mortgage on residential or commercial immovable property or secured by any other mechanisms other than mortgages but which are economically equivalent to mortgages and recognised as collateral on immovable property under the applicable national law setting out the conditions for the establishment of those mechanisms;an exposure regarded as such in accordance with Article 108(3);

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

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

Regulation (EU) No 575/2013
Article 4 – paragraph 1 – point 152 – point a

(a) an exposure for which, on a regular basis of at least every 12 months, the ~~balance~~amount to be repaid at the next scheduled repayment date is determined as the drawn amount at a predefined reference date or upon contractual repayment modalities, with all scheduled repayment date not later than after 12 months, provided that the ~~balance has~~amount or instalments owed to the bank have been repaid in full at each scheduled repayment date for the previous 12 months;

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 11 a (new)

Regulation (EU) No 575/2013
Article 47c – paragraph 4

(11 a) Article 47c(4) is replaced by the following: 4. By way of derogation from paragraph 3 of this Article, the following factors shall apply to the part of the non-performing exposure guaranteed or ~~insured by an official export credit agency or guaranteed or~~ counter-guaranteed by an eligible protection provider referred to in points (a) to (e) of Article 201(1), unsecured exposures to which would be assigned a risk weight of 0 % under Chapter 2 of Title II of Part Three: (a) 0 for the secured part of the non- performing exposure to be applied during the period between one year and seven years following its classification as non- performing; and (b) 1 for the secured part of the non- performing exposure to be applied as of the first day of the eighth year following its classification as non-performing, unless the guarantee or insurance has been invoked by the institution and the eligible protection provider has assumed and, in line with article 213(1), fulfils all payment obligations of the obligor towards the institution in full and in accordance with the applicable payment schedule, in which case a factor of 0 for the secured part of the non-performing exposure will apply. Non-performing exposures guaranteed or insured by an official export credit agency are excluded from these requirements.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 23 – point a

Regulation (EU) No 575/2013
Article 92 – paragraph 3 – point b

(b) for the purposes set out in points (i) and (ii), the total risk exposure amount shall be calculated in accordance with paragraph 6: (i) institution in a Member State, for the purposes of complying with obligations of this Regulation on its individual basis; (ii) Member State, a parent financial holding company in a Member Statdeleted in case of a stand-alone subsidiary in case orf a parent ~~mixed financial holding company in a Member State, for the purposes of complying with obligations of this Regulation on the basis of its consolidated situation;~~institution in a

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 23 – point a

Regulation (EU) No 575/2013
Article 92 – paragraph 3 – point c

(c) for the purposes of complying with the obligations of this Regulation oin an ~~individual basis,~~ y case other t~~otal risk exposure amount of an institution which is neither a stand-alone institution in the EU nor a stand-alone subsidiary institution in a Member State~~han the cases referred to in point (a) of this paragraph, the total risk exposure amount shall be the un-floored total risk exposure amount calculated in accordance with paragraph 4.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 23 – point b

Regulation (EU) No 575/2013
Article 92 – paragraph 5a (new)

5 a. Exposures to central governments, regional governments, local authorities or public sector entities should be excluded from the calculation of the standardised total risk exposure amount in accordance with paragraph 5 of this Article.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 23 – point b

Regulation (EU) No 575/2013
Article 92 – paragraph 6

6. The total risk exposure amount of an entity ‘i’ for the purposes set out in paragraph 3, point (b), shall be calculated as follows: null where: i = the index that denotes the entity; TREAi = the total risk exposure amount of entity i; U-TREAi = the un-floored total risk exposure amount of entity i calculated in accordance with paragraph 4; DIconso = any positive difference between the total risk exposure amount and the un-floored total risk exposure amount for the consolidated situation of the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company of the group that entity i is part of, calculated as follows: null where: U-TREA = the un-floored total risk exposure amount calculated in accordance with paragraph 4 for that EU parent institution, EU parent financial holding company or EU parent mixed financial holding company on the basis of its consolidated situation; TREA = the total risk exposure amount calculated in accordance with paragraph 3, point (a), for that EU parent institution, EU parent financial holding company or EU parent mixed financial holding company on the basis of its consolidated situation. Contribconsoi = the contribution of entity i, calculated as follows: null where: j = the index that denotes all entities that are part of the same group as entity i for the consolidated situation of the EU parent institution, EU parent financial holding company or EU parent mixed financial holding company; U-TREAj = the un-floored total risk exposure amount calculated by entity j in accordance with paragraph 4 on the basis of its consolidated situation or, in case entity j is a stand-alone subsidiary institution in a Member State, on its individual basis; F-TREAj = the floored total risk exposure amount of entity j calculated on the basis of its consolidated situation as follows: null where: F-TREAj = the floored total risk exposure amount calculated by entity j on the basis of its consolidated situation or, in case entity j is a stand-alone subsidiary institution in a Member State, for its individual basis; S-TREAj = the standardised total risk exposure amount calculated in accordance with paragraph 5 by entity j on the basis of its consolidated situation or, in case entity j is a stand-alone subsidiary institution in a Member State, for its individual basis; x = 72,5 %.deleted

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 32

Regulation (EU) No 575/2013
Article 108 – paragraph 4 – point c

(c) there is no mortgage lien on the residential property when the loan is granted and for the loans granted from 1 January 2024 the borrower is contractually committed not to grant any mortgage lien without the consent of the institution that originally granted the loan;

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 32

Regulation (EU) No 575/2013
Article 108 – paragraph 4 – point e

(e) the guarantor is an institution or a financial sector entity subject to capital requirements ~~at least equivalent~~comparable to those applicable to institutions or insurance undertakings;

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 32

Regulation (EU) No 575/2013
Article 108 – paragraph 4 – point f

(f) the guarantor has established a fully-funded mutual guarantee fund or equivalent protection for insurance undertakings to absorb credit risk losses, the calibration of which is periodically reviewed by its competent authority and is subject to ~~yearly~~periodic stress testing, at least every two years;

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 36 a (new)

Regulation (EU) No 575/2013
Article 115 – paragraph 2 a new

2a . Member States may decide to assign a risk weight of 10% to exposures to regional governments or local authorities that are not referred to in paragraph 2 and 4 and are denominated and funded in the domestic currency of that regional government and local authority.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 36 b (new)

Regulation (EU) No 575/2013
Article 116 – paragraph 4 a new

4a. Member States may decide to assign a risk weight of 10% to exposures to public sector entities of the Member States that are denominated and funded in the domestic currency of that public sector entity, unless the treatments set out in paragraph 4 apply.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 38

Regulation (EU) No 575/2013
Article 120 – paragraph 2 – introductory part

2. Exposures with a~~n origin~~ residual maturity of three months or less for which a credit assessment by a nominated ECAI is available and exposures which arise from the movement of goods across national borders with a~~n origin~~ residual maturity of six months or less and for which a credit assessment by a nominated ECAI is available, shall be assigned a risk weight in accordance with Table 4 which corresponds to the credit assessment of the ECAI in accordance with Article 136.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 41

Regulation (EU) No 575/2013
Article 122a – paragraph 1 – point b

(b) the exposure is ~~not secured by immovable property~~related to the financing of real estate and is within the definitions orf o~~therwise related to the financing of real estate~~ bject finance, project finance or commodities finance exposures laid down in paragraph 3;

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 41

Regulation (EU) 575/2013
Article 122a – paragraph 3 – point c – introductory part

(c) where the purpose of a specialised lending exposure is to finance a project for the development or acquisition of large, complex and expensive installations, including power plants, chemical processing plants, mines, transportation infrastructure, environment, and telecommunications infrastructure, ~~and the income to b~~in which the glender~~ated by the project is the money generated by the contracts for the output of the installation obtained from one or several parties which are no~~ looks primarily to the revenues generated by the project, both as the source of repayment uand~~er management control of the sponsor~~ as security for the loan (‘project finance exposures’), institutions shall apply the following risk weights:

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 41

Regulation (EU) 575/2013
Article 122a – paragraph 3 – point c – point ii – indent 3

— the obligor generates cash flows that are predictable and cover all future loan repayments, including possible repayments with cashflows generated over the remaining asset life;

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 41

Regulation (EU) 575/2013
Article 122a – paragraph 3 – point e – introductory part

(e) for the purposes of point (c), the operational phase shall mean the phase in which the entity that was specifically created to finance the project, or that is economically comparable, meets both of the following conditions:

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 41

Regulation (EU) 575/2013
Article 122a – paragraph 3 – point e – point ii

(ii) the ~~entity has a declining long term debt~~project is in operation.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 47

Regulation (EU) No 575/2013
Article 126a – paragraph 2 – introductory part

2. ADC exposures ~~to residential property~~, however, may be risk weighted at 100 %, provided that, where applicable, the institution applies sound origination and monitoring standards which meet the requirements of Articles 74 and 79 of Directive 2013/36/EU and where at least one of the following conditions is met:

2022/08/11
Committee: ECON

Pascal CANFIN, Gilles BOYER

Proposal for a regulation
Article 1 – paragraph 1 – point 47 a (new)

Regulation (EU) No 575/2013
Article 126b (new)

(47 a) the following article is inserted : Article 126b Fossil fuel sector exposures for corporates 1. The following shall be considered exposures to existing fossil fuel resources: (i)exposures to projects in sectors of the economy which produce, process, store or use fossil fuels as defined in Article 2(62) of Regulation (EU) 2018/1999 of the European Parliament and of the Council (ii)exposures to companies active in fossil fuel sectors, excluding the ones which invest in expansion or exploration and plan to add fossil fuel resources to their production portfolio (iii)exposure to power plants that burn fossil fuels to generate power. Fossil fuel resources and resource fields referred to in this subparagraph must have been explored and known as of 31 December 2021. 2.The following shall be considered exposures to the new fossil fuel resources: (i)exposure to sectors of the economy which produce, process, store or use fossil fuels as defined in Article 2(62)of Regulation (EU) 2018/1999 of the European Parliament and of the Council This includes all projects which have not received a final investment decision (FID)before 31 December 2021 (ii)exposures to companies active in fossil fuel sectors, which invest in expansion and exploration and plan to add fossil fuel resources to their production portfolio (ii)exposure to power plants that burn fossil fuels to generate power; the FID for the exploration or expansion of such fossil fuels must have been on or after 1 January 2022. Exploration or expansion of fossil fuel resources and resource fields referred to in this must have started on or after 1 January 2022. 3. Exposures related to existing fossil fuel resources, as referred to in paragraph 1 of this Article, shall be assigned a risk weight of 150 % 4. Exposures related to new fossil fuel resources, as referred to in paragraph 2 of this Article, shall be assigned a risk weight of 1250 % 5. Corporates publishing a transition plan as defined in article 19a, paragraph 2, point (iii), of Directive 2013/34/EU and as specified in the delegated acts adopted in accordance with Article 29b of Directive 2013/34/EU, shall not be subject to the treatment set out in this Article. For this rule to apply, the transition plan shall be subject to an assurance engagement respecting the dispositions set out in Directive [CSRD]for the assurance of sustainability reporting.

2022/08/11
Committee: ECON

Pascal CANFIN, Gilles BOYER

Proposal for a regulation
Article 1 – paragraph 1 – point 52 a (new)

Regulation (EU) No 575/2013
Article 133a (new)

(52 a) the following article is inserted : Article 133a Fossil fuel sector equity exposures for corporates 1. The following shall be considered companies having activities relating to existing fossil fuel resources: (i)companies in the sectors of the economy which produce, process, store or use fossil fuels as defined in Article 2(62) of Regulation (EU) 2018/1999 of the European Parliament and of the Council (ii)companies active in fossil fuel sectors, excluding the ones which invest in expansion or exploration and plan to add fossil fuel resources to their production portfolio (iii)companies exploiting power plants that burn fossil fuels to generate power. Fossil fuel resources and resource fields referred to in this subparagraph must have been explored and known as of 31 December 2021. 2. The following shall be considered companies having activities relating to new fossil fuel resources: (i) companies in the sectors of the economy which produce, process, store or use fossil fuels as defined in Article 2(62) of Regulation (EU) 2018/1999 of the European Parliament and of the Council This includes all projects which have not received a final investment decision (FID) before 31 December 2021 (i) companies active in fossil fuel sectors, which invest in expansion and exploration and plan to add fossil fuel resources to their production portfolio (iii) companies exploiting power plants that burn fossil fuels to generate power; the FID for the exploration or expansion of such fossil fuels must have been on or after 1 January 2022. Exploration or expansion of fossil fuel resources and resource fields referred to in this must have started on or after 1 January 2022. 3. Equity exposures in companies having activities relating to existing fossil fuel resources, as referred to in paragraph 1 of this Article, shall be assigned a risk weight of 400 % 4. Equity exposures in companies having activities relating to new fossil fuel resources, as referred to in paragraph 2 of this Article, shall be assigned a risk weight of 1250 % 5. Corporates publishing a transition plan as defined in article 19a, paragraph 2, point (iii), of Directive 2013/34/EU and as specified in the delegated acts adopted in accordance with Article 29b of Directive 2013/34/EU, shall not be subject to the treatment set out in this Article. For this rule to apply, the transition plan shall be subject to an assurance engagement respecting the dispositions set out in Directive [CSRD] for the assurance of sustainability reporting.

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 53 – point a a (new)

Reglement (EU) 575/2013
Article 134 – paragraph 7 a new

7a . The risk weights applicable to securities financing transactions exposures shall be capped at 50% and 20% where the exposures residual maturities are respectively one year or less and 3 months or less

2022/08/11
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 64 – point c

Regulation (EU) No 575/2013
Article 151 – paragraph 11

11. Institutions shall apply the requirements laid down for exposures belonging to the exposure class ‘general corporates’ referred to in Article 147(2), point (c)(i) to exposures belonging to the exposure class ‘RGLA-PSE’ referred to in Article 147(2), point (a1). For the purposes of this paragraph, the threshold provided in the definition of large corporate and the provisions applicable to large corporates set out in paragraph 8, first subparagraph, point (c) shall not apply, and the treatment set out in Article 501 shall not apply.deleted

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 64 – point c

Regulation (EU) No 575/2013
Article 151 – paragraph 13 – subparagraph 1

13. EBA shall develop draft regulatory technical standards to specify the treatment applicable to exposures belonging to the exposure class ‘corporates purchased receivables’ referred to in Article 147(2), point (c)(iii) and the exposure class ‘retail purchased receivables’ referred to in Article 147(2), point (d)(iii), for the purposes of calculating risk-weighted exposure amounts for the default risk and for the dilution risk of those exposures, including for the recognition of credit risk mitigation techniques, as well as the treatment applicable to exposures to purchased receivables under the Standardised Approach for Credit Risk.

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 69

Regulation (EU) No 575/2013
Article 157 – paragraph 6 – subparagraph 2

EBA shall submit those draft regulatory technical standards to the Commission by 31 December 20265.

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER

Proposal for a regulation
Article 1 – paragraph 1 – point 74 - point b

Regulation (EU) No 575/2013
Article 161 – paragraph 4 – table 2a

Table 2a LGD input floors (LGDfloor) for exposures belonging to the exposure class ‘exposure to corporates’ exposure without FCP (LGDU-floor) exposure fully secured by FCP (LGDS-floor) financial 0% collateral receivables 10% ~~25%~~ residential or 10% 25% commercial immovable property project finance 10% other physical 15% collateral

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL, Dominique RIQUET

Proposal for a regulation
Article 1 – paragraph 1 – point 75 – point a

1. For exposures for which an institution has not received permission of the competent authority to use own estimates of LGD, the maturity value (‘M’) shall beither be set at 2,5 years, except for exposures arising from securities financing transactions, for which M shall be 0,5 years or, alternatively, calculated in accordance with paragraph 2.

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL, Dominique RIQUET

Proposal for a regulation
Article 1 – paragraph 1 – point 75 – point a

Regulation (EU) No 575/2013
Article 162 – paragraph 1 – subparagraph 2

Alternatively, as part of the permission referred to in Article 143, the competent authorities may decide on whether the institution shall use the maturity value M as set out in paragraph 2 for all those exposures of for a subset of those exposures.;deleted

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL, Dominique RIQUET

Proposal for a regulation
Article 1 – paragraph 1 – point 75 – point c – point ii – indent -1 (new)

- the introductory part is replaced by the following: 'In addition, for qualifying short-term exposures which are not part of the institution's on-going financing of the obligor, M shall be at least one-day. This applies to IRB-Advanced and IRB- Foundation methods. Qualifying short- term exposures shall include the following:'

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL, Dominique RIQUET

Proposal for a regulation
Article 1 – paragraph 1 – point 75 – point c – point ii – indent 1

Regulation (EU) No 575/2013
Article 162 – paragraph 3 – subparagraph 2 –point b

(b) self-liquidating short-term trade finance transactions connected to the exchange of goods or services~~, including corporate purchased receivables, with~~ referred to in Article 4(1), point (80); and corporate purchased receivables, provided that the respective exposures have a residual maturity of up to 1one year ~~as referred to in Article 4(1), point (80);~~;

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL, Engin EROGLU, Dominique RIQUET

Proposal for a regulation
Article 1 – paragraph 1 – point 75 – point c – point ii – indent 2

Regulation (EU) No 575/2013
Article 162 – paragraph 3 – subparagraph 2 – point e

(e) issued as well as confirmed letters of credit that are short term ~~that is with a~~, namely that they have a residual maturity below 1 year, and are self- liquidating.;

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 89 – point b a (new)

Regulation (EU) No 575/2013
Article 178 – paragraph 1 – subparagraph 2

(b a) in paragraph 1, subparagraph 2 is replaced by the following : In the case of retail exposures and purchased receivables, institutions may apply the definition of default laid down in points (a) and (b) of the first subparagraph at the level of an individual credit facility rather than in relation to the total obligations of a borrower.

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 91 – point a – point iii

Regulation (EU) No 575/2013
Article 181 – paragraph 1 – point k

~~(iii) the following point (k) is added: ‘ (k) shall be accounted for in the LGD;; ’~~deleted additional drawings after default

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 91 – point b – point i

Regulation (EU) No 575/2013
Article 181 – paragraph 2 – subparagraph 1 – point b

(i) in the first subparagraph, point (b) is ~~deleted;~~ replaced by the following “(b) reflect future drawings either in their conversion factors or in their LGD estimates;. In case institutions include future additional drawings in their conversion factors, these should betaken into account in the LGD in both numerator and denominator. In case institutions do not include future additional drawings in their conversion factors, these should be taken into account in the LGD numerator only.“

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 92 – point a – point i

Regulation (EU) No 575/2013
Article 182 – paragraph 1 – point c

(c) institutions’ IRB-CCF shall reflect the possibility of additional drawings by the obligor up to and after the time a default event is triggered~~. The IRB-CCF shall incorporate a larger margin of conservatism where a stronger positive correlation can reasonably be expected between the default frequency and the magnitude of conversion factor~~;

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 92 – point a – point ii

Regulation (EU) No 575/2013
Article 182 – paragraph 1 – point g

(g) institutions’ IRB-CCF shall be developed using a 12-month fixed-horizon approach. For that purpose, for each observation in the reference data set, default outcomes shall be linked to relevant obligor and facility characteristics at a ~~fixed~~ reference date ~~defined as~~up to 12 months prior to default day;

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 92 – point b

Regulation (EU) No 575/2013
Article 182 – paragraph 3 – subparagraph 1

~~(b) in paragraph 3, the first subparagraph is~~ deleted;

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Billy KELLEHER, Olivier CHASTEL

Proposal for a regulation
Article 1 – paragraph 1 – point 130 – point -a (new)

Regulation (EU) No 575/2013
Article 274 paragraph 2

(- a) paragraph 2 is replaced by the following: "2. Institutions shall calculate the exposure value of a netting set under the standardised approach for counterparty credit risk as follows: Exposure value = α · (RC + PFE) where: RC = the replacement cost calculated in accordance with Article 275; and PFE = the potential future exposure calculated in accordance with Article 278; α = 1~~,4.~~ for netting sets with non-financial counterparties as defined in point(9) of Article 2 of Regulation (EU) No 648/2012, or with non-financial counterparties established in a third country α = 1.4 for all other nettings sets " Or. en (https://eur-lex.europa.eu/legal-content/en/TXT/?uri=celex:32013R0575)

2022/08/18
Committee: ECON

Gilles BOYER, Stéphanie YON-COURTIN, Olivier CHASTEL, Engin EROGLU