COM(2025) 825 Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions as regards requirements for securitisation exposures

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EUROPEAN COMMISSION

Strasbourg, 17.6.2025

COM(2025) 825 final

2025/0825 (COD)

Proposal for a

REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL

amending Regulation (EU) No 575/2013 on prudential requirements for credit

institutions as regards requirements for securitisation exposures

(Text with EEA relevance)

{SEC(2025) 825 final} - {SWD(2025) 825 final} - {SWD(2025) 826 final}

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EXPLANATORY MEMORANDUM

1. CONTEXT OF THE PROPOSAL

• Reasons for and objectives of the proposal

General introduction

Relaunching the European securitisation market can help increasing the amount of financing

available to the real economy and enhancing risk diversification within the single market.

That is more important than ever in the current economic and geopolitical environment where

the Union faces significant investment needs to remain resilient and competitive. Well-

functioning securitisation markets can contribute to higher economic growth and facilitate

funding of Union strategic objectives, including investments in the green, digital and social

transitio,n by allowing credit institutions (i.e. banks) to transfer risks to those that are best

suited to bear them and thereby free up their capital. Banks are expected to use this capital for

additional lending to households and businesses, including SMEs. By redistributing risk

within the wider financial system, securitisation can also provide capital market investors with

more investment opportunities. The current EU securitisation framework is keeping the EU

economy from reaping all the benefits that securitisation can offer.

The reports from Enrico Letta1 and Mario Draghi2 have recommended securitisation as a

means of strengthening the lending capacity of European Union’s banks for the financing

needs of EU priorities including defence, creating deeper capital markets, building the

Savings and Investments Union and increasing the EU’s competitiveness.

The European Council has asked the European Commission to identify measures to relaunch

the European securitisation market, including “through regulatory and prudential changes,

using available room for manoeuvre”3 and to swiftly propose, in 2025, a revised securitisation

framework4. There is also a call for action by many stakeholders, including issuers, investors

and supervisors, to address the impediments that are hindering the development of the EU

securitisation market5.

The EU securitisation framework was put in place in the aftermath of the 2008 financial crisis

and responded to concerns about risky US securitisations. At the time, strict requirements

were considered necessary to restore the reputation of the securitisation market which had

been suffering from inadequate protections and severe investor distrust. Now that appropriate

safeguards have been firmly embedded in the market’s organisation and securitisation is

gaining back investors’ trust, a better balance between safeguards and growth opportunities -

both for investments and issuance- needs to be found. The experience with the framework

indicates that it is too conservative and limits the potential use of securitisations in the EU.

High operational costs and overly conservative capital requirements keep many issuers and

investors out of the securitisation market.

1 Letta, E. (2024). Much more than a market - Speed, Security, Solidarity. Empowering the Single

Market to deliver a sustainable future and prosperity for all EU Citizens. 2 Draghi, M. (2024). The Future of European Competitiveness—A Competitiveness Strategy for Europe. 3 European Council conclusions of April 2024. 4 European Council conclusions of March 2025. 5 Feedback on call for evidence on review of the Securitisation Framework, 19 February 2025 – 26

March 2025, europa.eu; feedback on 2024 targeted consultation on the functioning of the EU

securitisation framework, 9 October – 4 December 2024, finance.ec.europa.eu.

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The review aims to recognise the risk mitigants implemented in the EU securitisation

regulatory and supervisory frameworks, which have significantly reduced the risks embedded

in securitisation transactions, as well as the good credit performance of EU securitisations.

This proposal contributes to the 2024-2029 Commission’s priority of ‘A new plan for

Europe’s sustainable prosperity and competitiveness’. The proposal is a component of the

Savings and Investments Union6, which is a cornerstone of the 2024-2029 Commission

mandate, and it is the first legislative initiative under the Savings and Investments Union. At

the same time, it is important to recognise that the Securitisation Review is not a ‘silver

bullet’ on its own. The SIU project encompasses a broad range of other and complementary

measures to achieve its goals. Nevertheless, the European Commission expects that the

amendments to the non-prudential and prudential requirements envisaged in this package of

proposals will lead financial institutions to engage in more securitisation activity and,

importantly, to use the resultant capital relief for additional lending.

The proposed review of the EU securitisation framework aims to remove undue issuance and

investment barriers in the EU securitisation market, specifically: (i) to reduce undue

operational costs for issuers and investors, balancing with adequate standards of transparency,

investor protection and supervision; (ii) to adjust the prudential framework for banks and

insurers, to better account for actual risks and remove undue prudential costs when issuing

and investing in securitisations, while at the same time safeguarding financial stability.

The review of the EU securitisation framework aims to remove undue obstacles that hinder

the growth and development of the EU securitisation market, but without introducing risks to

financial stability, market integrity or investor protection. To achieve this, the proposed

reforms are carefully targeted to address specific impediments to issuance and (non-bank)

investment. The review envisages changes to four legal acts:

• a legislative proposal amending the Regulation (EU) 2017/2402 of the European

Parliament and of the Council (the ‘Securitisation Regulation’7), which sets out

product rules and conduct rules for issuers and investors

• a proposal amending Regulation (EU) No 575/2013 of the European Parliament and

of the Council (the ‘Capital Requirements Regulation’ or ‘CRR’8), which sets out the

capital requirements for banks holding and investing into securitisation, as well as

• amendments to two delegated Regulations: the Commission Delegated Regulation

(EU) 2015/61 (the ‘Liquidity Coverage Ratio (LCR) Delegated Act’9), governing the

eligibility criteria for assets to be included in banks’ liquidity buffer, and the

Commission Delegated Regulation (EU) 2015/35 (the ‘Solvency II (SII) Delegated

6 https://finance.ec.europa.eu/document/download/13085856-09c8-4040-918e-

890a1ed7dbf2_en?filename=250319-communication-savings-investmlents-union_en.pdf 7 Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying

down a general framework for securitisation and creating a specific framework for simple, transparent

and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU

and Regulations (EC) No 1060/2009 and (EU) No 648/2012, OJ L 347, 28.12.2017, p. 35,

ELI: http://data.europa.eu/eli/reg/2017/2402/oj). 8 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on

prudential requirements for credit institutions and investment firms and amending Regulation (EU)

No 648/2012, OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj). 9 Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU)

No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement

for Credit Institutions OJ L 11, 17.1.2015, p. 1, ELI: http://data.europa.eu/eli/reg_del/2015/61/oj).))

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Act’10), governing the capital requirements for insurance and reinsurance

undertakings.

The envisaged changes aim to make targeted improvements to the framework, rather than

overhaul it. Those changes should be viewed as a package, as none of the individual

components will achieve the desired outcome on its own. The elements of the package

address both the supply and demand side of the market and reinforce each other to produce

the desired impact. Streamlining reporting requirements and lowering capital requirements

will both lower entry barriers and make it cheaper for banks to originate securitisations.

Simplifying due diligence and amending the capital charges and liquidity treatment will make

it easier and more attractive to invest in securitisation. A larger and more dynamic investor

base will also incentivise more issuance. Relaunching the EU securitisation market is a

complex issue that requires changes to be made in various parts of the framework to foster

supply and demand in the securitisation market.

Regulation alone can only go so far in terms of stimulating this market’s development: market

participants must also step in and do their part, e.g. by embracing standardisation and

industry-wide initiatives towards specific segments – without market participant efforts,

scaling up of the market will not be possible.

Various inputs have informed this review, including the 2020 EBA report on the significant

risk transfer, the 2020 ESRB report on Monitoring systemic risks in the EU securitisation

market, the 2022 Commission Report on the Securitisation Regulation, the 2022 Joint

Committee of the ESAs advice on the prudential framework, the 2024 targeted consultation

on the functioning of the EU securitisation framework, and the 2025 Joint Committee Report

on the implementation and functioning of the securitisation framework. The Commission also

held various bilateral meetings with stakeholders and organised a workshop in July 2024 to

discuss stakeholder views about the EU securitisation framework.

In terms of timing, the amendments to the Securitisation Regulation and the Capital

Requirements Regulation are adopted by the Commission together. On the same date, the

draft amendments to the Liquidity Coverage Ratio Delegated Regulation are published on

Have Your Say for a four-week consultation. The draft amendments to the Solvency II

Delegated Regulation will be included in a broader package of amendments to that Regulation

that is expected to be published for consultation in the second half of July of this year.

Objectives of the proposal amending the Regulation (EU) No 575/2013 (CRR)

The evaluation of the framework, supported by feedback from stakeholders, indicates that (i)

the existing prudential securitisation requirements, as set out in Regulation (EU) No 575/2013

(the Capital Requirements Regulation or CRR), are insufficiently risk sensitive and, that, as a

result of those requirements, (ii) the level of capital requirements that credit institutions need

to comply with for their securitisation exposures are unduly high. Current requirements do not

sufficiently acknowledge the good credit performance of EU securitisation and the risk

mitigants implemented in the securitisation regulatory and supervisory frameworks which

have significantly reduced the agency and model risks embedded in securitisation

transactions11. While the principle of non-neutrality12 of capital requirements – as one of the

10 Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive

2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the

business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17/01/2015, p. 1,

ELI: http://data.europa.eu/eli/reg_del/2015/35/oj) 11 ‘Agency risk’ results from the information asymmetry and potential misalignment of interests between

the originator of and the investor in a securitisation, whereby the investor may have more limited

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main defining elements of the securitisation capital framework for credit institutions - is

justified, the magnitude of the non-neutrality seems no longer justified. In addition, there is an

excessive conservativeness embedded in the securitisation standardised approach (SEC-SA),

both in absolute terms and relative to the internal ratings-based approach (SEC-IRBA). The

lack of risk sensitivity acts as a prudential impediment that disincentivises EU credit

institutions from fully participating in the securitisation market, in particular in their capacity

of securitisation originators, and reduces the potential for the credit institutions to use the

freed up capital to offer more lending to the economy. It reduces the attractiveness of

securitisation as an effective instrument for managing the credit institutions’ capital and

balance sheets and redistributing risks across the wider financial system.

This proposal introduces targeted changes to the current prudential framework for credit

institutions in order to achieve the following objectives: (i) introduce greater risk sensitivity

into the existing framework; (ii) reduce unjustified levels of capital non-neutrality; (iii)

differentiate between originators/sponsors and investors with regard to the prudential

treatment of securitisations; (iv) mitigate undue discrepancies between the standardised

approach (SEC-SA) and internal rating-based approach (SEC-IRBA) for the calculation of

capital requirements for securitisations; and (iv) make the significant risk transfer framework

more robust and predictable.

The proposed amendments to the CRR concern the following two areas: (i) the calibration of

the two key parameters that set the level of non-neutrality, used in regulatory capital

calculations to capture securitisation inherent risks, i.e. the risk weight floor for senior

securitisation positions, and the (p) factor, and (ii) the framework for significant risk transfer.

A number of additional technical amendments are proposed to address certain technical

inconsistencies in the framework, as recommended in the Joint Committee of the European

Supervisory Authorities’ 2022 report, and as proposed by the stakeholders in the Commission

consultation.

• Consistency with existing policy provisions in the policy area

The revisions to the regulatory capital treatment of securitisation in the CRR are part of a

broader legislative package which includes amendments to the Securitisation Regulation, the

Liquidity Coverage Ratio Delegated Act and the Solvency II Delegated Act. The proposed

changes have been drafted to ensure consistency across the various pieces of legislation and

with the same general objective in mind.

• Consistency with other Union policies

The initiative is one piece in a set of measures to foster the Savings and Investments Union

and make it more resilient and integrated. The proposal is also consistent with the Union's

knowledge and understanding of the underlying portfolio than the originator. This misalignment of

interest or information asymmetry can lead to undesirable outcomes. ‘Model risk’ arises when the

financial models used to predict cash flows at portfolio level or the assumptions underpinning the

tranching of the credit risk under these models are wrong or inaccurate. In such a scenario, the

securitised product could turn out riskier than expected. Several regulatory and supervisory measures

have been taken in recent years to address the model risk and/or agency risk of securitisation

transactions, notably the introduction of STS criteria, the Single Supervisory Mechanism’s multi-year

targeted review of internal models, the European Banking Authority’s multi-year ‘IRB Repair’

programme, the introduction of the output floor in the banking package, the risk retention requirement

and the banning of re-securitisations. 12 ‘Non-neutrality’ is one of the principles of the securitisation prudential framework, according to which

the amount of capital required for the securitisation transaction has to be significantly higher than the

capital required for the underlying non-securitised exposures.

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objective of safeguarding financial stability by introducing greater risk-sensitivity into the

framework and by ensuring that securitisation markets operate in a transparent, prudent, and

resilient manner.

2. LEGAL BASIS, SUBSIDIARITY AND PROPORTIONALITY

• Legal basis

The legal basis for this proposal is Article 114(1) of the Treaty on the Functioning of the

European Union (‘TFEU’). This article empowers the European Parliament and the Council to

adopt measures for the approximation of the Member States’ laws, regulations and

administrative actions concerned with the establishment and functioning of the internal

market.

This proposal aims to amend the CRR’s provisions related to the prudential framework for

credit institutions. This proposal aims to enhance the rules that are uniformly and directly

applicable to those institutions, including rules on capital requirements for their securitisation

positions. This harmonisation will ensure a level playing field for EU credit institutions and

will boost confidence in the stability of institutions across the EU, including in respect to their

activity as originators, sponsors or investors in securitisation markets.

• Subsidiarity (for non-exclusive competence)

Only Union law can ensure that the regulatory capital treatment for securitisation is the same

for all credit institutions operating in more than one Member State. Harmonised regulatory

capital requirements ensure a level playing field, reduce regulatory complexity, avoid

unwarranted compliance costs for cross-border activities and promote further integration of

the internal market. Action at an EU level also ensures a high level of financial stability across

the EU. For these reasons, regulatory capital requirements for securitisations are set out in the

CRR and only amendments to that Regulation would achieve the purpose sought by this

proposal. Accordingly, this proposal complies with the principles of subsidiarity and

proportionality set out in Article 5 of the TFEU.

• Proportionality

The proposal makes targeted amendments to the CRR only where such changes are necessary

to address the problems described above and analysed in the impact assessment.

Proportionality has been an integral part of the impact assessment accompanying the proposal.

The proposed amendments in different parts of the legislative package have been individually

assessed against the proportionality objective.

• Choice of the instrument

The current proposal is an amendment to the CRR and is therefore also a Regulation. No

alternative means – legislative or operational – can be used to attain the objectives of this

proposal.

3. RESULTS OF EX-POST EVALUATIONS, STAKEHOLDER

CONSULTATIONS AND IMPACT ASSESSMENTS

• Ex-post evaluations/fitness checks of existing legislation

The Commission has conducted an evaluation of the EU securitisation framework in general,

as part of the impact assessment. The evaluation also specifically covers the securitisation

prudential framework in the CRR (as set out in the Chapter 5 of Title II or Part III of the

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CRR). It covers the period from the entry into application of the amendments introduced as

part of the securitisation framework (1 January 2019) up to the present. In line with the Better

Regulation Toolbox, the evaluation examines whether the objectives of the securitisation

framework were met during that period (effectiveness), whether the objectives are still

appropriate (relevance) and whether, taking account of the costs and benefits, the framework

has been efficient in achieving its objectives (efficiency). The evaluation also considers

whether the securitisation framework, in the form of EU level legislation, has provided ‘EU

added value’ and whether it is consistent with other related pieces of legislation (coherence).

The evaluation concluded that amendments are needed to ensure that securitisation can

meaningfully contribute to improve the financing of the EU economy and further develop the

Savings and Investments Union. The prudential framework for credit institutions is

insufficiently risk sensitive and capital ‘non-neutrality’ is disproportionately high for certain

securitisation positions. Therefore, to address undue prudential impediments, a revision of the

prudential treatment of securitisations for banks is necessary.

• Stakeholder consultations

On 3 July 2024, the Commission hosted a Securitisation Workshop, which invited

representatives from the banking industry/associations, Ministries, European Supervisory

Authorities (ESAs), the Single Supervisory Mechanism of the European Central Bank, the

European Investment Bank, insurers, asset managers, nongovernmental organisations and

pension funds to share their views.

A targeted public consultation on the functioning of the EU securitisation framework was

carried out between 9 October 2024 to 4 December 2024. 133 responses were received from a

variety of stakeholders13. The consultation was split into twelve sections which sought to

gather views from a broad range of stakeholders active in the EU securitisation market on

whether the Securitisation Framework met and continues to meet its objectives in terms of

market safety, operational cost reduction and prudential risk-sensitivity. The consultation was

also used to collect feedback on the operation of the STS standard, the effectiveness of

supervision, and the prospect of a future securitisation platform(s). In addition, the

Commission has carried a series of bilateral meetings with a wide range of stakeholders who

confirmed the feedback already received.

The feedback gathered in that consultation is reflected in the evaluation of the securitisation

framework.

A call for evidence was opened between 19 February 2025 and 26 March 202514 to request

feedback from stakeholders on the review of the Securitisation Framework. Stakeholders were

asked to provide views on the Commission's understanding of the problem and possible

solutions, and provide relevant information. 34 respondents replied to the call for evidence

and presented their views15. Out of those 34 respondents, 2616 had also replied to the 2024

targeted consultation, with their views remaining broadly the same. Points made by first-time

13 Available at https://finance.ec.europa.eu/regulation-and-supervision/consultations-0/targeted-

consultation-functioning-eu-securitisation-framework-2024_en 14 Securities and markets - review of the Securitisation Framework (europa.eu) 15 One respondent made two separate (substantively similar) contributions; another respondent submitted

three separate contributions. Therefore, 37 contributions were received, from 34 individual respondents. 16 The respondents that had already replied to the targeted consultation

represented: 7 companies/businesses, 15 business associations, 2 non-governmental

organisations (NGOs), 2 such respondents identified as ‘other’

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respondents were also consistent with the feedback of the targeted consultation previously

received.

• Collection and use of expertise

The preparation of this proposal has benefited from extensive expert input, including

stakeholder consultations, meetings, and analytical work carried out by the European

Supervisory Authorities. The proposal takes account of the ESAs’ Joint Committee’s advice

on the review of the securitisation prudential framework, which was published in December

2022 in response to the European Commission’s October 2021 call for advice. The Joint

Committee report assessed the performance of the rules on capital requirements (for credit

institutions, insurance and reinsurance undertakings) and liquidity requirements (for credit

institutions) with respect to the framework’s original objective of contributing to the sound

revival of the EU securitisation framework.

The proposal also takes account of the advice in the 2020 European Banking Authority (EBA)

report on significant risk transfer (SRT) in securitisation, which the EBA was mandated to

produce under Articles 244(6) and 245(6) of the CRR. Taking account of the findings of the

EBA discussion paper on SRT published in 2017, and further analysis based on the review of

SRT market practices and the supervisory approaches to SRT assessments, the report included

a set of detailed recommendations to the European Commission on the harmonisation of SRT

assessment practices and processes.

National authorities were consulted in the framework of the Eurogroup Working Group+

(EWG+), the Council Financial Services Committee (FSC), and the Commission Expert

Group on Banking, Payments and Insurance (EGBPI). Several Member States also replied to

the Targeted Consultation through their finance ministries and engaged with the Commission

bilaterally.

• Impact assessment

An impact assessment was carried out for this proposal covering the complete legislative

package i.e. including the amendments to the Securitisation Regulation, the Liquidity

Coverage Ratio (LCR) Delegated Act as well as the Solvency II Delegated Act.

The impact assessment clearly shows the benefits in terms of efficiency and effectiveness of

introducing targeted changes to the risk weight floors, (p) factor and the SRT framework in

the CRR. The proposals are expected to be effective in reducing undue prudential

impediments for credit institutions to engage in securitisation. They are also expected to

increase the economic viability of securitisation as a risk transfer tool. By mitigating some of

the key barriers to entry for new EU credit institutions, the proposals are expected to make

securitisation more accessible to a larger number of credit institutions across the EU. This

should help strengthen the EU banking system’s ability to provide credit to the economy and

to provide funding to new businesses. Overall, as the measures do not propose a fundamental

overhaul of the methods that banks use for the calculation of capital, they rather involve an

adaptation of existing systems and parameters and make the framework more risk sensitive -

the costs are therefore expected to be limited. Some costs are expected for competent

authorities to adapt their methodologies, in particular as a consequence of changes to the SRT

framework. However, overall, the supervisory processes would be simplified. The proposals

have a targeted scope, aim to ensure a positive impact on the EU securitisation market going

forward, and aim to support the international competitiveness of EU credit institutions.

The measures focus on economic incentives through removing undue prudential impediments.

That said, a simpler, more risk-sensitive, and proportionate regulatory framework is expected

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to incentivise credit institutions to issue more securitisation transactions and hence increase

the amount of capital relief, which is expected in turn to give rise to additional lending to EU

businesses and households.

The impact assessment report was submitted to the Regulatory Scrutiny Board and was

examined by the Board on 9 April 2025.

The Board gave a positive opinion with reservations, noting that a limited number of

shortcomings were identified that required to be addressed in the final impact assessment. The

Board called for additional input in some areas, including further details on the content of

changes in the prudential framework and a substantiated comparative analysis of financial

stability risks related to the changes in the prudential framework. These issues have been

addressed and incorporated into the final version which is available on the Commission

website.

• Regulatory fitness and simplification

The proposal puts forward a series of refinements to enhance the proportionality and risk

sensitivity of the existing securitisation prudential framework. Some elements of the proposal

simplify certain burdensome requirements and make the framework more consistent and

predictable. Some other elements, notably those which increase the risk sensitivity, introduce

some additional complexity into the framework. This is however inevitable to maintain the

prudence of the framework and promote financial stability; the introduced risk sensitivity

allows to reduce the capital requirements only for transactions where risks have been reduced.

The additional complexity is, however, limited. Ultimately, taking together all proposed

changes in the context of the overall securitisation framework, the framework is being

simplified and is expected to give rise to greater efficiency within the securitisation market.

• Fundamental rights

The proposal has no consequences for the protection of fundamental rights.

4. BUDGETARY IMPLICATIONS

The proposal has no budgetary implications.

5. OTHER ELEMENTS

• Implementation plans and monitoring, evaluation and reporting arrangements

The impact of the new framework will be closely monitored in cooperation with the EBA and

competent supervisory authorities. Monitoring will be based on the supervisory reporting

arrangements and disclosure requirements by institutions provided for in the CRR, and will

form part of the ongoing supervision and the supervisory assessments of the significant risk

transfer.

The Commission will also evaluate this package of proposed amendments, four years after its

entry into application, and present a report on its main findings to the European Parliament

and the Council. The evaluation will be carried out in accordance with the Commission's

Better Regulation Guidelines. It will be based on a list of specific and measurable indicators

that are relevant to the objective of the reform, as also presented in the impact assessment. To

prepare the evaluation report, the Commission will consult EBA and will also mandate the

European Supervisory Authorities, the European Central Bank/Single Supervisory

Mechanism and the Member States to collect data to calculate the indicators and report on

them to the Commission.

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• Detailed explanation of the specific provisions of the proposal

Interaction and consistency between elements of the package

This proposal for a Regulation is part of a wider securitisation review which encompasses

changes to two Regulations (in addition to the CRR, the Securitisation Regulation) and two

Delegated Acts (the LCR Delegated Act and the Solvency II Delegated Act). The proposed

changes should be viewed as a package of measures that tackle supply and demand issues in

the securitisation market in a comprehensive manner.

Amendments to the risk weight floors for senior positions

Risk weight floors are minimum risk weights that credit institutions issuing and investing in

securitisation must apply to their securitisation exposures, even if the capital requirements

calculations under SEC-SA and SEC-IRBA approaches suggest a lower risk weight. They

ensure a bottom level of capital requirements. The current framework is quite risk-insensitive,

as it only allows for two fixed risk weight floors for senior positions: a 10% risk weight floor

for the exposure to a senior position of simple, transparent and standardised (STS)

transactions, and a 15% risk weight floor for the exposure to a senior position of non-STS

transactions.

The proposal introduces the new concept of a risk-sensitive risk weight floor, where the risk

weight floors for senior securitisation positions are proportionate to the riskiness (i.e. average

risk weights) of the underlying pool of exposures. This significantly increases the risk

sensitiveness of the securitisation capital framework and decreases existing disincentives for

the securitisation of portfolios with low risk weights. To prevent excessively low risk weights

floors and to preserve consistency with international standards, the risk weight floors

calculated under this risk-sensitive formula should be subject to a minimum level.

The calculation of the risk weight floor for senior positions differentiates between STS and

non-STS securitisations by using a different scalar for each, to reflect the inherent better

quality of STS securitisations framed by a set of detailed STS criteria and by a dedicated

supervision. The scalars have been calibrated to achieve moderate to ambitious results in

terms of reduction of the capital requirements, while still keeping prudent results.

Amendments to the (p) factor

The (p) factor is a parameter driving the ‘non-neutrality’ of the securitisation capital

requirements for securitisation exposures held by credit institutions. It is one of the

parameters used in the formulae for calculating securitisation risk weights, and it increases the

amount of capital for securitisation positions, above what would be required for the

underlying exposures if they were not securitised. A (p) factor of 1 should be interpreted as a

100% higher capital requirement or a doubling of the capital requirement for all securitisation

positions, compared to the capital requirement of the underlying non-securitised assets, while

a (p) factor of 0.3 results in a 30% higher capital requirement. The (p) factor only exists in the

formula-based approaches (SEC-IRBA and SEC-SA) and does not exist in the SEC-ERBA

external rating-based approach (where risk weights are specified directly in a table defined in

the CRR, to ‘mirror’ the risk weights computed under the SEC-SA formula).

One of the main takeaways from the evaluation of the current framework and the consultation

with stakeholders is that the levels of the (p) factor are excessively high and lead to

unjustified levels of overcapitalisation for some securitisation transactions. In addition, the

non-neutrality of capital requirements is particularly high under the SEC-SA approach and

causes unjustified differences between the capital requirements calculated under SEC-IRBA

and SEC-SA approaches.

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Targeted amendments should therefore be introduced to the (p) factor under the SEC-IRBA

and SEC-SA approaches, in order to: (i) introduce more risk sensitivity; (ii) address excessive

levels of non-neutrality; (iii) reduce the excessive conservativeness of the SEC-SA approach;

(iv) maintain the principle of the hierarchy of approaches (i.e. that the SEC-IRBA approach at

the top of the hierarchy should, as a principle, lead to lower capital requirements than the

SEC-SA approach in the middle and the SEC-ERBA approach at the bottom of the hierarchy

leading to the most conservative outcomes).

The targeted amendments therefore differentiate between positions in STS and non-STS

securitisations, originators/sponsors and investors positions, and senior and non-senior

positions. Generally, the focus of the reductions of the (p) factor is on senior positions,

originators/sponsors positions and on STS securitisations. Put differently, investor exposures

in non-STS securitisations and in non-senior positions of STS securitisations should not

benefit from a reduced (p) factor, as credit institutions’ investments in non-senior positions of

securitisation are not desirable and should not be supported.

Under SEC-IRBA, where the framework requires the (p) factor to be calculated based on a

specific formula, it is proposed that the (p) factor is subject to a reduced scaling factor, a

reduced floor and subject to a newly introduced cap. These changes are focused on the senior

positions. Apart from the changes explained above (to the cap, the floor and the scaling

factor), the formula for calculating the (p) factor under SEC-IRBA remains unchanged.

Under SEC-SA, where the framework sets out flat levels of the (p) factor, differentiating only

between STS and non-STS securitisations, it is proposed that the (p) factor is reduced for

senior positions.

Under SEC-ERBA, the risk weights in the look-up tables have been recalibrated, to reflect

changes proposed to the risk weight floor and to the (p) factor under SEC-IRBA and SEC-SA

approaches, while at the same time maintaining the hierarchy of approaches (i.e. to maintain

the principle that SEC-ERBA should lead to most conservative outcomes out of the three

approaches). To reflect the introduction of the risk sensitive risk weight floor, the look-up

tables have to incorporate the formula for calculating the risk sensitive risk weight floor, for

the positions with the highest credit quality steps (CQSs) that are likely to touch the lowest

risk weights. Therefore, the risk weight floor formula should override the updated risk

weights in the look-up tables, if it produces higher results. If banks cannot calculate KA 17

(because, for example, they cannot obtain the parameter w for the calculation of KA), they

must use the current risk weights of 10% for STS or 15% for non-STS. This is to avoid the

risk of regulatory arbitrage, where SEC-ERBA would be able to result in lower risk weights

for these highest CQS positions than under the formula-based (SEC-IRBA and SEC-SA)

approaches (where the formula has to be used for the calculation of the risk weight floor).

Overall, the proposed changes aim to maintain prudent results and take into consideration

EBA and supervisory concerns that reducing the (p) factor may lead to the undercapitalisation

of the mezzanine positions and cliff effects (i.e. situation where small changes in the (p) factor

result in large changes in the capital requirements and steep differences between capital

requirements for different positions).

Resilient positions

In addition, building on the proposals in the 2022 Joint Committee advice on the review of the

securitisation prudential framework, the proposal introduces a new concept of resilient

17 KA means a capital charge for the underlying exposures in securitisation, adjusted to reflect adverse

performance, using the Standardised framework.

EN 11 EN

securitisation positions. The resilient securitisation positions are senior positions in

securitisations which satisfy a set of eligibility criteria that ensure low agency and model risk

and a robust loss absorbing capacity for the senior positions. The eligibility criteria build on

the Joint Committee’s recommendations. They are adapted to capture a larger part of the

securitisation market positions, while still ensuring prudent results.

The requirements are the following:

• Reduced agency and model risks. Only securitisation positions which feature reduced

agency and model risks are eligible. This includes (i) positions by originators, both in

STS and non-STS securitisation (as originators have more detailed knowledge of and

control over the underlying exposures and the securitisation origination process than

investors); (ii) positions by sponsors, both in STS and non-STS securitisations (as

sponsors have access to more information than investors and agency risks are smaller

than risks associated with investors’ positions); and (iii) investor positions - in STS

securitisations only (because STS criteria largely mitigate the agency and model

risks). Investor positions in non-STS securitisations are excluded as the agency and

model risks are not reduced.

• Amortisation mechanism. Only sequential amortisation is allowed, or pro-rata

amortisation, provided the transaction includes performance-related triggers

requiring a switch to sequential amortisation. This aims to ensure a conservative

credit enhancement for the senior position over the life of the transaction. These are

existing STS criteria. Therefore, traditional securitisation needs to comply with the

existing STS criterion defined in the Article 21(5) of the Regulation (EU) 2017/2402

and with the additional guidance provided in the EBA Guidelines for non-ABCP

securitisation EBA/GL/2018/09. Synthetic securitisation needs to comply with the

existing STS criterion defined in the Article 26c(5) of the Regulation (EU)

2017/2402, along with the guidance provided in the EBA Guidelines on the STS

criteria for on-balance-sheet securitisation EBA/GL/2024/05, and the requirements of

the Delegated Regulation (EU) 2024/920 on performance related triggers.

• Concentration/granularity. The exposures in the pool must comply with a maximum

concentration limit of 2%, i.e. exposures to a single obligor may not exceed 2% of

the aggregate exposure value. A granular pool facilitates a higher-risk diversification,

generally reduces the probability of correlated defaults and better insulates the senior

position from the risk of losses.

• Counterparty credit risk (only relevant for synthetic transactions). Only credit

protection supported by high quality collateral or in the form of guarantees provided

by sovereigns or supra-nationals is allowed. This reduces the counterparty credit risk

associated with the credit protection to which the originator is exposed, enables the

originator to quickly compensate the losses incurred in SRT structures and

contributes to the effectiveness of the risk transfer. The focus of this requirement is

to protect the originator (and the originator’s exposure to the senior position), since

in synthetic securitisations the senior position is usually retained by the originator.

• Minimum credit enhancement (i.e. maximum thickness) of the senior position. This

requirement aims to ensure sufficiently thick non-senior positions to cushion the

senior position against potential losses. A specific formula is introduced for

calculating the minimum attachment point of the senior position under the SEC-

IRBA approach. This is largely consistent with the Single Supervisory Mechanism’s

expectations in the context of the SRT supervisory assessments. For SEC-SA and

SEC-ERBA approaches, a separate formula is introduced which is easier to

EN 12 EN

implement and which avoids complexities with the application of the formula applied

under the SEC-IRBA approaches (for example, the complexities of the calculation of

the lifetime expected losses under the standardised approach). The formula for

calculating the minimum attachment point under the SEC-IRBA approach uses the

weighted average life (WAL) of the initial reference portfolio, as one of the inputs.

The WAL should be calculated consistently with the guidance provided in the

Guidelines on the STS criteria (EBA/GL/2024/05), which is consistent with the

assumptions of the calculation of WAL under the EBA Guidelines on the

determination of the weighted average maturity of the contractual payments due

under the tranche (EBA/GL/2020/04). Accordingly, the calculation of WAL should

not take into account any prepayments for synthetic securitisations, while for true

sale securitisation the prepayments should be allowed to be taken into account under

specific conditions (as set out in the section 4.3.2 of the respective guidelines).

In practice, for STS securitisations, only two out of five criteria are new, as the criteria on

amortisation mechanism, concentration/granularity and counterparty credit risk are already

existing STS criteria (set out in the Securitisation Regulation) or ‘STS+’ criteria for

preferential capital treatment (set out in Article 243 of the CRR).

Securitisation positions compliant with the above criteria are allowed to benefit from

additional reductions to the risk weight floors and, for certain investor positions, also

reductions in the (p) factor.

These criteria are specified in the Article 243 of the CRR. Article 243 of the CRR now

specifies two sets of criteria for differentiated capital treatment: first, existing criteria for STS

securitisations qualifying for STS capital treatment, and second, new ‘resilience’ criteria for

securitisation positions to qualify for more favourable capital treatment than other (non-

resilient) positions.

The risk of regulatory arbitrage (where the originator credit institution would be incentivised

to structure an unduly thick senior position to benefit from the lower (p) and lower risk

weights) is mitigated as follows: in the case of resilient positions, through a ‘resilience’

requirement on the maximum thickness of the senior position; and for other positions, through

the significant risk transfer framework, where the new principle-based approach test prevents

such arbitrage. Similarly, credit institutions investing in senior positions of STS securitisation

are able to benefit from a lower (p) only if the position is resilient and therefore complies with

the requirement on the thickness of the position.

All the proposed changes to the risk weight floors and to the (p) factor are summarised in the

following three tables.

Table 1: Current framework requirements

STS Non-STS

Originator/

sponsor

Investor Originator/

sponsor

Investor

SEC-IRBA SEC

-SA

SEC-IRBA SEC

-SA

SEC-IRBA SEC-

SA

SEC-IRBA SEC-

SA

Senior

position

Risk

weight

floors

10%

15%

(p)

factor

Formula,

Scaling factor

0.5,

Floor 0.3

0.5 Formula,

Scaling factor

0.5,

Floor 0.3

0.5 Formula,

Scaling factor

1,

Floor 0.3

1 Formula,

Scaling factor

1,

Floor 0.3

1

EN 13 EN

Non-

senior

positions

(p)

factor

Formula,

Scaling factor

0.5,

Floor 0.3

0.5 Formula,

Scaling factor

0.5,

Floor 0.3

0.5 Formula,

Scaling factor

1,

Floor 0.3

1 Formula,

Scaling factor

1,

Floor 0.3

1

Table 2: Proposed requirements for transactions with resilient positions (changes compared

to the current framework are marked in bold, changes compared to the proposed treatment

for other transactions are marked in bold underlined)

STS Non-STS

Originator/

sponsor

Investor Originator/

sponsor

Investor

SEC-IRBA SEC-

SA

SEC-IRBA SEC-

SA

SEC-IRBA SEC-

SA

SEC-IRBA SEC-

SA

Senior

position

Risk

weight

floors

Formula:

10% * KIRB or KA * 12.5

Floor 5%

Formula:

15% * KIRB or KA *

12.5

Floor 10%

Formula:

15% * KIRB or KA *

12.5

Floor 12%

(p)

factor

Formula,

Scaling

factor 0.3,

Floor 0.2,

Cap 0.5

0.3 Formula,

scaling

factor 0.3,

Floor 0.2,

Cap 0.5

0.3 Formula,

Scaling

factor 0.7,

Floor 0.3,

Cap 1

0.6 Formula,

Scaling

factor 1,

Floor 0.3,

Cap 1

1

Non-

senior

positions

(p)

factor

Formula,

Scaling factor

0.5,

Floor 0.2,

Cap 0.5

0.5

Formula,

Scaling

factor 0.5,

Floor 0.3,

Cap 0.5

0.5 Formula,

Scaling

factor 1,

Floor 0.3,

Cap 1

1

Formula,

Scaling

factor 1,

Floor 0.3,

Cap 1

1

Table 3: Proposed requirements for transactions with other than resilient positions (changes

compared to the current framework are marked in bold)

STS Non-STS

Originator/

sponsor

Investor Originator/

sponsor

Investor

SEC-IRBA SEC-

SA

SEC-IRBA SEC-

SA

SEC-IRBA SEC-

SA

SEC-IRBA SEC-

SA

Senior

position

Risk

weight

floors

Formula:

10% * KIRB or KA * 12.5

Floor 7%

Formula:

15% * KIRB or KA * 12.5

Floor 12%

(p)

factor

Formula,

Scaling

factor 0.3,

Floor 0.2,

Cap 0.5

0.3 Formula,

Scaling factor

0.5,

floor 0.3,

Cap 0.5

0.5 Formula,

Scaling

factor 0.7,

Floor 0.3,

Cap 1

0.6 Formula,

Scaling

factor 1,

Floor 0.3,

Cap 1

1

Non-

senior

positions

(p)

factor

Formula,

Scaling factor

0.5,

Floor 0.2,

Cap 0.5

0.5

Formula,

Scaling

factor 0.5,

Floor 0.3,

Cap 0.5

0.5 Formula,

Scaling

factor 1,

Floor 0.3,

Cap 1

1

Formula,

Scaling

factor 1,

Floor 0.3,

Cap 1

1

*KIRB means a capital charge for the underlying exposures in securitisation using the IRB (Internal Ratings Based) framework. KA means a

capital charge for the underlying exposures in securitisation, adjusted to reflect adverse performance, using the Standardised framework.

Significant risk transfer (SRT)

The EBA report on the significant risk transfer18 published in 2020 documented that the

existing SRT regulatory framework in the CRR had a number of limitations, in particular in

three areas: a) the SRT tests, with limitations relating to the interpretation of the quantitative

thresholds and measures used by the CRR mechanical tests and to the qualitative

‘commensurateness‘ test in general, for which the CRR provides only high‐level criteria; b)

18 The EBA calls on the European Commission to harmonise the significant risk transfer assessment in securitisation |

European Banking Authority (europa.eu)

EN 14 EN

the process applied by competent authorities to assess SRT, and c) specific structural features

of securitisation transactions, which may be detrimental to complying with SRT requirements

on a continuous basis and, thus, affect the effectiveness of the risk transfer. These framework

limitations have contributed to market uncertainty and delays for competent authorities in

assessing some securitisation transactions. In some cases, they have also led to unjustified

inconsistencies in SRT outcomes and capital calculations in the SRT treatment of

securitisations with comparable characteristics across Member States.

The amendments to the SRT framework aim to address the limitations to the SRT framework

identified above (i.e. limitations relating to the current SRT tests, structural features of

securitisations and supervisory processes) and to make the SRT framework more consistent

and predictable. SRT predictability is enhanced by laying down the main elements of the SRT

assessment, including the broad design of the new SRT test, in the CRR. The

operationalisation of the technical details of the test, requirements as regards the structural

features and the principles of the supervisory assessment process are left to EBA regulatory

technical standards.

Replacement of the current mechanical tests by the new principle-based approach test

In line with the EBA recommendations, and with the aim of addressing the limitations

identified with respect to the existing mechanical tests, a new principle-based approach test

(PBA test) is introduced that replaces the existing two mechanical tests. This PBA test

requires the originator to transfer at least 50% of unexpected losses of the exposures of the

underlying portfolio of the securitisation transaction to third parties.

In addition, a new requirement is introduced for the originator to submit a self-assessment to

the competent authority. The self-assessment should demonstrate that significant risk transfer

is met, including in stress conditions. As part of this self-assessment, the originator should

provide a cash-flow model analysis which provides evidence of the SRT’s sustainability over

the life of the transaction and demonstrates how lifetime expected losses and unexpected

losses of the securitised exposures are allocated to the positions of the transaction. The cash-

flow analysis should cover both baseline as well as stress conditions and should be produced

at origination for the whole life of the transaction. Finally, the self-assessment should also

include information on the capital relief achieved by the securitisation. This should allow the

supervisor to assess whether a securitisation with complex or innovative features leads to a

disproportionate amount of capital relief compared to the risk transferred. The self-assessment

would in general make it easier for the competent authorities to identify those features of

securitisation transactions requiring greater supervisory attention. This would enable them to

provide originators with greater transparency and predictability for originators and to

streamline the SRT assessment.

Given the deletion of the mechanical tests, it is proposed to also delete the definition of the

mezzanine securitisation position. The definition is now redundant, given that the only

reference to the mezzanine position was made in the context of the mechanical tests.

Moreover, an amendment should also be introduced in the definition of the senior position,

where an additional condition/clarification should be introduced that the senior tranche needs

to attach above KIRB/KA.

In due course, the EBA will issue a regulatory technical standard (RTS) containing: (i) further

details on the conditions for the competent authorities to apply the PBA test, and (ii) technical

specificities of the self-assessment and cash-flow modelling (including standards for the

allocation of the lifetime expected losses and the unexpected losses to the positions). This

should ensure a homogeneous implementation of the PBA test and address the main concerns

raised by stakeholders on these matters. Additionally, the RTS will deal with structural

EN 15 EN

features that may hinder the significant transfer of risk, along the lines of the

recommendations made in the EBA report on SRT.

Under the proposal, the current permission-based approach – rarely used – will be removed

from the CRR (i.e. achievement of SRT through permission granted by the competent

authority is no longer allowed).

Preserving supervisory flexibility

It is crucial to preserve flexibility for competent authorities in their SRT assessments, and the

competence to carry out a comprehensive review of SRT transactions if there are complex and

innovative transactions. Further details on the conditions for the competent authorities to

apply the comprehensive review of SRT will be set out in the RTS developed by the EBA.

Process of the supervisory SRT assessment

The process of the supervisory SRT assessment is currently not covered in the CRR. High-

level principles governing SRT supervisory assessments should be harmonised at EU level

with the aim of making them more efficient. The EBA should formulate such high-level

principles in the RTS. This should also include high-level principles for a fast-track process

for qualifying securitisations, building on EBA recommendations and drawing on experience

with the fast-track process currently being developed by the Single Supervisory Mechanism in

cooperation with the European Banking Federation.

Transitional measure related to the output floor in Art. 465(13)

The changes to the (p) factor and the risk weight floors for senior positions have been

calibrated in such a way as to mitigate any excessive results for the output floor measure,

stemming from the conservative treatment under the SEC-SA approach and disproportionate

differences between the SEC-IRBA and SEC-SA approaches. The demands that have led to

the introduction of the transitional measure in Article 465(13) have therefore been largely

addressed, which also suggests that the transitional measure, which is in any case set to expire

after 31 December 2032, is not necessary to the same extent.

Other technical fixes and clarifications

A number of technical amendments and fixes, proposed by EBA and by stakeholders in the

Commission consultation, should be introduced as part of the review.

These include the following:

– Time calls in synthetic securitisations and positive incentive in the context of Article

238. A clarification is included in Article 238 that a positive incentive, as referred to

in Article 238, for the purpose of determining a maturity mismatch, is present in time

calls only when at origination the contract includes terms apparently intended to

increase the advantageousness of exercising the time call option (such as step-up

coupon, the possibility to exercise a time call option less frequently than on an

annual basis after the first eligible time call date, or the release of collateral securing

the claims of the protection buyer at or after the first eligible time call date).

– Criteria for STS securitisations qualifying for differentiated (STS) capital treatment

in Article 243. Some adjustments are necessary to make the securitisation framework

consistent with changes to risk weights applied to some types of exposures under the

credit risk framework, as introduced by the Capital Requirements Regulation III.

• First, the requirement for a 75% risk weight limit for retail exposures on an

individual basis is deleted and merged with the requirement for a maximum

100% risk weight for any other exposures on an individual basis. This would

EN 16 EN

make retail exposures to individuals above EUR 1 million eligible, for

example.

• Second, the risk weight limit of 50% for commercial mortgages is increased to

60%. This would maintain the approach applied under the previous CRR

regime, where a 50% loan-to-value (LTV) limit has been applied to exposures

to commercial non-income-producing real estate (commercial non-IPRE). This

also means that exposures to commercial IPRE, which are not desirable for the

STS label, would not be eligible.

• Third, no change is introduced to the risk weight limit applied to residential

mortgages. In fact, the 40% limit makes it possible to maintain an 80% LTV

limit for the majority of exposures and at the same time a higher share of

residential non-IPRE exposures with a 100% LTV limit than the previous CRR

regime. This enables income producing residential real estate exposures to be

included.

– Clarifications with respect to the Article 248(1). The mandate, given to EBA in

Article 248(1) to draft RTS specifying what constitutes an appropriately conservative

method for calculating the nominal amount for the undrawn part of a liquidity

facility, is deleted, as no further clarification is considered necessary on the

calculation of the nominal amount of the drawn portion, beyond what is already set

out in the relevant Article. Also, as the calculation of the nominal amount of the

undrawn portion (the off-balance sheet item) is straight forward, because it can be

determined as the difference between the total nominal amount of the liquidity

facility and the nominal amount of the drawn portion (an on-balance sheet item), the

requirement for the institution to demonstrate application of an appropriately

conservative method for measuring the amount of the undrawn portion, is deleted.

– Treatment of specific credit risk adjustments (SCRAs) for calculating capital

requirements post securitisation, under Article 248(1)(d). Article 248(1)(d) is

amended to extend the possibility to deduct SCRAs also to tranches that have been

assigned a risk weight lower than 1250%, provided they have an attachment point A

that is smaller than KIRB or KA. If this condition is satisfied, the securitisation

position may be treated as two securitisation positions: the more senior position with

A equal to KIRB or KA and the junior position with A below KIRB or KA and

detachment point D equal to KIRB or KA. In this case SCRAs will be deductible only

from the exposure value of this more junior position, which would be assigned a risk

weight of 1250%.

– Clarification on the exposure value of synthetic excess spread under Article 248(1),

point (e). some minor technical clarifications are included in the provision on the

calculation of the exposure value of the synthetic excess spread, such as moving the

reference to the contractually designated SES to the introductory sentence and its

deletion from the points (i) to (iv), to avoid unnecessary repetitions.

– Conditions in Article 254(1)(c) under which SEC-SA may not be used. Article

254(1) defines the hierarchy of approaches. However, the conditions under which

SEC-SA may not be used are not well specified. Article 254(1)(c) is therefore

amended to clarify that the only cases where the SEC-SA may not be used are

specified in paragraphs 2 and 4 of the same article. These paragraphs specify

respectively the conditions for a mandatory switch to SEC-ERBA and the cases in

which the use of the SEC-SA is prohibited by the relevant competent authority.

EN 17 EN

– Scope of application of the internal assessment approach (IAA) under Article 254(4).

Article 254(5) of the CRR is amended to clarify that the IAA cannot replace the

mandatory application of SEC-IRBA, but rather may only be used as an alternative

to the application of other approaches, i.e. the SEC-SA, the SEC-ERBA or the

application of a 1250% risk weight.

– Calculation of KA in Article 256(1) within the application of the SEC-SA. Article

255(6) is amended to clarify that KSA should be calculated on the basis of the capital

requirements of the non-defaulted exposures in the pool of underlying exposures

only, to avoid double-counting those exposures in the calculation of KA in

accordance with Article 261(2) of the CRR. Article 261(2) gives a definition of

‘exposure in default’ for the purpose of calculating W; this definition should also be

used for the purpose of calculating KSA, to ensure consistency between the formula

for KA and the calculation of KSA. In addition, the second subparagraph of Article

255(6) is amended to improve clarity on the fact that that KSA should be calculated

on the basis of the exposure value of the underlying exposures gross of any SCRAs

and additional value adjustments on such underlying exposures (and not net of

these).

– Treatment of defaulted exposures in calculation of attachment and detachment points

in Article 256. It is clarified that the outstanding balance of the pool of securitised

exposures should, for the purpose of calculating the attachment and detachment

points of the tranches, be reduced by the amount of losses already allocated to the

tranches in respect of the defaulted exposures that are still included in the

securitisation portfolio. This is to ensure that the calculation of the attachment and

detachment points of a tranche adequately reflects the balance of the securitised

exposures. This is relevant in case of a tranche which has been written down to

reflect losses on the securitised exposures that remain in the securitised portfolio.

Consistently with the clarification provided in the Article 256, Article 261(2) is

amended to clarify that, for the purpose of the formula for the W parameter, the

nominal amount of defaulted exposures is the accounting value of the defaulted

exposures minus any amounts by which the tranches have already been written down

to absorb losses on those defaulted exposures, or which have been absorbed by the

excess spread.

– Calculation of K for mixed pools under Article 259(7). KSA 19 is replaced with KA in

the formula which specifies the calculation of KIRB for mixed pools. KA is better

suited in the formula than KSA, as KA reflects the capital requirements to be used in

the formula for exposures in a mixed pool which are treated under the SEC-SA.

– Clarifications with respect to the calculation of the overall cap on capital

requirements for a securitisation position, under Article 268(1). Article 268(1) is

amended to align the calculation of the overall cap on capital requirements for a

securitisation position under Article 268 with the amendment made for NPE

securitisations in Article 269a(5) of the CRR. Consequently, originators using the

SEC-IRBA in case of non-NPE securitisations should deduct SCRAs from the

expected loss component of KIRB (capital requirements for the underlying exposures)

for the purposes of calculation of the overall cap in accordance with Article 268,

similarly as it allowed in the case of NPE securitisations. This is to ensure

19 KsA means a capital charge for the underlying exposures in securitisation, using the Standardised framework. In

contrast to KA, it is not adjusted to reflect adverse performance.

EN 18 EN

consistency with the IRB Approach when calculating the capital requirements pre-

securitisation and, therefore, the cap in accordance with Article 268. In addition, the

Article 268(1) should be amended to remove the existing restriction, according to

which the cap on the capital requirements cannot be applied by the SEC-SA and

SEC-ERBA investors, as the restriction is not justified.

– Carving out fully capitalised tranches from the calculation of V (i.e. the largest

proportion of interest that the institution holds in the relevant tranches) in Article

268(3) of the CRR: An option is included to carve out from the calculation of V (i.e.

the largest proportion of interest that the institution holds in the relevant tranches)

under Article 268(3) of the CRR any tranche in full to which the originator applies a

1250% risk weight or which is deducted from Common Equity Tier 1 (CET1) items

in accordance with point (k) of Article 36(1). The maximum capital requirement

should be the sum of the capital requirements calculated under Chapter 2 or 3 on the

‘net underlying exposures’, i.e. total underlying exposure net of the exposure value

relative to the carved-out tranche, multiplied by the revised V and the sum of the

exposure values (which equal the capital requirements after securitisation) of the

securitisation positions which are carved out from the calculation of V. The scope of

this option should be as broad as the proposed amended scope of the Article 268(1).

– Recital 11 is added to clarify the underlying rationale of paragraph 2 of Article 254

on the quantitative rules to switch to SEC-ERBA, and the intended scope of

application of this requirement. The aim here is to ensure a consistent interpretation

and application of the requirement by the competent authorities and institutions

across the Union. The recital clarifies that the article is aimed at avoiding the

mandatory use of SEC-ERBA in relation to transactions for which the sovereign

ceiling – and not the risk profile of the transactions – is the prevalent driver in

determining the risk weights under this approach.

– Reports on STS on-balance sheet securitisations under Article 270(2) and (3).

Mandate for reports by the Commission and the EBA in relation to the STS on-

balance sheet securitisations are replaced by a mandate for a more general

monitoring report by EBA, under Article 506d(2), and a more general report by the

Commission, under Article 506d(1).

Review

It is also proposed that the framework, along with the targeted amendments introduced by this

current review, is to be reviewed 4 years after its entry into force. The review would be an

opportunity to assess the appropriateness of the amended Union prudential securitisation

framework. In particular, it would be an opportunity to consider whether a more fundamental

change to the risk-weight formulae and functions would lead to greater risk sensitivity and

more proportionate levels of capital non-neutrality, mitigate cliff effects and address the

structural limitations of the current framework. It is also proposed that the EBA submits a

monitoring report 2 years after its entry into force, monitoring the developments and

dynamics of the EU securitisation market resulting from the amended prudential framework.

EN 19 EN

2025/0825 (COD)

Proposal for a

REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL

amending Regulation (EU) No 575/2013 on prudential requirements for credit

institutions as regards requirements for securitisation exposures

(Text with EEA relevance)

THE EUROPEAN PARLIAMENT AND THE COUNCIL OF THE EUROPEAN UNION,

Having regard to the Treaty on the Functioning of the European Union, and in particular

Article 114 thereof,

Having regard to the proposal from the European Commission,

After transmission of the draft legislative act to the national parliaments,

Having regard to the opinion of the European Economic and Social Committee20,

Having regard to the opinion of the European Central Bank21,

Having regard to the opinion of the Committee of the Regions22,

Acting in accordance with the ordinary legislative procedure,

Whereas:

(1) Securitisation transactions are an important part of well-functioning financial markets

as they help to diversify credit institutions' funding sources and enable the release of

regulatory capital which can then be reallocated to support additional lending.

Furthermore, securitisations provide credit institutions and other market participants

with additional investment opportunities with specific risk-return trade-offs. This

makes possible both greater portfolio diversification and the redistribution of risk in

the wider financial system. It also facilitates the flow of funding to businesses and

individuals both within Member States and on a cross-border basis throughout the

Union.

(2) The Union needs significant investment to remain resilient and competitive. The

securitisation framework can contribute to a more diversified financial system and

greater risk-sharing. However, there are material impediments to the issuance of and

investment in securitisations. These impediments weigh on the development of the

securitisation market. The regulatory capital requirements laid down in Regulation

(EU) No 575/2013 of the European Parliament and of the Council23 for institutions

originating, sponsoring or investing in securitisations are not sufficiently risk sensitive,

20 OJ C , , p. . 21 OJ C …. 22 OJ C , , p. . 23 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on

prudential requirements for credit institutions and investment firms and amending Regulation (EU) No

648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).

EN 20 EN

and they also incorporate an unjustified level of conservatism. The current

requirements fail to accurately recognise the good credit performance of Union

securitisations and the risk mitigants that have been implemented in the Union’s

regulatory and supervisory frameworks for securitisation. These frameworks have

significantly reduced the agency and model risks embedded in securitisation

transactions.

(3) Capital requirements for securitisations under Regulation (EU) No 575/2013 should be

amended to increase the risk sensitivity and reduce excessive capitalisation by better

aligning the capital treatment with the underlying risks. In addition, targeted

amendments should be introduced to mitigate undue discrepancies between the capital

requirements under two different approaches: the securitisation internal ratings-based

approach (SEC-IRBA) and the securitisation standardised approach (SEC-SA). Such

mitigation should increase the participation of smaller and medium-sized credit

institutions that make use of the standardised approach.

(4) Risk weight floors are minimum risk weights that credit institutions must apply to

their senior securitisation exposures, even where the capital calculations suggest a

lower risk weight could be applied. Risk weight floors for senior positions of

securitisations should be made more risk sensitive, making it possible to reflect the

riskiness of the underlying pool of exposures of each specific securitisation. Senior

securitisation positions of securitisation of low-risk portfolios should be allowed to

benefit from lower risk weight floors than senior securitisation positions in

securitisations of higher-risk portfolios. This new approach, which would mean that

risk weight floors are calculated based on a specific formula, should replace the

existing approach where risk weight floors are set at flat levels, irrespective of the

credit quality of the underlying pool of exposures. The new formula should make it

possible to reflect the simple, transparent and standardised (STS) or non-STS status of

a securitisation. To avoid excessive reductions of the capital requirements, a minimum

threshold to the risk weight floors should be introduced.

(5) To provide for more risk sensitivity in the securitisation framework, while maintaining

a prudent regulatory treatment, it is necessary to adjust, under the SEC-IRBA

approach, the formula for the (p) factor to reduce the floor and to reduce the scaling

factor, and to introduce a cap to the (p) factor, mainly for the senior securitisation

positions of originator/sponsor credit institutions. For the same reason, under the SEC-

SA approach, it is necessary to reduce the (p) factor, for senior securitisation positions.

Changes to the (p) factor for non-senior securitisation positions should be minimal, to

prevent undercapitalisation of these positions. Changes to the (p) factor for positions

of investors in non-STS securitisations and in non-senior securitisation positions of

STS securitisations should be minimal, as those positions do not feature reduced

agency and model risks.

(6) Senior securitisation positions are resilient if the securitisation satisfies a set of

eligibility criteria at the origination date and on an ongoing basis thereafter. This set of

eligibility criteria ensures the protection of the senior securitisation position and

mitigates agency and model risks. Such resilient securitisation positions should benefit

from additional reductions to the risk weight floors and to the (p) factor, compared

with positions that do not satisfy the eligibility criteria. Positions of credit institution

investors in senior securitisation positions of non-STS securitisations should not be

allowed to benefit from those further reductions, as they are not characterised by

reduced agency and model risk.

EN 21 EN

(7) Because of the changes to the risk weight floor for senior securitisation positions and

to the (p) factor under the SEC-IRBA and SEC-SA approaches, the risk weights in the

look-up tables under SEC-ERBA should be recalibrated accordingly.

(8) Changes to the framework for significant risk transfer (SRT) should be introduced to

address limitations identified in that framework in relation to the current mechanical

tests measuring the significance of the risk transferred through securitisation, specific

structural features of securitisation transactions that may be detrimental to complying

with the SRT requirements, and processes applied by competent authorities to assess

SRT, and to make that framework more consistent and predictable. The predictability

of the SRT supervisory assessments should be increased by laying down the main

elements of the SRT assessment in Regulation (EU) No 575/2013, including the broad

design of the new SRT test. The way in which the technical details of the test should

be implemented, the requirements for the structural features of the transactions, and

the principles of the assessment process should all be specified in regulatory technical

standards developed by the European Banking Authority (EBA).

(9) A new principle-based approach test should be introduced to replace the existing

mechanical tests, to measure the significance of the risk transferred through

securitisation. Given its very limited use, the current permission-based approach,

where the SRT is achieved through a permission granted by the competent authority,

should be removed and should no longer be allowed. To further streamline the SRT

assessment, and to increase transparency and predictability for originators, a new

requirement should be introduced for originators to submit a self-assessment to

demonstrate that the requirements related to the SRT are met, including in stress

conditions. As part of the self-assessment, originators should develop a cash-flow

model analysis to provide evidence on the resilience of the SRT.

(10) To increase the efficiency of the SRT supervisory assessments, the principles of SRT

supervisory assessments should be harmonised at Union level. The EBA should

specify such principles in the regulatory technical standards, which should also include

high-level principles for a fast-track process for qualifying securitisations.

(11) Targeted amendments should be introduced in specific provisions of Regulation (EU)

No 575/2013 to improve technical consistency and provide further clarifications on the

rationale underlying certain provisions of the current framework. To ensure the

consistent interpretation of Article 254(2) by the competent authorities and credit

institutions across the Union, it should also be specified that that Article is aimed at

avoiding the mandatory use of SEC-ERBA in relation to transactions for which the

rating is capped due to the sovereign ceiling – and not the risk profile of the

transactions – is the prevalent driver in determining the risk weights under that

approach.

(12) Regulation (EU) No 575/2013 should therefore be amended accordingly.

(13) Since the objective of this Regulation cannot be sufficiently achieved by the

Member States and, by reason of its scale and effects, can be better achieved at Union

level, the Union may adopt measures, in accordance with the principle of subsidiarity

as set out in Article 5 of the Treaty on European Union. In accordance with the

principle of proportionality, as set out in that Article, this Regulation does not go

beyond what is necessary in order to achieve that objective.

(14) By 4 years after the entry into force, the Commission, after consulting the EBA,

should consider whether a more fundamental change to the risk weight formulae and

EN 22 EN

functions should be introduced in the medium/long-term to make it possible, in a

comprehensive manner, to allow for more risk sensitivity, to achieve more

proportionate levels of capital non-neutrality, to mitigate cliff effects, and to address

the structural limitations of the current framework,

HAVE ADOPTED THIS REGULATION:

Article 1

Amendments to Regulation (EU) No 575/2013

Regulation (EU) No 575/2013 is amended as follows:

(1) in Article 238(2), the following subparagraph is added:

‘A positive incentive shall be considered to be present in time call options only when

contractual clauses at origination include terms in respect of which it can be expected

that such terms have been included in the transaction documentation to increase the

advantageousness of exercising the time call option.’;

(2) Article 242 is amended as follows:

(a) point (6) is replaced by the following:

‘(6) ‘senior securitisation position’ means a position with the attachment point above

KIRB or KA and backed or secured by a first claim on the whole of the

underlying exposures, disregarding for these purposes amounts due under

interest rate or currency derivative contracts, fees or other similar payments,

and irrespective of any difference in maturity with one or more other senior

tranches with which that position shares losses on a pro-rata basis;’

(b) point (18) is deleted;

(3) Article 243 is amended as follows:

(a) the title of the Article is replaced by the following:

‘Article 243

Criteria for differentiated capital treatment’

(b) in paragraph 2, point (b) is amended as follows:

(1) point (ii) is replaced by the following:

‘(ii) 60 % on an individual exposure basis where the exposure is a loan

secured by a commercial mortgage;’;

(2) point (iii) is deleted;

(c) the following paragraphs 3, 4 and 5 are added:

‘3. Senior position in a STS securitisation shall be eligible for the treatment set out in

Article 260(2), Article 262(2), Article 264(2a) and Article 264(3a) where the

following requirements are met:

(a) for a position in an ABCP programme or ABCP transaction:

(b) the requirements of the Article 243(1)

(c) at the origination date and on an ongoing basis thereafter, the attachment

point of the senior securitisation position is determined as follows:

A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or

EN 23 EN

A >= 1.1 * (EL * WAL of the initial reference securitised portfolio +

UL), when using SEC-IRBA.

(d) for a position a securitisation other than ABCP programme or ABCP

transaction:

(e) the requirements of the Article 243(2)

(f) at the origination date and on an ongoing basis thereafter, the attachment

point of the senior securitisation position is determined as follows:

A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or

A >= 1.1 * (EL * WAL of the initial reference securitised portfolio +

UL), when using SEC-IRBA.

4. A senior securitisation position in a non-STS securitisation shall be eligible for the

treatment set out in Article 259(1b), Article 261(1b), Article 263(2a) and

Article 263(3a) where the following requirements are met, at the origination

date and on an ongoing basis thereafter:

(a) for an on-balance-sheet securitisation:

(1) the requirement of Article 26c(5) of Regulation (EU) 2017/2402

and the requirements of Commission Delegated Regulation (EU)

2024/920;

(2) the requirements of Article 26(e)8, 9 and 10 of Regulation (EU)

2017/2402;

(3) the attachment point of the senior securitisation position is

determined as follows:

A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or

A >= 1.1 * (EL * WAL of the initial reference securitised portfolio

+ UL), when using SEC-IRBA;

(4) the requirement of Article 243(2), point (a) of this Regulation;

(5) the position is not a position of investor;

(b) for an ABCP programme or ABCP transaction:

(1) the requirements of Article 24(17), point (b), of Regulation (EU)

2017/2402;

(2) the attachment point of the senior securitisation position is

determined as follows:

A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or

A >= 1.1 * (EL * WAL of the initial reference securitised portfolio

+ UL), when using SEC-IRBA;

(3) the requirements of Article 243(1), point (b) of this Regulation;

(4) the position is not a position of investor;

(c) for non-ABCP traditional securitisation:

(1) the requirements of Article 21(4), point (b), and Article 21(5) of

Regulation (EU) 2017/2402;

EN 24 EN

(2) the attachment point of the senior securitisation position is

determined as follows:

A >= 1.5 * KA, when using SEC-SA or SEC-ERBA, or

A >= 1.1 * (EL * WAL of the initial reference securitised portfolio

+ UL), when using SEC-IRBA;

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

position is not a position of investor.

5. For the purposes of paragraphs 3 and 4, the WAL (weighted average life) of the

initial reference portfolio shall be calculated by time-weighting, until the

expected maturity of the transaction, only the repayments of principal amounts

from the securitised exposures, without taking into account any payments

relating to fees or interest to be paid by the obligors of the securitised

exposures, and, in case of synthetic securitisations, without taking into account

any prepayment assumptions. For a transaction with a replenishment period,

the WAL shall be the sum of the remaining replenishment period plus the

remaining weighted average life of the reference portfolio measured from the

end of that replenishment period. The WAL shall be no greater than five

years.’;

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

‘Article 244

Traditional securitisation

1. The originator institution of a traditional securitisation may exclude the securitised

exposures from its calculation of risk-weighted exposure amounts and, where

relevant, expected loss amounts where all of the following conditions are met:

(a) a significant credit risk associated with the securitised exposures has been

transferred to third parties, or the originator institution applies a 1250 % risk

weight to all securitisation positions that institution holds in the securitisation

or deducts those securitisation positions from Common Equity Tier 1 items in

accordance with Article 36(1), point (k);

(b) the conditions for the effective risk transfer on the securitised exposures

referred to in paragraph 4 of this Article are met.

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:

∑ × _

∑ × ≥ 0.5

where:

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

– ULi is the amount of unexpected losses allocated to tranche i where the

unexpected loss equals the risk-weighted exposure amounts that would be

EN 25 EN

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 %.

– UL_transi is the amount of ULi allocated to the transferred securitisation

positions in tranche i

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.

3. By way of derogation from paragraph 2, competent authorities may require the

originator institution on a case-by-case basis to transfer to third parties a weighted

amount of unexpected losses larger than the 50% referred to in that paragraph, or

object to the significant credit risk transfer. The measures referred to in this

paragraph may be imposed to address failings in the management of systems and

controls or other internal governance failures of the originator institution, including

remedial action plans not yet completed following supervisory examinations, or

where the competent authority deems the credit risk transferred under paragraph 2 as

insufficient to address certain special or complex features of the securitisation, or

leading to disproportionate capital relief.

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:

(a) the transaction documentation reflects the economic substance of the

securitisation;

(b) the securitisation positions do not constitute payment obligations of the

originator institution;

(c) the underlying exposures are placed beyond the reach of the originator

institution and its creditors in a manner that meets the requirement set out in

Article 20(1) of Regulation (EU) 2017/2402;

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

(e) the securitisation documentation does not contain terms or conditions that

require the originator institution to alter the underlying exposures to improve

the average quality of the pool or increase the yield payable to holders of

positions or otherwise enhance the positions in the securitisation in response to

a deterioration in the credit quality of the underlying exposures;

(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);

(g) the securitisation transaction does not exhibit any structural features that

prevent or significantly undermine the effective transfer of credit risk to third

parties on a sustainable basis or, where any of those features is present, the

transaction exhibits adequate safeguards;

EN 26 EN

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

following conditions:

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

(2) that option may only be exercised when 10 % or less of the original value

of the underlying exposures remains unamortised;

(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;

(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.

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.

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.

6. For certain transactions that do not exhibit problematic features, competent

authorities may apply a fast-track simplified assessment process.

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

(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), in

particular:

(1) the calculation of the lifetime expected losses of the underlying

exposures and their allocation for the purposes of paragraph of this

Article and Article 245(2);

(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);

(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);

(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;

EN 27 EN

(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;

(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;

(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);

(f) the necessary adjustments for the application of Article 244 and 245 to NPE

securitisations.

The EBA shall submit those draft regulatory technical standards to the Commission

by [18 months after the date of entry into force].

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.

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

Article 245

Synthetic securitisation

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 either of the

following conditions is met:

(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);

(b) the conditions for the effective risk transfer on the securitised exposures

referred to in paragraph 4 of this Article are met.

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:

EN 28 EN

∑ × _

∑ × ≥ 0.5

where:

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

– 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 %.

– UL_transi is the amount of ULi allocated to the transferred securitisation

positions in tranche i

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.

3. By way of derogation from paragraph 2, competent authorities may require the

originator institution on a case-by-case basis 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.

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:

(a) the transaction documentation reflects the economic substance of the

securitisation;

(b) the credit protection by virtue of which credit risk is transferred complies with

Article 249;

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

(1) impose significant materiality thresholds below which credit protection is

deemed not to be triggered if a credit event occurs;

(2) allow for the termination of the protection due to deterioration of the

credit quality of the underlying exposures;

(3) require the originator institution to alter the composition of the

underlying exposures to improve the average quality of the pool; or

(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;

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

EN 29 EN

(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);

(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;

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

conditions:

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

(2) that option may only be exercised when 10 % or less of the original value

of the underlying exposures remains unamortised;

(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;

(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;

(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.

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.

6. For certain transactions that do not exhibit problematic features, competent

authorities may apply a fast-track simplified assessment process.

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

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

EN 30 EN

(a) point (b) is replaced by the following:

‘(b) the exposure value of an off-balance sheet securitisation position shall be

its nominal value less any relevant specific credit risk adjustments on the

securitisation position in accordance with Article 110, multiplied by the

relevant conversion factor as set out in this point (b). The conversion factor

shall be 100 %, except in the case of cash advance facilities. To determine the

exposure value of the undrawn portion of the cash advance facilities, a

conversion factor of 0 % may be applied to the nominal amount of a liquidity

facility that is unconditionally cancellable provided that repayment of draws on

the facility are senior to any other claims on the cash flows arising from the

underlying exposures;’;

(b) point (d) is replaced by the following:

‘(d) an originator institution may deduct from the exposure value of a

securitisation position which is assigned a 1 250 % risk weight in accordance

with Sub-Section 3, or which is deducted from Common Equity Tier 1 in

accordance with Article 36(1), point (k), the amount of the specific credit risk

adjustments on the underlying exposures in accordance with Article 110, and

any non-refundable purchase price discounts connected with such underlying

exposures to the extent that such discounts have caused the reduction of own

funds.

The amount of the specific credit risk adjustments may be deducted in

accordance with the first subparagraph of point (d) from the exposure value of

a securitisation position which is assigned a risk weight lower than 1250 %,

provided the position has an attachment point lower than KIRB or KA. In that

case, securitisation position shall be considered as two securitisation positions

for the purposes of this point (d): the position with A equal to KIRB or KA and

the junior position with A below KIRB or KA and D equal to KIRB or KA, and the

specific credit risk adjustments may be deducted only from the exposure value

of the securitisation position which is the junior position with A below KIRB or

KA and D equal to KIRB or KA.’;

(c) point (e) is replaced by the following:

‘(e) the exposure value of a contractually designated synthetic excess spread

shall include, as applicable, the following:

(1) any income from the securitised exposures already recognised by the

originator institution in its income statement under the applicable

accounting framework that the originator institution has contractually

designated to the transaction as synthetic excess spread and that is still

available to absorb losses;

(2) any synthetic excess spread that is contractually designated by the

originator institution in any previous periods and that is still available to

absorb losses;

(3) any synthetic excess spread that is contractually designated by the

originator institution for the current contractual period and that is still

available to absorb losses;

(4) any synthetic excess spread contractually designated by the originator

institution for future contractual periods.

EN 31 EN

For the purposes of this point (e), any amount that is provided as collateral or

credit enhancement in relation to the synthetic securitisation and that is already

subject to an own funds requirement in accordance with this Chapter shall not

be included in the exposure value.’;

(d) the second, third and fourth subparagraphs are deleted.

(6) Article 254 is amended as follows:

(a) in paragraph 1, point (c) is replaced by the following:

‘(c) where the SEC-SA may not be used, in accordance with paragraphs 2 and

4 of this article, an institution shall use the SEC-ERBA in accordance with

Articles 263 and 264 for rated positions or positions in respect of which an

inferred rating may be used.’;

(b) paragraph 5 is replaced by the following:

‘5. Without prejudice to paragraph 1, points (b) and (c), of this Article, an institution

may apply the Internal Assessment Approach to calculate risk-weighted

exposure amounts in relation to an unrated position in an ABCP programme or

ABCP transaction in accordance with Article 266, provided that the conditions

set out in Article 265 are met. Where an institution has received permission to

apply the Internal Assessment Approach in accordance with Article 265(2),

and a specific position in an ABCP programme or ABCP transaction falls

within the scope of application covered by such permission, the institution shall

apply that approach to calculate the risk-weighted exposure amount of that

position.’;

(7) in Article 255, paragraph 6 is replaced by the following:

‘6. Where an institution applies the SEC-SA under Sub-Section 3, that institution

shall calculate KSA by multiplying the risk-weighted exposure amounts in

respect of the non-defaulted exposures that would be calculated under Chapter

2 as if they had not been securitised by 8 %, divided by the sum of the

exposure values of the non-defaulted underlying exposures. KSA shall be

expressed in decimal form between zero and one.

For the purposes of this paragraph, non-defaulted exposures shall exclude

underlying exposures that are in default as referred to in Article 261(2).

For the purposes of this paragraph, institutions shall calculate the exposure

value of the underlying exposures gross of any specific credit risk adjustments

and additional value adjustments in accordance with Articles 34 and 110 and

other own funds reductions.’;

(8) In Article 256, the following paragraph is added:

‘7. The outstanding balance of the pool of underlying exposures in the securitisation

shall, for the purpose of the paragraph 1 and 2, be reduced by the amount of

losses already allocated to the tranches in respect of the defaulted exposures

that are included in the securitised portfolio.’;

(9) Article 259 is amended as follows:

(a) the introductory wording is replaced by the following:

‘Under the SEC-IRBA, the risk-weighted exposure amount for a securitisation

position shall be calculated by multiplying the exposure value of the position

EN 32 EN

calculated in accordance with Article 248 by the applicable risk weight

determined as follows:’

(b) the text ‘where: p = max [0,3; (A + B*(1/N) + C*KIRB + D * LGD + E*MT)] is

replaced by the following:

‘Where:

p = min (1, max [0.3; 0.7 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for

an originator or sponsor exposure to a senior securitisation position, or

p = min (1, max [0.3; 1 *(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for

other exposures.’;

(c) the following paragraphs 1a and 1b are inserted:

‘1a. The risk-weighted exposure amount for a senior securitisation position

calculated in accordance with paragraph 1 shall be subject to a floor calculated

as follows:

Floor = max (12%; 15% *KIRB*12.5)

1b. The risk-weighted exposure amount for a senior securitisation position calculated

in accordance with paragraph 1 that complies with the criteria referred to in

Article 243(4) shall be subject to a floor calculated as follows:

Floor = max (10%; 15% * KIRB*12.5).’;

(d) paragraph 7 is replaced by the following:

‘7. Where the position is backed by a mixed pool and the institution is able to

calculate KIRB on at least 95 % of the underlying exposure amounts in

accordance with Article 258(1), point (a), the institution shall calculate the

capital charge for the pool of underlying exposures as:

∙ + (1 − )A‘;

(10) Article 260 is replaced by the following:

‘Article 260

Treatment of STS securitisations under the SEC-IRBA

1. Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be

calculated in accordance with Article 259, subject to the following modifications:

p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a

senior securitisation position of originator or sponsor

p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for a

non-senior originator or sponsor position

p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for

other positions

The risk-weight floor for a senior securitisation position = max (7%; 10%

*KIRB*12.5).

2. Under the SEC-IRBA, the risk weight for a position in an STS securitisation

compliant with the criteria laid down in the Article 243(3) shall be calculated in

accordance with Article 259, subject to the following modifications:

EN 33 EN

p = min (0.5, max [0.2; 0.3*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for

a senior securitisation position of originator, sponsor or investor

p = min (0.5, max [0.2; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for

a non-senior originator or sponsor position

p = min (0.5, max [0.3; 0.5*(A + B*(1/N) + C*KIRB + D*LGD + E*MT)]) for

other positions

The risk weight floor for a senior securitisation position = max (5%; 10% *

KIRB*12.5).;

(11) Article 261 is amended as follows:

(a) paragraph 1 is amended as follows:

(1) the introductory wording is replaced by the following:

‘Under the SEC-SA, the risk-weighted exposure amount for a

securitisation position shall be calculated by multiplying the exposure

value of the position calculated in accordance with Article 248 by the

applicable risk weight determined as follows:’

(2) ‘p = 1 for a securitisation exposure that is not a re-securitisation

exposure’ is replaced by the following:

‘For a securitisation position that is not a re-securitisation exposure, p =

0.6 for a senior securitisation position of originator or sponsor; 1 for

other securitisation position’.;

(b) the following paragraphs 1a and 1b are inserted:

‘1a. The risk-weighted exposure amount for a senior securitisation position

calculated in accordance with paragraph 1 shall be subject to a floor calculated

as follows:

Floor = max (12%; 15% *KA*12.5).

1b. The risk-weighted exposure amount for a senior securitisation position calculated

in accordance with paragraph 1 that complies with the criteria set out in Article

243(4) shall be subject to a floor calculated as follows:

Floor = max (10%; 15% * KA*12.5).’;

(c) In paragraph 2, the following sub-paragraph is added:

‘For the purpose of this paragraph, the nominal amount of the underlying

exposures in default is the accounting value of the exposures in default minus

any amounts by which the tranches have already been written down to absorb

the losses on those exposures in default, or losses which have been absorbed by

excess spread.’;

(12) Article 262 is replaced by the following:

‘Article 262

Treatment of STS securitisations under the SEC-SA

1. Under the SEC-SA the risk weight for a position in an STS securitisation shall be

calculated in accordance with Article 261, subject to the following modifications:

p = 0.3 for a senior securitisation position of originator or sponsor

EN 34 EN

p = 0.5 for other securitisation exposures

risk weight floor for a senior securitisation position = max (7%; 10% * KA*12.5).

2. Under the SEC-SA the risk weight for a position in an STS securitisation that

complies with the criteria set out in Article 243(3) shall be calculated in accordance

with Article 261, subject to the following modifications:

p = 0.3 for a senior securitisation position of originator, sponsor or investor

p = 0.5 for other securitisation exposures

risk weight floor for a senior securitisation position = max (5%; 10% * KA*12.5).’;

(13) Article 263 is amended as follows:

(a) paragraph 2 is replaced by the following:

‘2. For exposures with short-term credit assessments or where a rating based on a

short-term credit assessment may be inferred in accordance with paragraph 7,

the following risk weights shall apply:

Table 1

Credit quality

step

1 2 3 All other

ratings

Risk weight Senior tranche:

Max (12%; 15% *KA*12.5)

Non-senior tranche:

15 %

50 % 100 % 1250 %

(b) the following paragraphs 2a and 2b are inserted:

‘2a. For a position in senior tranche with CQS1 in a securitisation that complies with

the criteria set out in Article 243(4), the risk weight shall be calculated as

follow:

Max (10 %; 15% *KA*12.5)

2b. Where an institution is not able to use the formula set out in the Table 1 or under

paragraph 2a, because it is not able to calculate KA, a risk weight of 15 % shall

apply to the relevant exposure.’;

(c) paragraph 3 is replaced by the following:

‘3. For exposures with long-term credit assessments or when a rating based on a

long-term credit assessment may be inferred in accordance with paragraph 7,

the risk weights set out in Table 2 shall apply, adjusted as applicable for

tranche maturity (MT) in accordance with Article 257 and paragraph 4 of this

Article and for tranche thickness for non-senior tranches in accordance with

paragraph 5 of this Article:

Table 2

EN 35 EN

Credit

quality

step

Senior tranche,

position of originator

or sponsor

Senior tranche, position

of investor

Non-senior (thin)

tranche

Tranche maturity (MT) Tranche maturity (MT) Tranche maturity (MT)

1 year 5 year 1 year 5 year 5 year 1 year

1 Max (12 % ; 15% *KA*12.5) Max (12 %;

15%

*KA*12.5)

20 % 15 % 70 %

2

Max (12 % ;

15%

*KA*12.5) 18% 30 % 15 % 90 %

3 17 % 24 % 25 % 40 % 30 % 120 %

4 18 % 29 % 30 % 45 % 40 % 140 %

5 24 % 34 % 40 % 50 % 60 % 160 %

6 34 % 45 % 50 % 65 % 80 % 180 %

7 40 % 46 % 60 % 70 % 120 % 210 %

8 51 % 62 % 75 % 90 % 170 % 260 %

9 62 % 73 % 90 % 105 % 220 % 310 %

10 80 % 96 % 120 % 140 % 330 % 420 %

11 124 % 140 % 140 % 160 % 470 % 580 %

12 140 % 160 % 160 % 180 % 620 % 760 %

13 176 % 201 % 200 % 225 % 750 % 860 %

14 230 % 256 % 250 % 280 % 900 % 950 %

15 286 % 312 % 310 % 340 % 1050 % 1050 %

16 348 % 388 % 380 % 420 % 1130 % 1130 %

17 424 % 465 % 460 % 505 % 1250 % 1250 %

All other 1250 % 1250 % 1250 % 1250 % 1250 % 1250 %

(d) the following paragraphs 3a and 3b are inserted:

‘3a. For in position by originator or sponsor in senior tranche with CQS1, or CQS2

with tranche maturity of 1 year, in a securitisation that complies with the

criteria set out in Article 243(4), the risk weight shall be calculated as follows:

Max (10 %; 15% *KA*12.5)

3b. Where an institution is not able to use the formula set out in the Table 2 or under

the paragraph 3a, because it is not able to calculate KA, a risk weight of 15 %

shall apply to the relevant exposure.’;

(14) Article 264 is amended as follows:

(a) paragraph 2 is replaced by the following:

‘2. 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

263(7), the following risk weights shall apply:

Table 3

Credit quality

step

1 2 3 All other

ratings

Risk weight Senior tranche:

Max (7%; 10%*KA*12.5)

30 % 60 % 1250 %

EN 36 EN

Non-senior tranche:

10%

(b) the following paragraphs 2a and 2b are inserted:

‘2a. For a position in senior tranche with CQS1 in a securitisation that complies with

the criteria set out in Article 243(3), the risk weight shall be calculated as

follows:

Max (5%; 10%* KA*12.5)

2b. Where an institution is not able to use the formula set out in Table 3 or under the

paragraph 2a, because it is not able to calculate KA, a risk weight of 10 % shall

apply to the relevant exposures.’;

(c) paragraph 3 is replaced by the following:

‘3. For exposures with long-term credit assessments or where a rating based on a

long-term credit assessment may be inferred in accordance with Article 263(7),

risk weights shall be determined in accordance with Table 4, adjusted for

tranche maturity (MT) in accordance with Article 257 and Article 263(4) and

for tranche thickness for non-senior tranches in accordance with Article 263(5):

Table 4

Credit

quality

step

Senior tranche

(position of originator

or sponsor, or of

investor in a

securitisation

compliant with Article

243(3))

Senior tranche (other

positions of investor)

Non-senior (thin)

tranche

Tranche maturity (MT) Tranche maturity (MT) Tranche maturity (MT)

1 year 5 year 1 year 5 year 1 year 5 year

1 Max (7 %; 10%*KA*12.5) Max (7 %; 10%*KA*12.5) 15 % 40 %

2

Max (7 %;

10% *KA*

12.5) 10 %

Max (7%;

10% * KA

*12.5) 15 % 15 % 55 %

3 10 % 12 % 15 % 20 % 15 % 70 %

4 10 % 16 % 15 % 25 % 25 % 80 %

5 12 % 20 % 20 % 30 % 35 % 95 %

6 20 % 28 % 30 % 40 % 60 % 135 %

7 23 % 28 % 35 % 40 % 95 % 170 %

8 31 % 38 % 45 % 55 % 150 % 225 %

9 38 % 45 % 55 % 65 % 180 % 255 %

10 47 % 58 % 70 % 85 % 270 % 345 %

11 106 % 118 % 120 % 135 % 405 % 500 %

12 118 % 138 % 135 % 155 % 535 % 655 %

13 150 % 174 % 170 % 195 % 645 % 740 %

14 207 % 229 % 225 % 250 % 810 % 855 %

15 258 % 280 % 280 % 305 % 945 % 945 %

16. 311 % 351 % 340 % 380 % 1015 % 1015 %

17 383 % 419 % 415 % 455 % 1250 % 1250 %

All other 1250 % 1250 % 1250 % 1250 % 1250 % 1250 %

EN 37 EN

(d) the following paragraphs 3a and 3b is added:

‘3a. For a position in senior tranche with CQS1, or CQS 2 with tranche maturity of 1

year, in a securitisation that complies with the criteria set out in Article 243(3),

the risk weight shall be calculated as follows:

Max (5 %; 10% *KA*12.5)

3b. When an institution is not able to use the formula set out in Table 4, because it is

not able to calculate KA, a risk weight of 10 % shall apply to the relevant

exposure.’;

(15) Article 268 is amended as follows:

(a) paragraph 1 is replaced by the following:

‘1. An institution may apply a maximum capital requirement for the securitisation

position it holds equal to the capital requirements that would be calculated

under Chapter 2 or 3 in respect of the underlying exposures had they not been

securitised.

For the purposes of this Article, the IRB Approach capital requirement shall

include the amount of the expected losses associated with those exposures

calculated under Chapter 3 and that of unexpected losses. For originator

institutions, the expected losses shall be net of any specific credit risk

adjustments on the underlying exposures.’;

(b) paragraph 3 is replaced by the following:

‘3. The maximum capital requirement shall be the result of multiplying the amount

calculated in accordance with paragraphs 1 or 2 by the largest proportion of

interest that the institution holds in the relevant tranches (V), expressed as a

percentage and calculated as follows:

(a) for an institution that has one or more securitisation positions in a single

tranche, V shall be equal to the ratio of the nominal amount of the

securitisation positions that the institution holds in that given tranche to

the nominal amount of the tranche;

(b) for an institution that has securitisation positions in different tranches, V

shall be equal to the maximum proportion of interest across tranches.

For the purposes of point (b), the proportion of interest for each of the different

tranches shall be calculated as set out in point (a).

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.’;

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

(17) Article 506b is deleted;

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

EN 38 EN

‘Article 506d

Prudential treatment of securitisation

1. By [4 years after the date of entry into force], the Commission, after having

consulted the EBA, shall assess the overall situation and dynamics of the Union

securitisation market, and report on the appropriateness and effectiveness of the

Union prudential securitisation framework, including on the financing of the real

economy, differentiating between different types of securitisations, including

between synthetic, traditional and NPE securitisations, between originators and

investors, between STS and non-STS transactions, and between different methods for

calculation of risk-weighted exposure amounts.

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.

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.

The Commission shall submit that report to the European Parliament and the

Council, together with a legislative proposal, where appropriate.

2. The 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 on

additional lending by credit institutions to households and businesses, including

SMEs.

Article 2

This Regulation shall enter into force on the […] day following that of its publication in the

Official Journal of the European Union.

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

Done at Strasbourg,

For the European Parliament For the Council

The President The President

EN 39 EN

LEGISLATIVE FINANCIAL AND DIGITAL STATEMENT

1. FRAMEWORK OF THE PROPOSAL/INITIATIVE ................................................. 3

1.1. Title of the proposal/initiative ...................................................................................... 3

1.2. Policy area(s) concerned .............................................................................................. 3

1.3. Objective(s) .................................................................................................................. 3

1.3.1. General objective(s) ..................................................................................................... 3

1.3.2. Specific objective(s) ..................................................................................................... 3

1.3.3. Expected result(s) and impact ...................................................................................... 3

1.3.4. Indicators of performance ............................................................................................ 3

1.4. The proposal/initiative relates to: ................................................................................. 4

1.5. Grounds for the proposal/initiative .............................................................................. 4

1.5.1. Requirement(s) to be met in the short or long term including a detailed timeline for

roll-out of the implementation of the initiative ............................................................ 4

1.5.2. Added value of EU involvement (it may result from different factors, e.g.

coordination gains, legal certainty, greater effectiveness or complementarities). For

the purposes of this section 'added value of EU involvement' is the value resulting

from EU action, that is additional to the value that would have been otherwise

created by Member States alone. ................................................................................. 4

1.5.3. Lessons learned from similar experiences in the past .................................................. 4

1.5.4. Compatibility with the multiannual financial framework and possible synergies with

other appropriate instruments ....................................................................................... 5

1.5.5. Assessment of the different available financing options, including scope for

redeployment ................................................................................................................ 5

1.6. Duration of the proposal/initiative and of its financial impact .................................... 6

1.7. Method(s) of budget implementation planned ............................................................. 6

2. MANAGEMENT MEASURES................................................................................... 8

2.1. Monitoring and reporting rules .................................................................................... 8

2.2. Management and control system(s) ............................................................................. 8

2.2.1. Justification of the budget implementation method(s), the funding implementation

mechanism(s), the payment modalities and the control strategy proposed .................. 8

2.2.2. Information concerning the risks identified and the internal control system(s) set up

to mitigate them............................................................................................................ 8

2.2.3. Estimation and justification of the cost-effectiveness of the controls (ratio between

the control costs and the value of the related funds managed), and assessment of the

expected levels of risk of error (at payment & at closure) ........................................... 8

2.3. Measures to prevent fraud and irregularities ................................................................ 9

3. ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE ............ 10

3.1. Heading(s) of the multiannual financial framework and expenditure budget line(s)

affected ....................................................................................................................... 10

EN 40 EN

3.2. Estimated financial impact of the proposal on appropriations ................................... 12

3.2.1. Summary of estimated impact on operational appropriations.................................... 12

3.2.1.1. Appropriations from voted budget ............................................................................. 12

3.2.1.2. Appropriations from external assigned revenues ....................................................... 17

3.2.2. Estimated output funded from operational appropriations......................................... 22

3.2.3. Summary of estimated impact on administrative appropriations ............................... 24

3.2.3.1. Appropriations from voted budget .............................................................................. 24

3.2.3.2. Appropriations from external assigned revenues ....................................................... 24

3.2.3.3. Total appropriations ................................................................................................... 24

3.2.4. Estimated requirements of human resources.............................................................. 25

3.2.4.1. Financed from voted budget....................................................................................... 25

3.2.4.2. Financed from external assigned revenues ................................................................ 26

3.2.4.3. Total requirements of human resources ..................................................................... 26

3.2.5. Overview of estimated impact on digital technology-related investments ................ 28

3.2.6. Compatibility with the current multiannual financial framework.............................. 28

3.2.7. Third-party contributions ........................................................................................... 28

3.3. Estimated impact on revenue ..................................................................................... 29

4. DIGITAL DIMENSIONS .......................................................................................... 29

4.1. Requirements of digital relevance .............................................................................. 30

4.2. Data ............................................................................................................................ 30

4.3. Digital solutions ......................................................................................................... 31

4.4. Interoperability assessment ........................................................................................ 31

4.5. Measures to support digital implementation .............................................................. 32

EN 41 EN

1. FRAMEWORK OF THE PROPOSAL/INITIATIVE

1.1. Title of the proposal/initiative

Proposal for a Regulation of the European parliament and of the Council amending

Regulation (EU) No 575/2013 on prudential requirements for credit institutions ad

regards requirements for securitisation exposures

1.2. Policy area(s) concerned

Financial Stability

Capital Markets Union

1.3. Objective(s)

1.3.1. General objective(s)

To increase the risk sensitivity of the framework and remove prudential barriers that

disincentivise EU banks from participating in the EU securitisation market.

1.3.2. Specific objective(s)

Associated with the general objective, there are the following specific objectives: (i)

to reduce unjustified levels of conservatism and capital non-neutrality; (iii) to

differentiate the prudential treatment for originators/sponsors of securitisations and

investors in securitisations; and (iv) to mitigate undue discrepancies between the

securitisation standardised approach (SEC-SA) and securitisation internal ratings-

based approach (SEC-IRBA) for the calculation of capital requirements for

securitisation.

1.3.3. Expected result(s) and impact

Specify the effects which the proposal/initiative should have on the beneficiaries/groups targeted.

The proposal makes part of a wider legislative package that aims to address undue

barriers that are hindering the development of the EU securitisation market and adapt

the regulatory framework to the actual risks, while preserving its overall level of

resilience and efficiency. It aims to revitalise the securitisation market through

reducing burden and compliance costs for issuers and investors, which should

ultimately allow securitisation to play a role in the development of the Savings and

Investments Union.

1.3.4. Indicators of performance

Specify the indicators for monitoring progress and achievements.

A close monitoring of the impact of the new framework will be carried out in

cooperation with the EBA and competent supervisory authorities on the basis of the

supervisory reporting arrangements and disclosure requirements by institutions

provided for in the CRR, and will form part of the ongoing supervision and the

supervisory assessments of the significant risk transfer.

The Commission shall also carry out an evaluation of this package of proposed

amendments, four years after its entry into application and present a report on the

main findings to the European Parliament, the Council and the European Economic

and Social Committee.

EN 42 EN

1.4. The proposal/initiative relates to:

 a new action

 a new action following a pilot project / preparatory action24

 the extension of an existing action

 a merger or redirection of one or more actions towards another/a new action

1.5. Grounds for the proposal/initiative

1.5.1. Requirement(s) to be met in the short or long term including a detailed timeline for

roll-out of the implementation of the initiative

The proposal is an amendment to the existing Regulation (EU) No 575/2013. It is

expected to enter into force on the twentieth day following that of its publication in

the Official Journal of the European Union. The Regulation shall be binding in its

entirety and directly applicable in all Member States.

1.5.2. Added value of EU involvement (it may result from different factors, e.g.

coordination gains, legal certainty, greater effectiveness or complementarities). For

the purposes of this section 'added value of EU involvement' is the value resulting

from EU action, that is additional to the value that would have been otherwise

created by Member States alone.

Reasons for action at EU level (ex-ante): Given that the proposed measure aims to

amend existing EU legislation, it is best achieved at EU level rather than through

different national initiatives. To achieve the EU single market’s objectives, it is

crucial to ensure a standard application of the proposed measure, a convergence of

related supervisory practices and a level playing field throughout the single market

for banking services.

Expected generated EU added value (ex-post): Adopting national measures would be

difficult from a legal standpoint given that the CRR is directly applicable. In

addition, a minimum degree of harmonisation and consistency across Member States

is necessary to achieve the single market’s objectives.

1.5.3. Lessons learned from similar experiences in the past

The CRR is directly applicable across the EU and already regulates prudential

treatment of securitisation in all Member States. This ensures a standard application

of prudential measures in this area, the necessary convergence in supervisory

practices and a level playing field throughout the single market for banking services,

forming the basis for sound competition across the EU.

1.5.4. Compatibility with the multiannual financial framework and possible synergies with

other appropriate instruments

Not applicable for this proposal – no budgetary impact.

1.5.5. Assessment of the different available financing options, including scope for

redeployment

Not applicable for this proposal – no budgetary impact.

24 As referred to in Article 58(2), point (a) or (b) of the Financial Regulation.

EN 43 EN

1.6. Duration of the proposal/initiative and of its financial impact

 limited duration

–  in effect from [DD/MM]YYYY to [DD/MM]YYYY

–  financial impact from YYYY to YYYY for commitment appropriations and

from YYYY to YYYY for payment appropriations.

 unlimited duration

– Implementation with a start-up period from YYYY to YYYY,

– followed by full-scale operation.

1.7. Method(s) of budget implementation planned25

 Direct management by the Commission

–  by its departments, including by its staff in the Union delegations;

–  by the executive agencies

 Shared management with the Member States

 Indirect management by entrusting budget implementation tasks to:

–  third countries or the bodies they have designated

–  international organisations and their agencies (to be specified)

–  the European Investment Bank and the European Investment Fund

–  bodies referred to in Articles 70 and 71 of the Financial Regulation

–  public law bodies

–  bodies governed by private law with a public service mission to the extent that

they are provided with adequate financial guarantees

–  bodies governed by the private law of a Member State that are entrusted with

the implementation of a public-private partnership and that are provided with

adequate financial guarantees

–  bodies or persons entrusted with the implementation of specific actions in the

common foreign and security policy pursuant to Title V of the Treaty on

European Union, and identified in the relevant basic act

– bodies established in a Member State, governed by the private law of a

Member State or Union law and eligible to be entrusted, in accordance with

sector-specific rules, with the implementation of Union funds or budgetary

guarantees, to the extent that such bodies are controlled by public law bodies or

by bodies governed by private law with a public service mission, and are provided

with adequate financial guarantees in the form of joint and several liability by the

controlling bodies or equivalent financial guarantees and which may be, for each

action, limited to the maximum amount of the Union support.

Comments

25 Details of budget implementation methods and references to the Financial Regulation may be found on

the BUDGpedia site: https://myintracomm.ec.europa.eu/corp/budget/financial-rules/budget-

implementation/Pages/implementation-methods.aspx.

EN 44 EN

Not applicable for this proposal – no budgetary impact.

EN 45 EN

2. MANAGEMENT MEASURES

2.1. Monitoring and reporting rules

Not applicable for this proposal – no budgetary impact.

2.2. Management and control system(s)

2.2.1. Justification of the budget implementation method(s), the funding implementation

mechanism(s), the payment modalities and the control strategy proposed

Not applicable for this proposal – no budgetary impact.

2.2.2. Information concerning the risks identified and the internal control system(s) set up

to mitigate them

Not applicable for this proposal – no budgetary impact.

2.2.3. Estimation and justification of the cost-effectiveness of the controls (ratio between

the control costs and the value of the related funds managed), and assessment of the

expected levels of risk of error (at payment & at closure)

Not applicable for this proposal – no budgetary impact.

2.3. Measures to prevent fraud and irregularities

Not applicable for this proposal – no budgetary impact.

EN 46 EN

3. ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE

3.1. Heading(s) of the multiannual financial framework and expenditure budget

line(s) affected

Not applicable for this proposal – no budgetary impact.

• Existing budget lines

In order of multiannual financial framework headings and budget lines.

Heading of

multiannual

financial

framework

Budget line Type of

expenditure Contribution

Number

Diff./Non-

diff.26

from

EFTA

countries 27

from

candidate

countries

and

potential

candidates 28

From

other

third

countries

other assigned

revenue

[XX.YY.YY.YY]

Diff./Non

-diff. YES/NO YES/NO YES/NO YES/NO

[XX.YY.YY.YY]

Diff./Non

-diff. YES/NO YES/NO YES/NO YES/NO

[XX.YY.YY.YY]

Diff./Non

-diff. YES/NO YES/NO YES/NO YES/NO

• New budget lines requested

In order of multiannual financial framework headings and budget lines.

Heading of

multiannual

financial

framework

Budget line Type of

expenditure Contribution

Number

Diff./Non-

diff.

from

EFTA

countries

from

candidate

countries

and

potential

candidates

from

other

third

countries

other assigned

revenue

[XX.YY.YY.YY]

Diff./Non

-diff. YES/NO YES/NO YES/NO YES/NO

[XX.YY.YY.YY]

Diff./Non

-diff. YES/NO YES/NO YES/NO YES/NO

[XX.YY.YY.YY]

Diff./Non

-diff. YES/NO YES/NO YES/NO YES/NO

26 Diff. = Differentiated appropriations / Non-diff. = Non-differentiated appropriations. 27 EFTA: European Free Trade Association. 28 Candidate countries and, where applicable, potential candidates from the Western Balkans.

EN 47 EN

3.2. Estimated financial impact of the proposal on appropriations

3.2.1. Summary of estimated impact on operational appropriations

–  The proposal/initiative does not require the use of operational appropriations

–  The proposal/initiative requires the use of operational appropriations, as explained below

3.2.1.1. Appropriations from voted budget

EUR million (to three decimal places)

Heading of multiannual financial framework Number

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

Payments (2a) 0.000

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes29

Budget line (3) 0.000

TOTAL appropriations

for DG <…….>

Commitments =1a+1b+3 0.000 0.000 0.000 0.000 0.000

Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

29 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.

EN 48 EN

Payments (2a) 0.000

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes30

Budget line (3) 0.000

TOTAL appropriations

for DG <…….>

Commitments =1a+1b+3 0.000 0.000 0.000 0.000 0.000

Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

TOTAL operational appropriations

Commitments (4) 0.000 0.000 0.000 0.000 0.000

Payments (5) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations of an administrative nature financed

from the envelope for specific programmes (6) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations under

HEADING <….> Commitments =4+6 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework Payments =5+6 0.000 0.000 0.000 0.000 0.000

Heading of multiannual financial

framework Number

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

30 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.

EN 49 EN

Payments (2a) 0.000

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes31

Budget line (3) 0.000

TOTAL appropriations Commitments =1a+1b +3 0.000 0.000 0.000 0.000 0.000

for DG <…….> Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

Payments (2a) 0.000

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes32

Budget line (3) 0.000

TOTAL appropriations Commitments =1a+1b +3 0.000 0.000 0.000 0.000 0.000

for DG <…….> Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

TOTAL operational appropriations Commitments (4) 0.000 0.000 0.000 0.000 0.000

31 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research. 32 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.

EN 50 EN

Payments (5) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations of an administrative nature financed

from the envelope for specific programmes (6) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations under

HEADING <….> Commitments =4+6 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework Payments =5+6 0.000 0.000 0.000 0.000 0.000

Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

• TOTAL operational appropriations (all

operational headings)

Commitments (4) 0.000 0.000 0.000 0.000 0.000

Payments (5) 0.000 0.000 0.000 0.000 0.000

• TOTAL appropriations of an administrative nature financed

from the envelope for specific programmes (all operational

headings)

(6) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations Under Heading 1

to 6 Commitments =4+6 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework

(Reference amount) Payments =5+6 0.000 0.000 0.000 0.000 0.000

Heading of multiannual financial framework 7 ‘Administrative expenditure’33

DG: <…….> Year Year Year Year TOTAL

MFF 2021-

2027 2024 2025 2026 2027

 Human resources 0.000 0.000 0.000 0.000 0.000

 Other administrative expenditure 0.000 0.000 0.000 0.000 0.000

33 The necessary appropriations should be determined using the annual average cost figures available on the appropriate BUDGpedia webpage.

EN 51 EN

TOTAL DG <…….> Appropriations 0.000 0.000 0.000 0.000 0.000

DG: <…….> Year Year Year Year TOTAL

MFF 2021-

2027 2024 2025 2026 2027

 Human resources 0.000 0.000 0.000 0.000 0.000

 Other administrative expenditure 0.000 0.000 0.000 0.000 0.000

TOTAL DG <…….> Appropriations 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations under HEADING 7 of the multiannual financial

framework

(Total

commitments

= Total

payments)

0.000 0.000 0.000 0.000 0.000

EUR million (to three decimal places)

Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

TOTAL appropriations under HEADINGS 1 to 7 Commitments 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework Payments 0.000 0.000 0.000 0.000 0.000

3.2.1.2. Appropriations from external assigned revenues

EUR million (to three decimal places)

Heading of multiannual financial framework Number

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

EN 52 EN

Payments (2a) 0.000

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes34

Budget line (3) 0.000

TOTAL appropriations

for DG <…….>

Commitments =1a+1b+3 0.000 0.000 0.000 0.000 0.000

Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

Payments (2a) 0.000

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes35

Budget line (3) 0.000

TOTAL appropriations

for DG <…….>

Commitments =1a+1b+3 0.000 0.000 0.000 0.000 0.000

Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

TOTAL operational appropriations

Commitments (4) 0.000 0.000 0.000 0.000 0.000

Payments (5) 0.000 0.000 0.000 0.000 0.000

34 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research. 35 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.

EN 53 EN

TOTAL appropriations of an administrative nature financed

from the envelope for specific programmes (6) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations under

HEADING <….> Commitments =4+6 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework Payments =5+6 0.000 0.000 0.000 0.000 0.000

Heading of multiannual financial framework Number

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

Payments (2a) 0.000

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes36

Budget line (3) 0.000

TOTAL appropriations

for DG <…….>

Commitments =1a+1b+3 0.000 0.000 0.000 0.000 0.000

Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

DG: <…….> Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

Operational appropriations

Budget line Commitments (1a) 0.000

Payments (2a) 0.000

36 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.

EN 54 EN

Budget line Commitments (1b) 0.000

Payments (2b) 0.000

Appropriations of an administrative nature financed from the envelope of specific programmes37

Budget line (3) 0.000

TOTAL appropriations

for DG <…….>

Commitments =1a+1b+3 0.000 0.000 0.000 0.000 0.000

Payments =2a+2b+3 0.000 0.000 0.000 0.000 0.000

Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

TOTAL operational appropriations

Commitments (4) 0.000 0.000 0.000 0.000 0.000

Payments (5) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations of an administrative nature financed

from the envelope for specific programmes (6) 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations under

HEADING <….> Commitments =4+6 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework Payments =5+6 0.000 0.000 0.000 0.000 0.000

Year Year Year Year TOTAL MFF

2021-2027 2024 2025 2026 2027

• TOTAL operational appropriations (all

operational headings)

Commitments (4) 0.000 0.000 0.000 0.000 0.000

Payments (5) 0.000 0.000 0.000 0.000 0.000

• TOTAL appropriations of an administrative nature financed

from the envelope for specific programmes (all operational

headings)

(6) 0.000 0.000 0.000 0.000 0.000

37 Technical and/or administrative assistance and expenditure in support of the implementation of EU programmes and/or actions (former ‘BA’ lines), indirect research, direct research.

EN 55 EN

TOTAL appropriations under Headings 1

to 6 Commitments =4+6 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework (Reference

amount) Payments =5+6 0.000 0.000 0.000 0.000 0.000

Heading of multiannual financial framework 7 ‘Administrative expenditure’38

EUR million (to three decimal places)

DG: <…….> Year Year Year Year TOTAL

MFF 2021-

2027 2024 2025 2026 2027

 Human resources 0.000 0.000 0.000 0.000 0.000

 Other administrative expenditure 0.000 0.000 0.000 0.000 0.000

TOTAL DG <…….> Appropriations 0.000 0.000 0.000 0.000 0.000

DG: <…….> Year Year Year Year TOTAL

MFF 2021-

2027 2024 2025 2026 2027

 Human resources 0.000 0.000 0.000 0.000 0.000

 Other administrative expenditure 0.000 0.000 0.000 0.000 0.000

TOTAL DG <…….> Appropriations 0.000 0.000 0.000 0.000 0.000

TOTAL appropriations under HEADING 7 of the multiannual

financial framework

(Total

commitments

= Total

payments)

0.000 0.000 0.000 0.000 0.000

EUR million (to three decimal places)

Year Year Year Year TOTAL MFF

38 The necessary appropriations should be determined using the annual average cost figures available on the appropriate BUDGpedia webpage.

EN 56 EN

2024 2025 2026 2027 2021-2027

TOTAL appropriations under HEADINGS 1 to 7 Commitments 0.000 0.000 0.000 0.000 0.000

of the multiannual financial framework Payments 0.000 0.000 0.000 0.000 0.000

3.2.2. Estimated output funded from operational appropriations (not to be completed for decentralised agencies)

Commitment appropriations in EUR million (to three decimal places)

Indicate

objectives and

outputs



Year 2024

Year 2025

Year 2026

Year 2027

Enter as many years as necessary to show the

duration of the impact (see Section1.6) TOTAL

OUTPUTS

Type39

Avera

ge

cost

N o

Cost N o

Cost N o

Cost N o

Cost N o

Cost N o

Cost N o

Cost Total

No

Total

cost

SPECIFIC OBJECTIVE No 140…

- Output

- Output

- Output

Subtotal for specific objective No 1

SPECIFIC OBJECTIVE No 2 ...

- Output

Subtotal for specific objective No 2

39 Outputs are products and services to be supplied (e.g. number of student exchanges financed, number of km of roads built, etc.). 40 As described in Section 1.3.2. ‘Specific objective(s)’

EN 57 EN

TOTALS

EN 58 EN

3.2.3. Summary of estimated impact on administrative appropriations

–  The proposal/initiative does not require the use of appropriations of an administrative nature

–  The proposal/initiative requires the use of appropriations of an administrative nature, as explained below

3.2.3.1. Appropriations from voted budget

VOTED APPROPRIATIONS Year Year Year Year

TOTAL 2021 - 2027 2024 2025 2026 2027

HEADING 7

Human resources 0.000 0.000 0.000 0.000 0.000

Other administrative expenditure 0.000 0.000 0.000 0.000 0.000

Subtotal HEADING 7 0.000 0.000 0.000 0.000 0.000

Outside HEADING 7

Human resources 0.000 0.000 0.000 0.000 0.000

Other expenditure of an administrative nature 0.000 0.000 0.000 0.000 0.000

Subtotal outside HEADING 7 0.000 0.000 0.000 0.000 0.000

TOTAL 0.000 0.000 0.000 0.000 0.000

3.2.3.2. Appropriations from external assigned revenues

EXTERNAL ASSIGNED REVENUES Year Year Year Year

TOTAL 2021 - 2027 2024 2025 2026 2027

HEADING 7

Human resources 0.000 0.000 0.000 0.000 0.000

Other administrative expenditure 0.000 0.000 0.000 0.000 0.000

Subtotal HEADING 7 0.000 0.000 0.000 0.000 0.000

Outside HEADING 7

Human resources 0.000 0.000 0.000 0.000 0.000

Other expenditure of an administrative nature 0.000 0.000 0.000 0.000 0.000

EN 59 EN

Subtotal outside HEADING 7 0.000 0.000 0.000 0.000 0.000

TOTAL 0.000 0.000 0.000 0.000 0.000

3.2.3.3. Total appropriations

TOTAL

VOTED APPROPRIATIONS + EXTERNAL

ASSIGNED REVENUES

Year Year Year Year TOTAL

2021 -

2027 2024 2025 2026 2027

HEADING 7

Human resources 0.000 0.000 0.000 0.000 0.000

Other administrative expenditure 0.000 0.000 0.000 0.000 0.000

Subtotal HEADING 7 0.000 0.000 0.000 0.000 0.000

Outside HEADING 7

Human resources 0.000 0.000 0.000 0.000 0.000

Other expenditure of an administrative nature 0.000 0.000 0.000 0.000 0.000

Subtotal outside HEADING 7 0.000 0.000 0.000 0.000 0.000

TOTAL 0.000 0.000 0.000 0.000 0.000

The appropriations required for human resources and other expenditure of an administrative nature will be met by appropriations from the DG that are already

assigned to management of the action and/or have been redeployed within the DG, together, if necessary, with any additional allocation which may be granted to the

managing DG under the annual allocation procedure and in the light of budgetary constraints.

3.2.4. Estimated requirements of human resources

–  The proposal/initiative does not require the use of human resources

–  The proposal/initiative requires the use of human resources, as explained below

EN 60 EN

3.2.4.1. Financed from voted budget

Estimate to be expressed in full-time equivalent units (FTEs)41

VOTED APPROPRIATIONS Year Year Year Year

2024 2025 2026 2027

 Establishment plan posts (officials and temporary staff)

20 01 02 01 (Headquarters and Commission’s Representation Offices) 0 0 0 0

20 01 02 03 (EU Delegations) 0 0 0 0

01 01 01 01 (Indirect research) 0 0 0 0

01 01 01 11 (Direct research) 0 0 0 0

Other budget lines (specify) 0 0 0 0

• External staff (inFTEs)

20 02 01 (AC, END from the ‘global envelope’) 0 0 0 0

20 02 03 (AC, AL, END and JPD in the EU Delegations) 0 0 0 0

Admin. Support line

[XX.01.YY.YY]

- at Headquarters 0 0 0 0

- in EU Delegations 0 0 0 0

01 01 01 02 (AC, END - Indirect research) 0 0 0 0

01 01 01 12 (AC, END - Direct research) 0 0 0 0

Other budget lines (specify) - Heading 7 0 0 0 0

Other budget lines (specify) - Outside Heading 7 0 0 0 0

TOTAL 0 0 0 0

3.2.4.2. Financed from external assigned revenues

EXTERNAL ASSIGNED REVENUES Year Year Year Year

2024 2025 2026 2027

41 Please specify below the table how many FTEs within the number indicated are already assigned to the management of the action and/or can be redeployed within your DG

and what are your net needs.

EN 61 EN

 Establishment plan posts (officials and temporary staff)

20 01 02 01 (Headquarters and Commission’s Representation Offices) 0 0 0 0

20 01 02 03 (EU Delegations) 0 0 0 0

01 01 01 01 (Indirect research) 0 0 0 0

01 01 01 11 (Direct research) 0 0 0 0

Other budget lines (specify) 0 0 0 0

• External staff (in full time equivalent units)

20 02 01 (AC, END from the ‘global envelope’) 0 0 0 0

20 02 03 (AC, AL, END and JPD in the EU Delegations) 0 0 0 0

Admin. Support line

[XX.01.YY.YY]

- at Headquarters 0 0 0 0

- in EU Delegations 0 0 0 0

01 01 01 02 (AC, END - Indirect research) 0 0 0 0

01 01 01 12 (AC, END - Direct research) 0 0 0 0

Other budget lines (specify) - Heading 7 0 0 0 0

Other budget lines (specify) - Outside Heading 7 0 0 0 0

TOTAL 0 0 0 0

3.2.4.3. Total requirements of human resources

TOTAL VOTED APPROPRIATIONS + EXTERNAL ASSIGNED

REVENUES

Year Year Year Year

2024 2025 2026 2027

 Establishment plan posts (officials and temporary staff)

20 01 02 01 (Headquarters and Commission’s Representation Offices) 0 0 0 0

20 01 02 03 (EU Delegations) 0 0 0 0

01 01 01 01 (Indirect research) 0 0 0 0

01 01 01 11 (Direct research) 0 0 0 0

Other budget lines (specify) 0 0 0 0

EN 62 EN

• External staff (in full time equivalent units)

20 02 01 (AC, END from the ‘global envelope’) 0 0 0 0

20 02 03 (AC, AL, END and JPD in the EU Delegations) 0 0 0 0

Admin. Support line

[XX.01.YY.YY]

- at Headquarters 0 0 0 0

- in EU Delegations 0 0 0 0

01 01 01 02 (AC, END - Indirect research) 0 0 0 0

01 01 01 12 (AC, END - Direct research) 0 0 0 0

Other budget lines (specify) - Heading 7 0 0 0 0

Other budget lines (specify) - Outside Heading 7 0 0 0 0

TOTAL 0 0 0 0

The staff required to implement the proposal (in FTEs):

To be covered by

current staff

available in the

Commission

services

Exceptional additional staff*

To be financed

under Heading 7

or Research

To be financed

from BA line

To be financed

from fees

Establishment

plan posts

N/A

External staff

(CA, SNEs, INT)

*

Description of tasks to be carried out by:

EN 63 EN

Officials and temporary staff

External staff

3.2.5. Overview of estimated impact on digital technology-related investments

Compulsory: the best estimate of the digital technology-related investments entailed by the proposal/initiative should be included in the table

below.

Exceptionally, when required for the implementation of the proposal/initiative, the appropriations under Heading 7 should be presented in the

designated line.

The appropriations under Headings 1-6 should be reflected as “Policy IT expenditure on operational programmes”. This expenditure refers to

the operational budget to be used to re-use/ buy/ develop IT platforms/ tools directly linked to the implementation of the initiative and their

associated investments (e.g. licences, studies, data storage etc). The information provided in this table should be consistent with details

presented under Section 4 “Digital dimensions”.

TOTAL Digital and IT appropriations

Year Year Year Year TOTAL

MFF

2021 -

2027 2024 2025 2026 2027

HEADING 7

IT expenditure (corporate) 0.000 0.000 0.000 0.000 0.000

Subtotal HEADING 7 0.000 0.000 0.000 0.000 0.000

Outside HEADING 7

Policy IT expenditure on operational programmes

0.000 0.000 0.000 0.000 0.000

Subtotal outside HEADING 7 0.000 0.000 0.000 0.000 0.000

TOTAL 0.000 0.000 0.000 0.000 0.000

3.2.6. Compatibility with the current multiannual financial framework

The proposal/initiative:

EN 64 EN

–  can be fully financed through redeployment within the relevant heading of the multiannual financial framework (MFF)

–  requires use of the unallocated margin under the relevant heading of the MFF and/or use of the special instruments as defined in the

MFF Regulation

–  requires a revision of the MFF

3.2.7. Third-party contributions

The proposal/initiative:

–  does not provide for co-financing by third parties

–  provides for the co-financing by third parties estimated below:

Appropriations in EUR million (to three decimal places)

Year 2024

Year 2025

Year 2026

Year 2027

Total

Specify the co-financing body

TOTAL appropriations co-financed

3.3. Estimated impact on revenue

–  The proposal/initiative has no financial impact on revenue.

–  The proposal/initiative has the following financial impact:

–  on own resources

–  on other revenue

–  please indicate, if the revenue is assigned to expenditure lines

EUR million (to three decimal places)

EN 65 EN

Budget revenue line: Appropriations available for the

current financial year

Impact of the proposal/initiative42

Year 2024 Year 2025 Year 2026 Year 2027

Article ………….

For assigned revenue, specify the budget expenditure line(s) affected.

Not applicable for this proposal – no budgetary impact.

Other remarks (e.g. method/formula used for calculating the impact on revenue or any other information).

Not applicable for this proposal – no budgetary impact.

42 As regards traditional own resources (customs duties, sugar levies), the amounts indicated must be net amounts, i.e. gross amounts after deduction of 20% for collection

costs.

EN 66 EN

4. DIGITAL DIMENSIONS

4.1. Requirements of digital relevance

If the policy initiative is assessed as having no requirement of digital relevance, provide an explanation as to why digital means are not used

The proposal has no digital relevance, as it does not make any substantial changes to the existing data infrastructure. The existing EBA system

of notifications currently in place is expected to continue to be used for the purpose of collecting the data as requested under the Article 244(8)

and 245(7) of the proposal.

Otherwise, please list the requirements of digital relevance in the table below:

Reference to the

requirement Requirement description

Actor affected or

concerned by the

requirement

High-level

Processes Category

4.2. Data

EN 67 EN

High-level description of the data in scope and any related standards/specifications

Type of data Reference to the requirement(s) Standard and/or specification (if applicable)

Alignment with the European Data Strategy

Explain how the requirement(s) are aligned with the European Data Strategy

Alignment with the once-only principle

Explain how the once-only principle has been considered how the possibility to reuse existing data explored

Explain how newly created data is findable, accessible, interoperable and reusable, and meets high-quality standards

EN 68 EN

Data flows

Type of data Reference(s)

to the

requirement(s)

Actor who

provides the

data

Actor who

receives the

data

Trigger for the

data exchange

Frequency (if

applicable)

4.3 Digital Solutions

For each digital solution, please provide the reference to the requirement(s) of digital relevance concerning it, a description of the digital solution's

mandated functionality, the body that will be responsible for it, and other relevant aspects such as reusability and accessibility. Finally, explain

whether the digital solution intends to make use of AI technologies.

Digital solution

Reference(s)

to the

requirement(s)

Main mandated

functionalities Responsible body

How is

accessibility

catered for?

How is reusability

considered?

Use of AI

technologies

(if

applicable)

Digital

solution #1

Digital

solution #2

EN 69 EN

For each digital solution, explain how the digital solution complies with the requirements and obligations of the EU cybersecurity framework, and

other applicable digital policies and legislative enactments (such as eIDAS, Single Digital Gateway, etc.).

Digital solution #1

Digital and/or sectorial policy (when these are

applicable)

Explanation on how it aligns

AI Act

EU Cybersecurity framework

eIDAS

Single Digital Gateway and IMI

Others

Digital solution #2

Digital and/or sectorial policy (when these are

applicable)

Explanation on how it aligns

AI Act

EN 70 EN

EU Cybersecurity framework

eIDAS

Single Digital Gateway and IMI

Others

4.4 Interoperability assessment

Describe the digital public service(s) affected by the requirements

Digital public service

or category of digital

public services

Description Reference(s) to the

requirement(s)

Interoperable Europe

Solution(s)

(NOT APPLICABLE)

Other interoperability solution(s)

Digital public service

#1

//

Category of digital

public services

according to COFOG

#1

//

Assess the impact of the requirement(s) on cross-border interoperability

Digital public service #1

Assessment Measures Potential remaining barriers

Assess the alignment with existing

digital and sectorial policies

EN 71 EN

Please list the applicable digital and

sectorial policies identified

Assess the organisational measures for

a smooth cross-border digital public

services delivery

Please list the governance measures

foreseen

Assess the measures taken to ensure a

shared understanding of the data

Please list such measures

Assess the use of commonly agreed

open technical specifications and

standards

Please list such measures

4.5 Measures to support digital implementation

Description of the measure Reference(s) to the requirement(s) Commission role

(if applicable)

Actors to be

involved

(if applicable)

Expected timeline

(if applicable)

EN 72 EN

    Resolutsiooni liik: Riigikantselei resolutsioon Viide: Rahandusministeerium /  / ; Riigikantselei /  / 2-5/25-01318

Resolutsiooni teema: ELi väärtpaberistamise raamistiku muudatused

Adressaat: Rahandusministeerium Ülesanne: Tulenevalt Riigikogu kodu- ja töökorra seaduse § 152` lg 1 p 2 ning Vabariigi Valitsuse reglemendi § 3 lg 4 palun valmistada ette Vabariigi Valitsuse seisukoha ja otsuse eelnõu järgnevate algatuste kohta, kaasates seejuures olulisi huvigruppe ja osapooli:

- Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions as regards requirements for securitisation exposures, COM(2025) 825;

- Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL amending Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, COM(2025) 826.

EISi toimiku nr: 25-0390

Tähtaeg: 12.09.2025

Adressaat: [email protected], Majandus- ja Kommunikatsiooniministeerium Ülesanne: Palun esitada oma sisend Rahandusministeeriumile seisukohtade kujundamiseks antud eelnõu kohta (eelnõude infosüsteemi (EIS) kaudu).

Tähtaeg: 11.08.2025

Lisainfo: Eelnõu on kavas arutada valitsuse 25.09.2025 istungil ja Vabariigi Valitsuse reglemendi § 6 lg 6 kohaselt sellele eelneval nädalal (17.09.2025) EL koordinatsioonikogus. Esialgsed materjalid EL koordinatsioonikoguks palume esitada hiljemalt 12.09.2025.

Kinnitaja: Nele Grünberg, Euroopa Liidu asjade direktori asetäitja Kinnitamise kuupäev: 04.07.2025 Resolutsiooni koostaja: Elen Nurme [email protected], 693 5201  

.

04.07.2025

Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL amending Regulation (EU) No 575/2013

on prudential requirements for credit institutions as regards requirements for securitisation exposures

Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL

amending Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down

a general framework for securitisation and creating a specific framework for simple, transparent and standardised

securitisation

Otsuse ettepanek koordinatsioonikogule

Kujundada seisukoht

Kaasvastutaja sisendi tähtpäev 11.08.2025

KOKi esitamise tähtpäev 17.09.2025

VV esitamise tähtpäev 25.09.2025

Ettepaneku selgitus: Peavastutaja RAM. Kaasvastutajad MKM ja Eesti Pank

Seisukoha valitsusse toomise alus ja põhjendus

Algatuse vastuvõtmisega kaasneks oluline majanduslik või sotsiaalne mõju (RKKTS § 152¹ lg 1 p 2);

Sisukokkuvõte

Euroopa Komisjon esitas 17. juunil ettepanekud, et muuta ELi väärtpaberistamise raamistik lihtsamaks ja eesmärgipärasemaks. Kavandatud meetmete eesmärk on hõlbustada väärtpaberistamist ELis, tagades samal ajal jätkuvalt finantsstabiilsuse. Tugevam ja lihtsam väärtpaberistamise raamistik võib aidata suunata rohkem investeeringuid reaalmajandusse, toetades majanduskasvu, innovatsiooni ja töökohtade loomist kogu ELis. See läbivaatamine on esimene hoiuste ja investeeringute liidu (SIU) strateegia raames esitatud seadusandlik algatus.

2

Muudatused nähakse ette väärtpaberistamise määruses, millega on kehtestatud nõuded, mida kohaldatakse kõigi väärtpaberistamise tehingutes osalevate isikute suhtes. Eesmärk on vähendada ELi väärtpaberistatud toodete emitentide ja investorite suuri tegevuskulusid ning lihtsustada teatavaid hoolsuskohustuse ja läbipaistvuse nõudeid. Teiseks tehakse ettepanek muuta kapitalinõuete määrust, millega on määratud kindlaks pankade usaldatavusraamistik ja see, kui palju kapitali peavad pangad väärtpaberistamise positsioonide puhul hoidma. Nende muudatuste eesmärk on suurendada väärtpaberistatud tooteid emiteerivate pankade usaldatavusraamistikku riskitundlikkust.

Kas EL algatus reguleerib karistusi või haldustrahve? Ei

Kas nähakse ette uue asutuse loomine (järelevalvelised või muud asutused)? Ei

Kas lahenduse rakendamine vajab IT-arendusi? Ei

Eesmärgid

Eesmärk on elavdada väärtpaberistamist ELis, tagades samal ajal jätkuvalt finantsstabiilsuse.

Mõju ja sihtrühm

Mõju valdkonnad

Majandus

Ettevõtlus

Sihtrühm: Pangandussektor ja investorid.

Mõju sihtrühmale: Eeldatavalt suureneks pankade võimalused pakkuda usaldusväärseid väärtpaberistamise tooteid, mis võimaldaks investoritel rohkem investeerida toetades seeläbi üldist majanduskasvu.

Kaasamine

Finantsinspektsioon, Eesti Pangaliit, Eesti Kindlustusseltside Liit, FinanceEstonia.