Brussels, 25 November 2015
Interinstitutional files:
2015/0225 (COD)
WK 167/2015 INIT
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WORKING PAPER
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WORKING DOCUMENT
From:
Presidency
To:
Working Party on Financial Services - Securitisation
N° prev. doc.:
14496/15
N° Cion doc.:
COM(2015) 473 final
Subject:
Securitisation - Presidency non-paper on the rationale for changes included in the
second compromise proposal for the CRR
WK 167/2015 INIT
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Meeting of the Council Working Party on Financial Services (Securitisation)
26th November 2015 (10:00)
RATIONALE FOR CHANGES
Recital 1
Wording added for completeness purposes;
Recital 4
Editorial changes;
Recital 6
Wording added for clarification purposes;
Recital 8
The EBA report has been published on 7 July 2015;
Recital 9
In line with the definition of “promotional entity” in Art. 242
(23);
Recital 11
Recital deleted as a result of the deletion of the Commission
Delegated Act under the former Art. 456(1)(k);
Recital 12
Amendment for clarification purposes as all the applicable
provisions of CRR (and not only the capital requirements) will
remain applicable for grandfathered securitisations;
Art. 242(23)
Amendment to accommodate the promotional bank/entity
models in certain MS where only guarantees are granted by the
promotional bank/entity (but no loans) and/or where such
promotional bank/entity could, in certain cases, make some
profits. Given that the definition is not limited to “banks”, it is
proposed to replace “promotional bank” (which is misleading) by
“promotional entity”;
Art. 243(1)(a)
Amendment inserted to clarify that the obligation applies to the
originator/original lender (rather than the sponsor who has a
more distant relationship to the obligor) and to take into
consideration situations where the originator/original lender are
not credit institutions;
Art. 243(1)(aa)
Clarification that where an institution uses the RW assigned to a
liquidity facility to calculate the RW exposure amount for an
ABCP according to Art. 248(3), such institution may use the risk
weight of the liquidity facility to verify whether the condition of
Art. 243(1)(a) is met;
Art. 243(1)(b)
1) Reverting to the Commission’s original drafting by referring to
“ABCP programme” instead of “ABCP transaction”. The wording
is now in line again with the EBA report;
2) Amendment to reflect the concern raised by a MS that the
information as to the clients’ connectedness in an ABCP
programme may be difficult to verify in certain cases;
3) Amendment to reflect the concern raised by a Member State
asking that overcollateralization be taken into account when
assessing the concentration limit;
Art. 243(2) last sub-
Amendment inserted to reflect the concern raised by a MS that
paragraph
when higher RW or stricter criteria have been applied according
to Art. 124(2) in relation to exposures secured by mortgage on
residential and commercial properties, such RW shall not be
taken into consideration for the purpose of Art. 243(2)(c);
Art. 244(2)
Reverting to the Commission’s original proposal as it is necessary
to ensure that a significant part of the mezzanine risk is
transferred. The approach proposed in paragraph 2(b) is a
fallback when the approach in paragraph 2(a) cannot be applied.
The grandfathering provisions of Art. 2 for outstanding
securitisation positions in those MS where the previous version
of Art. 244(2)(b) would have been preferable, should provide
sufficient time for the market to adjust;
Art. 245(2)(b)
In line with Art. 244(2).
Art. 254(1) and (2)
1) Editorial changes;
2) The wording was requested in point (b) to take into
consideration the fact that the IAA needs to be part of the
hierarchy. According to the December 2014 Basel framework,
the IAA is on the same level as SEC-ERBA;
Art. 254(3)
1) Insertion of a reference to the powers of competent
authorities under Pillar II;
2) Deletion of the paragraph giving designated authorities the
power to impose SEC-ERBA instead of SEC-SA for macro-
prudential purposes.
Art. 256 (5)
Editorial changes.
Art. 257(2)
It is proposed to delete as agreed during the 20 November
meeting.
Art. 259(1)
The definition of exponential function is self-explanatory and is
deleted;
Art. 263(1)
Alignment to Art. 259(1);
Art. 267(2)
Editorial changes.
Art. 267(3)
“multiplied by 12.5” should be moved at the level of the
numerator. The reason is:
1) Capital ratio = Expected losses (EL) / Exposure value at
default (EV)
2) Risk weight = capital ratio * 12.5
3) Hence, the formula should be RW = (EL / EV) * 12.5 (and
not EL / (EV * 12.5);
Art. 268
Editorial changes.
Art. 519a CRR
Based on the comments received from MS, it is proposed that
the Commission’s report shall be issued no later than 2 years
from the date of entry into force of this Regulation (instead of 3
years);