Brussels, 18 November 2015
WK 147/2015 INIT
LIMITE
EF
ECOFIN
SURE
WORKING PAPER
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WORKING DOCUMENT
From:
Presidency
To:
Working Party on Financial Services - Securitisation
N° prev. doc.:
WK 134/2015
WK 136/2015
N° Cion doc.:
COM(2015) 473 FINAL
Subject:
Rationale of the changes introduced in the Presidency compromise proposal for the
CRR
WK 147/2015 INIT
LIMITE EN
WORKING DOCUMENT #7
Securitisation
Working Party on Financial Services
FROM: Presidency
Meeting of the Council Working Party on Financial Services (Securitisation)
20th November 2015 (10:00)
RATIONALE FOR CHANGES
Recital 9
Clarification that the definition of “promotional bank” is indeed
much broader than credit institutions;
Art. 134(6)
It is proposed to amend Art. 134(6) CRR to align it with paragraph
208 of the BCBS Framework;
Art. 153(7)
The proposed amendment clarifies the revised Art. 153(7) CRR in
order to better align it with paragraphs 371 and 372 of the BCBS
Securitisation Framework (December 2014) (“BCBS Framework”);
Art. 154(6)
1) “corporate” has been deleted from “For purchased corporate
receivables” and replaced with “For purchased retail receivables”
as Art. 154(6) CRR deals with retail exposures;
2) The proposed amendment clarifies the revised Art. 154(6) CRR
in order to better align it with paragraphs 371 and 372 of the
Securitisation Framework;
Art. 242
Definitions added/changed for consistency or clarification
purposes. Art. 242(8) is deleted as it is not used in the text. The
definition in Art. 242(10) is already in the CRR under Art.
4(1)(65). The definition of “promotional bank” is added;
Art.
242
(new Addition of a clarification as regard several positions with
subparagraph)
different maturities, sharing losses on a pro-rata basis;
Art. 243(1)
In line with the amendment to the definition of “STS
securitization”, it is proposed to clarify the purpose of the criteria
set forth in Art. 243 (namely, to benefit from the preferential
treatment under Art. 260, 262 and 264 CRR);
Art. 243(1)(a)
1) As the term “origination” may be subject to interpretation, it is
proposed to clarify that the underlying exposures shall meet the
relevant conditions “at the time the exposures were added to
the ABCP programme”. This amendment, hence, ensures
consistency with Art. 243(1)(b);
2) Iit is also proposed to insert “would” after “meet the
conditions for being assigned” the relevant rating. The purpose is
to factor in situations where the underlying exposures are
originated by corporates;
Art. 243(1)(aa)
A new wording is added to take into account the prominent role
of the sponsor in ABCP;
Art. 243(1)(b)
The wording provides that, with respect to trade receivables, the
concentration rule set forth in subparagraph 1 of Art. 243(1)(b)
applies at transaction level (and not at programme level).
According to market practice, it appears that applying a
concentration rule at the level of the ABCP programme would be
difficult or impossible;
Art. 243(2)
See amendment for Art. 243(1);
Art. 243(2)(a)
For the sake of consistency with Art. 5a of the STS Regulation –
which does not specifically refer to Art. 79 CRDIV but takes a
principle basis approach – it is proposed to replace “as required
under Article 79” of CRDIV by “having regard to the criteria set
forth in Article 79 CRDIV”;
Art. 243(2)(c)
In line with the amendment made under Art. 243(1)(a), it is
proposed to insert “would” before “meet the conditions for
being assigned” the relevant rating. The purpose is to factor in
situations where the underlying exposures are originated by
corporates;
Art. 244(1)
Alignment of the wording with Art. 247(1)(a);
Art. 244(2) first
Due to the change in the definition of “mezzanine tranche”, it
subparagraph (b) and
was flagged that some securitizations will no longer be able to
second subparagraph (a)
proceed to a SRT under Art. 244(2)(b). It is proposed to delete
the condition relating to the absence of mezzanine position in
the securitization;
Art. 244(2) last
Alignment with current CRR requirements. Originators should
subparagraph (b)
not be forced to transfer tranches with low risk weights;
Art. 244(3)
Amendment for clarification purposes;
Art. 244(4)(c)
Correction of cross-reference;
Art. 244(4)(h)
Amendment in line with current CRR. Reference to points (b) to
(g) is too broad, as a qualified legal counsel would not be able to
confirm all those elements;
Art. 245(1)
Alignment of the wording with Art. 247(1)(b);
Art. 245(2)(b)
Alignment to Art. 244(2);
Art. 245(4)(g)
Amendment in line with current CRR. Reference to points (b) to
(f) is too broad as qualified legal counsels would not be able to
confirm all those elements;
Art. 245(5)
Correction of reference;
Art. 246
Editorial changes;
Art. 247(1)
It is proposed to make a cross-reference to Art. 5a of the STS
Regulation in Art. 247(1) given that, according to the currently
existing Art. 408 CRR, the fulfilment of the credit granting criteria
is a condition to the application of the significant risk transfer
treatment;
Art. 247(2)
Amendment for clarification purposes;
Art. 248(1)
Editorial change;
Art. 248(1)(a)
Amendment for clarification purposes;
Art. 248(1)(b)
In line with current CRR, introduction of Art. 255(2) CRR. In
addition, the competent authority would allow institutions to
apply the specified conversion factor;
Art. 248(1a)
In line with current CRR, introduction of the conditions set forth
in Art. 255(1) CRR.
Art. 248(1)(d)
Alignment with paragraph 37 of the BCBS Framework;
Art. 249(5)
Correction of reference;
Art. 249(6) and (7)
Clarification concerning partial credit protection on a pro-rata
basis;
Art. 249(9)
Amendment for clarification purposes;
Art. 249(10)
The clarification was requested to ensure alignment with
paragraph 105 of the BCBS Framework;
Art. 251(1)
Alignment of the wording with Art. 247;
Art. 254
In line with comments from the vast majority of MSs, the
Presidency has further developed Option 3. Pending further
evidence, the threshold remains unchanged. The empowerment
of the Commission to change the threshold has been narrowly
framed. The wording clarifies the power of competent
authorities to require banks to apply the SEC-ERBA;
Art. 254(2)(a)
Editorial change;
Art. 254(4)
The proposed amendment clarifies that cherry picking is not
possible;
Art. 255(2)
Amendment for clarification and consistency;
Art. 255(3)(b)
Editorial change;
Art. 255(7)
Editorial change;
Art. 255(9)
Paragraph added to provide for a RTS in order to further detail
the use of the top-down approach in line with paragraph 50c of
the BCBS Framework;
Art. 256(1)
Clarification since the ratio is by definition always greater than
zero. Editorial change for better clarity;
Art. 256(2)
Clarification since the ratio is by definition always greater than
zero. Editorial change for better clarity;
Art. 256(4)
Editorial change;
Art. 256(5)
Clarification for time-tranched positions, in line with Art. 242;
Art. 257
Editorial changes;
Art. 257(1)(a)
Amendment for clarification regarding exposure-weighted
average maturity;
Art. 257(2)
Given that all securitisations are dependent on performance of
the underlying exposures, an average weighted maturity would
never be used;
Art. 258(1)(b)
Alignment with BCBS framework, which does not require the
availability of
public information;
Art. 258(2)(a)
Alignment with paragraph 15 of the BCBS framework;
Art. 258(2)(b) and (c)
Editorial changes;
Art. 259(1)
Editorial changes;
Art. 259(1)
Amendment for clarification regarding exponential function;
Art. 259(1)
For the sake of coherence;
Art. 259(2)
Alignment with the BCBS framework;
Art. 259(6)
Amendment for clarification;
Art. 259(7)
Amendment for the sake of consistency with Art. 258(1)(a), and
other amendment for clarification;
Art. 259(8)
Alignment with the BCBS framework concerning derivatives to
include only market risk hedges;
Art. 260
Editorial changes;
Art. 261
Editorial changes;
Art. 261(5)
Alignment with the BCBS framework;
Art. 261(8)
Treatment of derivatives was missing under SEC-ERBA. New
paragraph is consistent with 259(8);
Art. 262
Editorial changes;
Art. 263(1)
For clarification;
Art. 263(2)
Editorial change;
Art. 263(3)
Alignment with Art 259(8);
Art. 265(1)
Alignment of the wording with Art. 254(4);
Art. 265(2)
For the sake of legal certainty and in line with current CRR
wording;
Art. 265(2)(ba)
Alignment with paragraph 8 of the BCBS Framework;
Art. 267(1)
For clarification;
Art. 267(2)
For clarification;
Art. 267(3)
For clarification and consistency of terminology;
Art. 268(3)
For clarification as the notion of “p factor” is already used
elsewhere;
Art. 269(1)
Editorial change;
Art. 270a(2)
Given that the RTS already exists, the deadline has been
eliminated;
Art. 270c
The wording is clarified to take into consideration the case of
revolving securitisations;
Art. 270e
Given that the RTS already exists, the deadline has been
eliminated;
Art. 456(1)
Deleted in line with MS comments;
Art. 519a
For clarification, amendments to the CRR may have to be done to
align to the BCBS rules in the future.