Amendments to Delegated Regulation (EU) 2015/35
Article 1
Open ↗Delegated Regulation (EU) 2015/35 is amended as follows: (1) Article 1 is amended as follows: (a) the following points 18a and 18b are inserted: ‘18a. “securitisation” means a transaction or scheme as defined in Article 2(1) of Regulation (EU) 2017/2402 ( *1 ) ; 18b. “STS securitisation” means a securitisation designated “simple, transparent and standardised” or “STS” in accordance with the requirements set out in Article 18 of Regulation (EU) 2017/2402; ( *1 ) 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 ).’;" (b) point 19 is replaced by the following: ‘19. “securitisation position” means a securitisation position within the meaning of Article 2(19) of Regulation (EU) 2017/2402;’; (c) the following point 19a is inserted: ‘19a. “senior securitisation position” means a senior securitisation position within the meaning of Article 242(6) of Regulation (EU) No 575/2013 ( *2 ) ; ( *2 ) 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 ).’;" (d) points 20 to 23 are replaced by the following: ‘20. “re-securitisation position” means an exposure to a re-securitisation within the meaning of Article 2(4) of Regulation (EU) 2017/2402; 21. “originator” means an originator within the meaning of Article 2(3) of Regulation (EU) 2017/2402; 22. “sponsor” means a sponsor within the meaning of Article 2(5) of Regulation (EU) 2017/2402; 23. “tranche” means tranche within the meaning of Article 2(6) of Regulation (EU) 2017/2402;’; (2) in Article 4, paragraph 6 is replaced by the following: ‘6. For the purposes of paragraph 5, the larger or more complex exposures of an undertaking shall include securitisation positions as referred to in Article 178(8) and (9) and re-securitisation positions.’; (3) Article 177 is deleted; (4) Article 178 is replaced by the following: ‘Article 178 Spread risk on securitisation positions: calculation of the capital requirement 1. The capital requirement SCR securitisation for spread risk on securitisation positions shall be equal to the loss in the basic own funds that would result from an instantaneous relative decrease of stress i in the value of each securitisation position i . 2. The risk factor stress i shall depend on the modified duration denominated in years ( dur i ). dur i shall not be lower than 1 year. 3. Senior STS securitisation positions which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013 and for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i depending on the credit quality step and the modified duration of the securitisation position i , as set out in the following table: Credit quality step 0 1 2 3 4 5 and 6 Duration stress i a i b i a i b i a i b i a i b i a i b i a i b i ( dur i ) up to 5 b i · dur i — 1,0 % — 1,2 % — 1,6 % — 2,8 % — 5,6 % — 9,4 % More than 5 and up to 10 a i + b i · ( dur i – 5) 5,0 % 0,6 % 6,0 % 0,7 % 8,0 % 0,8 % 14,0 % 1,7 % 28,0 % 3,1 % 47,0 % 5,3 % More than 10 and up to 15 a i + b i · ( dur i – 10) 8,0 % 0,6 % 9,5 % 0,5 % 12,0 % 0,6 % 22,5 % 1,1 % 43,5 % 2,2 % 73,5 % 0,6 % More than 15 and up to 20 a i + b i · ( dur i – 15) 11,0 % 0,6 % 12,0 % 0,5 % 15,0 % 0,6 % 28,0 % 1,1 % 54,5 % 0,6 % 76,5 % 0,6 % More than 20 min[ a i + b i · ( dur i – 20);1] 14,0 % 0,6 % 14,5 % 0,5 % 18,0 % 0,6 % 33,5 % 0,6 % 57,5 % 0,6 % 79,5 % 0,6 % 4. Non-senior STS securitisation positions which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013 and for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i depending on the credit quality step and the modified duration of the securitisation position i , as set out in the following table: Credit quality step 0 1 2 3 4 5 and 6 Duration stress i a i b i a i b i a i b i a i b i a i b i a i b i ( dur i ) up to 5 min[ b i · dur i ;1] — 2,8 % — 3,4 % — 4,6 % — 7,9 % — 15,8 % — 26,7 % More than 5 and up to 10 min[ a i + b i · ( dur i – 5);1] 14,0 % 1,6 % 17,0 % 1,9 % 23,0 % 2,3 % 39,5 % 4,7 % 79,0 % 8,8 % 100,0 % 0,0 % More than 10 and up to 15 a i + b i · ( dur i – 10) 22,0 % 1,6 % 26,5 % 1,5 % 34,5 % 1,6 % 63,0 % 3,2 % 100,0 % 0,0 % 100,0 % 0,0 % More than 15 and up to 20 a i + b i · ( dur i – 15) 30,0 % 1,6 % 34,0 % 1,5 % 42,5 % 1,6 % 79,0 % 3,2 % 100,0 % 0,0 % 100,0 % 0,0 % More than 20 min[ a i + b i · ( dur i – 20);1] 38,0 % 1,6 % 41,5 % 1,5 % 50,5 % 1,6 % 95,0 % 1,6 % 100,0 % 0,0 % 100,0 % 0,0 % 5. Senior STS securitisation positions which fulfil the criteria set out in Article 243 of Regulation (EU) No 575/2013 and for which no credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i depending on the modified duration of the securitisation position i , as set out in the following table: Duration stress i a i b i ( dur i ) up to 5 b i · dur i — 4,6 % More than 5 and up to 10 a i + b i · ( dur i – 5) 23 % 2,5 % More than 10 and up to 15 a i + b i · ( dur i – 10) 35,5 % 1,8 % More than 15 and up to 20 a i + b i · ( dur i – 15) 44,5 % 0,5 % More than 20 min[ a i + b i · ( dur i – 20);1] 47 % 0,5 % 6. Non-senior STS securitisation positions which fulfil the criteria set out in Article 243 of Regulation (EU) No 575/2013 and for which no credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i equivalent to credit quality step 5 and depending on the modified duration of the exposure, as set out in the table in paragraph 3. 7. Re-securitisation positions for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i equal to the following formula: stress i = min( b i · dur i ;1) where b i shall be assigned depending on the credit quality step of re-securitisation position i , as set out in the following table: Credit quality step 0 1 2 3 4 5 6 b i 33 % 40 % 51 % 91 % 100 % 100 % 100 % 8. Securitisation positions not covered by paragraphs 3 to 7, for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i equal to the following formula: stress i = min( b i · dur i ;1) where b i shall be assigned depending on the credit quality step of securitisation position i , as set out in the following table: Credit quality step 0 1 2 3 4 5 6 b i 12,5 % 13,4 % 16,6 % 19,7 % 82 % 100 % 100 % 9. Securitisation positions not covered by paragraphs 3 to 8, shall be assigned a risk factor stress i of 100 %.’; (5) the following Article 178a is inserted: ‘Article 178a Spread risk on securitisation positions: transitional provisions 1. Notwithstanding Article 178(3), securitisations issued before 1 January 2019 that qualify as type 1 securitisations in accordance with Article 177(2) in the version in force on 31 December 2018 shall be assigned a risk factor stress i in accordance with Article 178(3) even where those securitisations are not STS securitisations which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013. 2. Paragraph 1 shall apply only in circumstances where no new underlying exposures were added or substituted after 31 December 2018. 3. Notwithstanding Article 178(3), securitisations issued before 18 January 2015 that qualify as type 1 securitisations in accordance with Article 177(4) in the version in force on 31 December 2018 shall be assigned a risk factor stress i in accordance with Articles 177 and 178 in the version in force on 31 December 2018. 4. Notwithstanding Article 178(3), securitisations issued before 1 January 2019 that qualify as type 1 securitisations in accordance with Article 177(5) in the version in force on 31 December 2018 shall, until 31 December 2025, be assigned a risk factor stress i in accordance with Articles 177 and 178 in the version in force on 31 December 2018.’; (6) Article 180 is amended as follows: (a) paragraph 10 is replaced by the following: ‘10. STS securitisation positions which fulfil the criteria set out in Article 243 of Regulation (EU) No 575/2013 and which are fully, unconditionally and irrevocably guaranteed by the European Investment Fund or the European Investment Bank, where the guarantee meets the requirements set out in Article 215, shall be assigned a risk factor stress i of 0 %.’; (b) the following paragraph 10a is inserted: ‘10a. Notwithstanding paragraph 10, securitisations issued before 1 January 2019 that qualify as type 1 securitisations in accordance with paragraph 10 in the version in force on 31 December 2018 shall be assigned a risk factor stress i of 0 % even where those securitisations are not STS securitisations which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013.’; (7) Articles 254, 255 and 256 are deleted; (8) Article 257 is amended as follows: (a) paragraphs 1 and 2 are replaced by the following: ‘1. Where insurance and reinsurance undertakings become aware that the originator, sponsor or original lender fails to comply with the requirements set out in Article 6 of Regulation (EU) 2017/2402, or insurance or reinsurance undertakings become aware that the requirements set out in Article 5(1), (2) and (3) of that Regulation are not being complied with, they shall inform the supervisory authority immediately. 2. Where the requirements in Article 5(1), (2) and (3) of Regulation (EU) 2017/2402 are not fulfilled in any respect by reason of the negligence or omission of the insurance or reinsurance undertaking, the supervisory authority shall impose a proportionate increase to the Solvency Capital Requirement in accordance with paragraph 3 of this Article.’; (b) paragraphs 4 and 5 are replaced by the following: ‘4. The risk factors shall be progressively increased with each subsequent breach of the requirements set out in Article 5 of Regulation (EU) 2017/2402. 5. Where insurance and reinsurance undertakings fail to comply with any requirement set out in Article 5(4) of Regulation (EU) 2017/2402, by reason of their negligence or omission, the supervisory authorities shall assess whether that failure should be considered a significant deviation from the undertaking's system of governance as referred to in Article 37(1)(c) of Directive 2009/138/EC.’.