# Official Journal L 227/2018

| | ISSN 1977-0677 |
| --- | --- |
| Official Journal
  of the European Union | L 227 |
| | |
| English edition | Legislation | Volume 6110 September 2018 |

ISSN 1977-0677

Official Journal

of the European Union

L 227

English edition

Legislation

Volume 6110 September 2018

---

| Contents | | II   Non-legislative acts | page |
| --- | --- | --- | --- |
| | | REGULATIONS |
| | * | Commission Delegated Regulation (EU) 2018/1221 of 1 June 2018 amending Delegated Regulation (EU) 2015/35 as regards the calculation of regulatory capital requirements for securitisations and simple, transparent and standardised securitisations held by insurance and reinsurance undertakings (
  1
  ) | 1 |
| | | DECISIONS |
| | * | Commission Decision (EU) 2018/1222 of 5 September 2018 on the proposed citizens' initiative entitled End the Cage Age
  (notified under document C(2018) 5829) | 7 |

Contents

II   Non-legislative acts

page

REGULATIONS

*

Commission Delegated Regulation (EU) 2018/1221 of 1 June 2018 amending Delegated Regulation (EU) 2015/35 as regards the calculation of regulatory capital requirements for securitisations and simple, transparent and standardised securitisations held by insurance and reinsurance undertakings (
  1
  )

1

1

DECISIONS

*

Commission Decision (EU) 2018/1222 of 5 September 2018 on the proposed citizens' initiative entitled End the Cage Age
  (notified under document C(2018) 5829)

(notified under document C(2018) 5829)

7

| | |
| --- | --- |
| | (1)   Text with EEA relevance. |

---

(1)   Text with EEA relevance.

1

| EN | Acts whose titles are printed in light type are those relating to day-to-day management of agricultural matters, and are generally valid for a limited period.
  The titles of all other Acts are printed in bold type and preceded by an asterisk. |
| --- | --- |

EN

Acts whose titles are printed in light type are those relating to day-to-day management of agricultural matters, and are generally valid for a limited period.

The titles of all other Acts are printed in bold type and preceded by an asterisk.

---

II Non-legislative acts

REGULATIONS

| 10.9.2018 | EN | Official Journal of the European Union | L 227/1 |
| --- | --- | --- | --- |

10.9.2018

EN

Official Journal of the European Union

L 227/1

---

COMMISSION DELEGATED REGULATION (EU) 2018/1221

of 1 June 2018

amending Delegated Regulation (EU) 2015/35 as regards the calculation of regulatory capital requirements for securitisations and simple, transparent and standardised securitisations held by insurance and reinsurance undertakings

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (1), and in particular Article 111(1)(c) and Article 135(2) thereof,

Whereas:

| (1) | A well-functioning securitisation market provides additional funding sources to capital markets, thus improving the funding capacity of the real economy and contributing to completing the Capital Markets Union. In addition, a well-functioning securitisation market provides alternative investment opportunities to insurance and reinsurance undertakings, which need to diversify their portfolios in a low yield environment. As institutional investors, insurance and reinsurance undertakings should therefore be fully integrated into the Union's securitisation market. |
| --- | --- |

(1)

A well-functioning securitisation market provides additional funding sources to capital markets, thus improving the funding capacity of the real economy and contributing to completing the Capital Markets Union. In addition, a well-functioning securitisation market provides alternative investment opportunities to insurance and reinsurance undertakings, which need to diversify their portfolios in a low yield environment. As institutional investors, insurance and reinsurance undertakings should therefore be fully integrated into the Union's securitisation market.

| (2) | To ensure a sound recovery of the Union's securitisation market, a new regulatory framework for securitisation was laid down, based on lessons learned during the financial crisis. Regulation (EU) 2017/2402 of the European Parliament and of the Council (2) lays down the substantive elements of an overarching securitisation framework, with criteria to identify simple, transparent and standardised (‘STS’) securitisations and a system of supervision to monitor the correct application of those criteria by originators, sponsors, issuers and institutional investors. Furthermore, that Regulation provides for a set of common requirements in relation to risk retention, due diligence and disclosure for all financial services sectors. In addition, Regulation (EU) 2017/2401 of the European Parliament and of the Council (3) amends, with effect from 1 January 2019, Regulation (EU) No 575/2013 of the European Parliament and of the Council (4) to provide for revised prudential requirements for credit institutions and investment firms originating, sponsoring or investing in securitisations, in particular revised capital requirements for investments in STS securitisation. |
| --- | --- |

(2)

To ensure a sound recovery of the Union's securitisation market, a new regulatory framework for securitisation was laid down, based on lessons learned during the financial crisis. Regulation (EU) 2017/2402 of the European Parliament and of the Council (2) lays down the substantive elements of an overarching securitisation framework, with criteria to identify simple, transparent and standardised (‘STS’) securitisations and a system of supervision to monitor the correct application of those criteria by originators, sponsors, issuers and institutional investors. Furthermore, that Regulation provides for a set of common requirements in relation to risk retention, due diligence and disclosure for all financial services sectors. In addition, Regulation (EU) 2017/2401 of the European Parliament and of the Council (3) amends, with effect from 1 January 2019, Regulation (EU) No 575/2013 of the European Parliament and of the Council (4) to provide for revised prudential requirements for credit institutions and investment firms originating, sponsoring or investing in securitisations, in particular revised capital requirements for investments in STS securitisation.

| (3) | To the extent that the revised legislative framework for securitisation overlaps with the scope of provisions laid down in Commission Delegated Regulation (EU) 2015/35 (5), it is necessary, in order to avoid double regulation and for reasons of clarity and consistency, to adapt the prudential framework applicable to insurance and reinsurance undertakings. |
| --- | --- |

(3)

To the extent that the revised legislative framework for securitisation overlaps with the scope of provisions laid down in Commission Delegated Regulation (EU) 2015/35 (5), it is necessary, in order to avoid double regulation and for reasons of clarity and consistency, to adapt the prudential framework applicable to insurance and reinsurance undertakings.

| (4) | Regulation (EU) 2017/2402 sets out definitions of several concepts related to securitisation. As that Regulation applies to insurance and reinsurance undertakings falling within the scope of Directive 2009/138/EC it is appropriate, for the purposes of defining concepts that are also defined in Regulation (EU) 2017/2402, to refer in Delegated Regulation (EU) 2015/35 to the relevant definitions laid down in Regulation (EU) 2017/2402. For the same reasons, insofar as requirements related to risk retention and due diligence are set out in Regulation (EU) 2017/2402 for all institutional investors, such requirements should be deleted from Delegated Regulation (EU) 2015/35. |
| --- | --- |

(4)

Regulation (EU) 2017/2402 sets out definitions of several concepts related to securitisation. As that Regulation applies to insurance and reinsurance undertakings falling within the scope of Directive 2009/138/EC it is appropriate, for the purposes of defining concepts that are also defined in Regulation (EU) 2017/2402, to refer in Delegated Regulation (EU) 2015/35 to the relevant definitions laid down in Regulation (EU) 2017/2402. For the same reasons, insofar as requirements related to risk retention and due diligence are set out in Regulation (EU) 2017/2402 for all institutional investors, such requirements should be deleted from Delegated Regulation (EU) 2015/35.

| (5) | Regulation (EU) 2017/2402 sets qualifying criteria for STS securitisations in order to provide a harmonised definition of a higher quality securitisation product for Union capital markets. The ‘type 1 securitisation’ asset category in Delegated Regulation (EU) 2015/35 was created to achieve a similar objective for insurance and reinsurance undertakings, with comparable qualifying criteria. To ensure consistency and a level playing field on the securitisation market, the general provisions on the ‘type 1 securitisation’ asset category should be deleted from Delegated Regulation (EU) 2015/35 and reference should instead be made to the relevant provisions on STS securitisation laid down in Regulation (EU) 2017/2402. In order to avoid those amendments leading to adverse effects, transitional measures should be provided for with respect to existing assets falling within the ‘type 1 securitisation’ category. |
| --- | --- |

(5)

Regulation (EU) 2017/2402 sets qualifying criteria for STS securitisations in order to provide a harmonised definition of a higher quality securitisation product for Union capital markets. The ‘type 1 securitisation’ asset category in Delegated Regulation (EU) 2015/35 was created to achieve a similar objective for insurance and reinsurance undertakings, with comparable qualifying criteria. To ensure consistency and a level playing field on the securitisation market, the general provisions on the ‘type 1 securitisation’ asset category should be deleted from Delegated Regulation (EU) 2015/35 and reference should instead be made to the relevant provisions on STS securitisation laid down in Regulation (EU) 2017/2402. In order to avoid those amendments leading to adverse effects, transitional measures should be provided for with respect to existing assets falling within the ‘type 1 securitisation’ category.

| (6) | The calibration of the Solvency Capital Requirement pursuant to Directive 2009/138/EU is risk-based and is intended to provide the right incentives across the different forms of securitisation investments. In order to achieve that objective, the level of the calibration and the risk sensitivity across tranches should be commensurate with the features of STS securitisation, and consistent with the prudential requirements developed for credit institutions and investment firms. Therefore, the existing provisions of Delegated Regulation (EU) 2015/35 on calibration for ‘type 1 securitisation’ should be replaced by a more risk-sensitive calibration for STS securitisation covering all possible tranches that also meet additional requirements in order to minimise risks. |
| --- | --- |

(6)

The calibration of the Solvency Capital Requirement pursuant to Directive 2009/138/EU is risk-based and is intended to provide the right incentives across the different forms of securitisation investments. In order to achieve that objective, the level of the calibration and the risk sensitivity across tranches should be commensurate with the features of STS securitisation, and consistent with the prudential requirements developed for credit institutions and investment firms. Therefore, the existing provisions of Delegated Regulation (EU) 2015/35 on calibration for ‘type 1 securitisation’ should be replaced by a more risk-sensitive calibration for STS securitisation covering all possible tranches that also meet additional requirements in order to minimise risks.

| (7) | The entry into application of the revised framework should not adversely affect the existing investments in securitisation, in particular for those institutional investors which have maintained some investments despite the financial crisis. Therefore, transitional measures should be laid down. |
| --- | --- |

(7)

The entry into application of the revised framework should not adversely affect the existing investments in securitisation, in particular for those institutional investors which have maintained some investments despite the financial crisis. Therefore, transitional measures should be laid down.

| (8) | In light of the application dates of Regulation (EU) 2017/2402 and Regulation (EU) 2017/2401 as well as the transitional provisions contained in those pieces of legislation, it is important to ensure that this Regulation becomes applicable on the same date, on 1 January 2019. |
| --- | --- |

(8)

In light of the application dates of Regulation (EU) 2017/2402 and Regulation (EU) 2017/2401 as well as the transitional provisions contained in those pieces of legislation, it is important to ensure that this Regulation becomes applicable on the same date, on 1 January 2019.

| (9) | Delegated Regulation (EU) 2015/35 should therefore be amended accordingly, |
| --- | --- |

(9)

Delegated Regulation (EU) 2015/35 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Amendments to Delegated Regulation (EU) 2015/35

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); |
| --- | --- | --- | --- |

(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);

*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; |
| --- | --- |

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).’;"

*1

| (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;’; |
| --- | --- | --- |

(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); |
| --- | --- | --- |

(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

(*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).’;"

*2

| (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; |
| --- | --- | --- |

(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; |
| --- | --- |

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; |
| --- | --- |

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;’; |
| --- | --- |

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.’; |
| --- | --- |

(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; |
| --- | --- |

(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 SCRsecuritisation
  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 stressi
  in the value of each securitisation position i.


  2.   The risk factor stressi
  shall depend on the modified duration denominated in years (duri
  ). duri
  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 stressi
  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 | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi |
| (duri
  ) |
| up to 5 | bi
  · duri | — | 1,0 % | — | 1,2 % | — | 1,6 % | — | 2,8 % | — | 5,6 % | — | 9,4 % |
| More than 5 and up to 10 | ai
  - bi
  · (duri
  – 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 | ai
  - bi
  · (duri
  – 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 | ai
  - bi
  · (duri
  – 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[ai
  - bi
  · (duri
  – 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)

Article 178 is replaced by the following:

‘Article 178

Spread risk on securitisation positions: calculation of the capital requirement

1.   The capital requirement SCRsecuritisation
  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 stressi
  in the value of each securitisation position i.

2.   The risk factor stressi
  shall depend on the modified duration denominated in years (duri
  ). duri
  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 stressi
  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

ai

bi

ai

bi

ai

bi

ai

bi

ai

bi

ai

bi

(duri
  )

up to 5

bi
  · duri

—

1,0 %

—

1,2 %

—

1,6 %

—

2,8 %

—

5,6 %

—

9,4 %

More than 5 and up to 10

ai
  - bi
  · (duri
  – 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

ai
  - bi
  · (duri
  – 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

ai
  - bi
  · (duri
  – 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[ai
  - bi
  · (duri
  – 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 stressi
  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 | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi | ai | bi |
| (duri
  ) |
| up to 5 | min[bi
  · duri
  ;1] | — | 2,8 % | — | 3,4 % | — | 4,6 % | — | 7,9 % | — | 15,8 % | — | 26,7 % |
| More than 5 and up to 10 | min[ai
  - bi
  · (duri
  – 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 + bi
  · (duri
  – 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 | ai
  - bi
  · (duri
  – 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[ai
  - bi
  · (duri
  – 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 % |

Credit quality step

0

1

2

3

4

5 and 6

Duration

stress
  i

ai

bi

ai

bi

ai

bi

ai

bi

ai

bi

ai

bi

(duri
  )

up to 5

min[bi
  · duri
  ;1]

—

2,8 %

—

3,4 %

—

4,6 %

—

7,9 %

—

15,8 %

—

26,7 %

More than 5 and up to 10

min[ai
  - bi
  · (duri
  – 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 + bi
  · (duri
  – 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

ai
  - bi
  · (duri
  – 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[ai
  - bi
  · (duri
  – 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 stressi
  depending on the modified duration of the securitisation position i, as set out in the following table:

| Duration | stress
  i | ai | bi |
| --- | --- | --- | --- |
| (duri
  ) |
| up to 5 | bi
  · duri | — | 4,6 % |
| More than 5 and up to 10 | ai
  - bi
  · (duri
  – 5) | 23 % | 2,5 % |
| More than 10 and up to 15 | ai
  - bi
  · (duri
  – 10) | 35,5 % | 1,8 % |
| More than 15 and up to 20 | ai
  - bi
  · (duri
  – 15) | 44,5 % | 0,5 % |
| More than 20 | min[ai
  - bi
  · (duri
  – 20);1] | 47 % | 0,5 % |

Duration

stress
  i

ai

bi

(duri
  )

up to 5

bi
  · duri

—

4,6 %

More than 5 and up to 10

ai
  - bi
  · (duri
  – 5)

23 %

2,5 %

More than 10 and up to 15

ai
  - bi
  · (duri
  – 10)

35,5 %

1,8 %

More than 15 and up to 20

ai
  - bi
  · (duri
  – 15)

44,5 %

0,5 %

More than 20

min[ai
  - bi
  · (duri
  – 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 stressi
  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 stressi
  equal to the following formula:

| | stressi
  = min(bi
  · duri
  ;1) |
| --- | --- |

stressi
  = min(bi
  · duri
  ;1)

| | where bi
  shall be assigned depending on the credit quality step of re-securitisation position i, as set out in the following table: |
| --- | --- |

where bi
  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 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| bi | 33 % | 40 % | 51 % | 91 % | 100 % | 100 % | 100 % |

Credit quality step

0

1

2

3

4

5

6

bi

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 stressi
  equal to the following formula:

| | stressi
  = min(bi
  · duri
  ;1) |
| --- | --- |

stressi
  = min(bi
  · duri
  ;1)

| | where bi
  shall be assigned depending on the credit quality step of securitisation position i, as set out in the following table: |
| --- | --- |

where bi
  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 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| bi | 12,5 % | 13,4 % | 16,6 % | 19,7 % | 82 % | 100 % | 100 % |

Credit quality step

0

1

2

3

4

5

6

bi

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 stressi
  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 stressi
  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 stressi
  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 stressi
  in accordance with Articles 177 and 178 in the version in force on 31 December 2018.’; |
| --- | --- |

(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 stressi
  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 stressi
  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 stressi
  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 stressi
  of 0 %.’; |
| --- | --- | --- |

(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 stressi
  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 stressi
  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.’; |
| --- | --- |

(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 stressi
  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; |
| --- | --- |

(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.’; |
| --- | --- | --- |

(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.’. |
| --- | --- |

(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.’.

Article 2

Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

Official Journal of the European Union

It shall apply from 1 January 2019.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 1 June 2018.

For the Commission

The President

Jean-Claude JUNCKER

---

(1)  
  OJ L 335, 17.12.2009, p. 1.

1

(2)  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).

2

(3)  Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (OJ L 347, 28.12.2017, p. 1).

3

(4)  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).

4

(5)  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, 17.1.2015, p. 1).

5

---

DECISIONS

| 10.9.2018 | EN | Official Journal of the European Union | L 227/7 |
| --- | --- | --- | --- |

10.9.2018

EN

Official Journal of the European Union

L 227/7

---

COMMISSION DECISION (EU) 2018/1222

of 5 September 2018

on the proposed citizens' initiative entitled ‘End the Cage Age’

(notified under document C(2018) 5829)

(Only the English text is authentic)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 211/2011 of the European Parliament and of the Council of 16 February 2011 on the citizens' initiative (1), and in particular Article 4 thereof,

Whereas:

| (1) | The subject matter of the proposed citizens' initiative entitled ‘End the Cage Age’ refers to the following: ‘Hundreds of millions of EU farm animals are kept in cages for most of their lives, causing great suffering. We call on the European Commission to end this inhumane treatment of farm animals’. |
| --- | --- |

(1)

The subject matter of the proposed citizens' initiative entitled ‘End the Cage Age’ refers to the following: ‘Hundreds of millions of EU farm animals are kept in cages for most of their lives, causing great suffering. We call on the European Commission to end this inhumane treatment of farm animals’.

| (2) | The objectives of the proposed citizens' initiative refer to the following: ‘Cages inflict suffering on enormous numbers of farm animals every year. They are cruel and unnecessary, as higher-welfare cage-free systems are viable. The Commission is therefore invited to propose legislation to prohibit the use of: cages for laying hens, rabbits, pullets, broiler breeders, layer breeders, quail, ducks and geese; farrowing crates for sows; sow stalls, where not already prohibited; individual calf pens, where not already prohibited.’ |
| --- | --- |

(2)

The objectives of the proposed citizens' initiative refer to the following: ‘Cages inflict suffering on enormous numbers of farm animals every year. They are cruel and unnecessary, as higher-welfare cage-free systems are viable. The Commission is therefore invited to propose legislation to prohibit the use of: cages for laying hens, rabbits, pullets, broiler breeders, layer breeders, quail, ducks and geese; farrowing crates for sows; sow stalls, where not already prohibited; individual calf pens, where not already prohibited.’

| (3) | The Treaty on European Union (TEU) reinforces citizenship of the Union and enhances further the democratic functioning of the Union by providing, inter alia, that every citizen is to have the right to participate in the democratic life of the Union by way of a European citizens' initiative. |
| --- | --- |

(3)

The Treaty on European Union (TEU) reinforces citizenship of the Union and enhances further the democratic functioning of the Union by providing, inter alia, that every citizen is to have the right to participate in the democratic life of the Union by way of a European citizens' initiative.

| (4) | To this end, the procedures and conditions required for the citizens' initiative should be clear, simple, user-friendly and proportionate to the nature of the citizens' initiative so as to encourage participation by citizens and to make the Union more accessible. |
| --- | --- |

(4)

To this end, the procedures and conditions required for the citizens' initiative should be clear, simple, user-friendly and proportionate to the nature of the citizens' initiative so as to encourage participation by citizens and to make the Union more accessible.

| (5) | A legal act of the Union for the purpose of implementing the Treaties can be adopted for provisions necessary for the pursuit of the objectives of the common agricultural policy, including the prohibition of caging in the context of agricultural production, on the basis of Article 43(2) TFEU. |
| --- | --- |

(5)

A legal act of the Union for the purpose of implementing the Treaties can be adopted for provisions necessary for the pursuit of the objectives of the common agricultural policy, including the prohibition of caging in the context of agricultural production, on the basis of Article 43(2) TFEU.

| (6) | The proposed citizens' initiative, inasmuch as it aims at proposals from the Commission for a legal act setting out prohibitions related to agricultural production, does not fall manifestly outside the framework of the Commission's powers to submit a proposal for a legal act of the Union for the purpose of implementing the Treaties in accordance with Article 4(2)(b) of the Regulation. |
| --- | --- |

(6)

The proposed citizens' initiative, inasmuch as it aims at proposals from the Commission for a legal act setting out prohibitions related to agricultural production, does not fall manifestly outside the framework of the Commission's powers to submit a proposal for a legal act of the Union for the purpose of implementing the Treaties in accordance with Article 4(2)(b) of the Regulation.

| (7) | Furthermore, the citizens' committee has been formed and the contact persons have been designated in accordance with Article 3(2) of the Regulation and the proposed citizens' initiative is neither manifestly abusive, frivolous or vexatious nor manifestly contrary to the values of the Union as set out in Article 2 TEU. |
| --- | --- |

(7)

Furthermore, the citizens' committee has been formed and the contact persons have been designated in accordance with Article 3(2) of the Regulation and the proposed citizens' initiative is neither manifestly abusive, frivolous or vexatious nor manifestly contrary to the values of the Union as set out in Article 2 TEU.

| (8) | The proposed citizens' initiative entitled ‘End the Cage Age’ should therefore be registered, |
| --- | --- |

(8)

The proposed citizens' initiative entitled ‘End the Cage Age’ should therefore be registered,

HAS ADOPTED THIS DECISION:

Article 1

1.   The proposed citizens' initiative entitled ‘End the Cage Age’ is hereby registered.

2.   Statements of support for this proposed citizens' initiative may be collected, based on the understanding that it aims at proposals from the Commission for a legal act setting out prohibitions related to agricultural production.

Article 2

This Decision shall enter into force on 11 September 2018.

Article 3

This Decision is addressed to the organisers (members of the citizens' committee) of the proposed citizens' initiative entitled ‘End the Cage Age’, represented by Ms Léopoldine CHARBONNEAUX and Ms Olga KIKOU acting as contact persons.

Done at Brussels, 5 September 2018.

For the Commission

Frans TIMMERMANS

First Vice-President

---

(1)  
  OJ L 65, 11.3.2011, p. 1.

1

---