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
Date: 2025-06-17
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: credit institution, credit policy, financial instrument, financial legislation, financial requirements, financial risk, financial supervision, financial transaction

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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}  
 
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. 

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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. 
Draghi, M. (2024). The Future of European Competitiveness—A Competitiveness Strategy for Europe. 
European Council conclusions of April 2024. 
European Council conclusions of March 2025. 
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:  

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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 

https://finance.ec.europa.eu/document/download/13085856-09c8-4040-918e-
890a1ed7dbf2_en?filename=250319-communication-savings-investmlents-union_en.pdf    
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).  
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).  
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 
undertakings.  

the  capital  requirements  for 

insurance  and  reinsurance 

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 

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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 
(OJ  L  12,  17/01/2015,  p.  1, 
ELI: http://data.europa.eu/eli/reg_del/2015/35/oj) 
‘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 

Insurance  and  Reinsurance 

(Solvency 

II) 

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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. 

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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.  

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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. 
‘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. 

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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. 

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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. 

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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. 

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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. 

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RESULTS 
CONSULTATIONS AND IMPACT ASSESSMENTS 

EX-POST 

EVALUATIONS, 

OF 

STAKEHOLDER 

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 

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

Available 
consultation-functioning-eu-securitisation-framework-2024_en   
Securities and markets - review of the Securitisation Framework (europa.eu)  
One respondent made two separate (substantively similar) contributions; another respondent submitted 
three separate contributions. Therefore, 37 contributions were received, from 34 individual respondents. 
the 
The 
consultation 
already 
associations, 2 non-governmental 
represented: 7 companies/businesses, 15 business 
organisations (NGOs), 2 such respondents identified as ‘other’ 

respondents 

targeted 

replied 

that 

had 

to 

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

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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 

EN 

7 

  EN 

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 
the  European  Central  Bank/Single  Supervisory 
European  Supervisory  Authorities, 
Mechanism  and  the  Member  States  to  collect  data  to  calculate  the  indicators  and  report  on 
them to the Commission. 

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8 

  EN 

• 

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.  

EN 

9 

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

10 

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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.  

the 

transaction 

includes  performance-related 

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

11 

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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  

Originator/  
sponsor  

SEC-IRBA  

Investor  

SEC-IRBA  

SEC
-SA  

SEC
-SA  

10% 

Non-STS  

Originator/  
sponsor  

SEC-IRBA  

Investor  

SEC-IRBA  

SEC-
SA  

SEC-
SA  

15% 

0.5  

Formula, 
Scaling  factor 
0.5, 
Floor 0.3  

0.5  

Formula, 
Scaling  factor 
0.5, 
Floor 0.3  

1  

Formula, 
Scaling  factor 
1, 
Floor 0.3  

1  

Formula, 
Scaling factor 
1, 
Floor 0.3  

Senior 
position 

Risk 
weight 
floors  
(p) 
factor 

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12 

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Non-
senior 
positions 

(p) 
factor 

0.5  

Formula, 
Scaling  factor 
0.5, 
Floor 0.3  

0.5  

Formula, 
Scaling  factor 
0.5, 
Floor 0.3  

1  

Formula, 
Scaling  factor 
1, 
Floor 0.3  

1 

Formula, 
Scaling factor 
1, 
Floor 0.3  

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  

Originator/  
sponsor  
SEC-IRBA  

Investor  

SEC-IRBA  

SEC-
SA  

SEC-
SA  

Non-STS  

Originator/  
sponsor  
SEC-IRBA  

Investor  

SEC-IRBA  

SEC-
SA  

SEC-
SA  

Senior 
position 

Risk 
weight 
floors  

(p) 
factor 

Non-
senior 
positions 

(p) 
factor 

Formula:  
10% * KIRB or KA * 12.5  
Floor 5% 

0.3  

0.5  

Formula, 
Scaling  
factor 0.3, 
Floor 0.2, 
Cap 0.5  
Formula, 
Scaling  factor 
0.5, 
Floor 0.2, 
Cap 0.5  

Formula, 
scaling 
factor 0.3,  
Floor 0.2,  
Cap 0.5 
Formula, 
Scaling  
factor 0.5,  
Floor 0.3, 
Cap 0.5  

0.3 

0.5  

0.6  

Formula:  
15%  *  KIRB  or  KA  * 
12.5  
Floor 10% 
Formula, 
Scaling 
factor 0.7, 
Floor 0.3, 
Cap 1  
Formula, 
Scaling 
factor 1,  
Floor 0.3, 
Cap 1  

1  

1  

Formula:  
15%  *  KIRB  or  KA  * 
12.5  
Floor 12%  
Formula, 
Scaling  
factor 1,  
Floor 0.3, 
Cap 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  

Originator/  
sponsor  
SEC-IRBA  

Investor  

SEC-IRBA  

SEC-
SA  

SEC-
SA  

Non-STS  

Originator/  
sponsor  
SEC-IRBA  

Investor  

SEC-IRBA  

SEC-
SA  

SEC-
SA  

Senior 
position 

Risk 
weight 
floors  
(p) 
factor 

Non-
senior 
positions 

(p) 
factor 

0.3  

Formula:  
10% * KIRB or KA * 12.5  
Floor 7% 
Formula, 
Scaling  
factor 0.3, 
Floor 0.2, 
Cap 0.5  
Formula, 
Scaling  factor 
0.5, 
Floor 0.2, 
Cap 0.5  

0.5  

Formula, 
Scaling  factor 
0.5,  
floor 0.3,  
Cap 0.5 
Formula, 
Scaling  
factor 0.5,  
Floor 0.3, 
Cap 0.5  

0.5 

0.5  

0.6  

Formula:  
15% * KIRB or KA * 12.5  
Floor 12% 
Formula, 
Scaling 
factor 0.7, 
Floor 0.3, 
Cap 1  
Formula, 
Scaling 
factor 1,  
Floor 0.3, 
Cap 1  

1  

Formula, 
Scaling  
factor 1,  
Floor 0.3, 
Cap 1  
Formula, 
Scaling  
factor 1, 
Floor 0.3, 
Cap 1  

1  

1 

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

13 

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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 

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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 

15 

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• 

• 

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. 

– 

– 

– 

– 

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– 

– 

– 

– 

– 

19 

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. 

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

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 

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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 

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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) 

(2) 

20 
21 
22 
23 

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.  

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, 

OJ C , , p. . 
OJ C …. 
OJ C , , p. . 
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 

19 

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(3) 

(4) 

(5) 

(6) 

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.  

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. 

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.  

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.  

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.  

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(7) 

(8) 

(9) 

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.  

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).  

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 

21 

  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 

22 

  EN 

(d) 

(e) 

(f) 

A  >=  1.1  *  (EL  *  WAL  of  the  initial  reference  securitised  portfolio  + 
UL), when using SEC-IRBA. 

for  a  position  a  securitisation  other  than  ABCP  programme  or  ABCP 
transaction: 

the requirements of the Article 243(2) 

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) 

(2) 

(3) 

(4) 

(5) 

the  requirement  of  Article  26c(5)  of  Regulation  (EU)  2017/2402 
and  the  requirements  of  Commission  Delegated  Regulation  (EU) 
2024/920; 

the  requirements  of  Article  26(e)8,  9  and  10  of  Regulation  (EU) 
2017/2402; 

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;  

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

the position is not a position of investor; 

(b) 

for an ABCP programme or ABCP transaction: 

(1) 

(2) 

(3) 

(4) 

the  requirements  of  Article  24(17),  point  (b),  of  Regulation  (EU) 
2017/2402;  

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;  

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

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 

23 

  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. 

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: 

2. 

𝑖

∑ 𝑅𝑊𝐸𝐴𝑖 × 𝑈𝐿_𝑡𝑟𝑎𝑛𝑠𝑖
∑ 𝑅𝑊𝐸𝐴𝑖 × 𝑈𝐿𝑖

𝑖

≥ 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 

24 

  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. 

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.  

3. 

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) 

(b) 

(c) 

the  transaction  documentation  reflects  the  economic  substance  of  the 
securitisation; 

the  securitisation  positions  do  not  constitute  payment  obligations  of  the 
originator institution; 

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 

25 

  EN 

(h)  where  there  is  a  clean-up  call  option,  that  option  shall  also  meet  all  of  the 

following conditions: 

(1) 

(2) 

(3) 

that option can be exercised at the discretion of the originator institution; 

that option may only be exercised when 10 % or less of the original value 
of the underlying exposures remains unamortised; 

that  option  is  not  structured  to  avoid  allocating  losses  to  credit 
enhancement  positions  or  other  positions  held  by  investors  in  the 
to  provide  credit 
is  not  otherwise  structured 
securitisation  and 
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. 

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.  

For  certain  transactions  that  do  not  exhibit  problematic  features,  competent 
authorities may apply a fast-track simplified assessment process.  

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) 

(2) 

(3) 

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); 

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); 

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; 

5. 

6. 

7. 

EN 

26 

  EN 

(c) 

(d) 

(e) 

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;  

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; 

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. 

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 

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. 

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: 

8. 

1. 

2. 

EN 

27 

  EN 

𝑖

∑ 𝑅𝑊𝐸𝐴𝑖 × 𝑈𝐿_𝑡𝑟𝑎𝑛𝑠𝑖
∑ 𝑅𝑊𝐸𝐴𝑖 × 𝑈𝐿𝑖

𝑖

≥ 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. 

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.  

3. 

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) 

(b) 

the  transaction  documentation  reflects  the  economic  substance  of  the 
securitisation; 

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) 

(2) 

(3) 

(4) 

impose significant materiality thresholds below which credit protection is 
deemed not to be triggered if a credit event occurs; 

allow  for  the  termination  of  the  protection  due  to  deterioration  of  the 
credit quality of the underlying exposures; 

require  the  originator  institution  to  alter  the  composition  of  the 
underlying exposures to improve the average quality of the pool; or 

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 

28 

  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) 

(2) 

(3) 

that option may be exercised at the discretion of the originator institution; 

that option may only be exercised when 10 % or less of the original value 
of the underlying exposures remains unamortised; 

that  option  is  not  structured  to  avoid  allocating  losses  to  credit 
enhancement  positions  or  other  positions  held  by  investors  in  the 
to  provide  credit 
is  not  otherwise  structured 
securitisation  and 
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. 

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.  

For  certain  transactions  that  do  not  exhibit  problematic  features,  competent 
authorities may apply a fast-track simplified assessment process.  

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. 

6. 

7. 

(5) 

Article 248(1) is amended as follows: 

EN 

29 

  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) 

(2) 

(3) 

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;  

any  synthetic  excess  spread  that  is  contractually  designated  by  the 
originator institution in any previous periods and that is still available to 
absorb losses;  

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.  

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30 

  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 

31 

  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: 

𝑑 ∙ 𝐾𝐼𝑅𝐵 + (1 − 𝑑)𝐾A‘; 

(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: 

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32 

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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: 

the  SEC-SA, 

‘Under 
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 

33 

  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 

other 

All 
ratings 

Risk weight 

Senior tranche: 

50 % 

100 % 

1250 % 

Max (12%; 15% *KA*12.5) 

Non-senior tranche: 

15 % 

(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 

34 

  EN 

 
Credit 
quality 
step 

1 

Senior tranche, 
position of originator 
or sponsor 

Senior tranche, position 
of investor 

Non-senior (thin) 
tranche 

18% 

30 % 

5 year 

1 year 

5 year 
20 % 

Max (12 %; 
15% 
*KA*12.5) 

Tranche maturity (MT)  Tranche maturity (MT) 
1 year 
Max (12 % ; 15% *KA*12.5)  
Max (12 % ; 
15% 
*KA*12.5) 
17 % 
18 % 
24 % 
34 % 
40 % 
51 % 
62 % 
80 % 
124 % 
140 % 
176 % 
230 % 
286 % 
348 % 
424 % 

24 % 
29 % 
34 % 
45 % 
46 % 
62 % 
73 % 
96 % 
140 % 
160 % 
201 % 
256 % 
312 % 
388 % 
465 % 
1250 % 

25 % 
30 % 
40 % 
50 % 
60 % 
75 % 
90 % 
120 % 
140 % 
160 % 
200 % 
250 % 
310 % 
380 % 
460 % 
1250 % 

40 % 
45 % 
50 % 
65 % 
70 % 
90 % 
105 % 
140 % 
160 % 
180 % 
225 % 
280 % 
340 % 
420 % 
505 % 
1250 % 

2 
3 
4 
5 
6 
7 
8  
9 
10 
11 
12 
13 
14 
15 
16 
17 
All other  1250 % 

Tranche maturity (MT) 
5 year 
15 % 

1 year 
70 % 

15 % 

90 % 

30 % 
40 % 
60 % 
80 % 
120 % 
170 % 
220 % 
330 % 
470 % 
620 % 
750 % 
900 % 
1050 % 
1130 % 
1250 % 
1250 % 

120 % 
140 % 
160 % 
180 % 
210 % 
260 % 
310 % 
420 % 
580 % 
760 % 
860 % 
950 % 
1050 % 
1130 % 
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 

quality 

Credit 
step 
Risk weight 

1 

Senior tranche: 
Max (7%; 10%*KA*12.5) 

2 

3 

30 % 

60 % 

other 

All 
ratings 
1250 % 

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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 

1 

10 % 

15 % 

5 year 

Senior tranche (other 
positions of investor) 

Senior tranche 
(position of originator 
or sponsor, or of 
investor in a 
securitisation 
compliant with Article 
243(3))  
Tranche maturity (MT)  Tranche maturity (MT) 
1 year 
Max (7 %; 10%*KA*12.5) 
Max (7 %; 
10% *KA* 
12.5) 
10 % 
10 % 
12 % 
20 % 
23 % 
31 % 
38 % 
47 % 
106 % 
118 % 
150 % 
207 % 
258 % 
311 % 
383 % 

1 year 
5 year 
Max (7 %; 10%*KA*12.5)  
Max (7%; 
10% * KA 
*12.5) 
15 % 
15 % 
20 % 
30 % 
35 % 
45 % 
55 % 
70 % 
120 % 
135 % 
170 % 
225 % 
280 % 
340 % 
415 % 
1250 % 

20 % 
25 % 
30 % 
40 % 
40 % 
55 % 
65 % 
85 % 
135 % 
155 % 
195 % 
250 % 
305 % 
380 % 
455 % 
1250 % 

12 % 
16 % 
20 % 
28 % 
28 % 
38 % 
45 % 
58 % 
118 % 
138 % 
174 % 
229 % 
280 % 
351 % 
419 % 
1250 % 

2 
3 
4 
5 
6 
7 
8 
9 
10 
11 
12 
13 
14 
15 
16. 
17 
All other  1250 % 

Non-senior (thin) 
tranche 

Tranche maturity (MT) 
1 year 
15 % 

5 year 
40 % 

15 % 

55 % 

15 % 
25 % 
35 % 
60 % 
95 % 
150 % 
180 % 
270 % 
405 % 
535 % 
645 % 
810 % 
945 % 
1015 % 
1250 % 
1250 % 

70 % 
80 % 
95 % 
135 % 
170 % 
225 % 
255 % 
345 % 
500 % 
655 % 
740 % 
855 % 
945 % 
1015 % 
1250 % 
1250 % 

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36 

  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) 

(17) 

(18) 

in Article 270, paragraphs 2, 3 and 4 are deleted; 

Article 506b is deleted; 

Article 506d is replaced by the following: 

EN 

37 

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1. 

2. 

‘Article 506d 

Prudential treatment of securitisation 

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. 

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. 

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

Article 2 

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

Done at Strasbourg, 

For the European Parliament 
The President 

For the Council 
The President

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  EN 

LEGISLATIVE FINANCIAL AND DIGITAL STATEMENT 

1. 

1.1. 

1.2. 

1.3. 

FRAMEWORK OF THE PROPOSAL/INITIATIVE ................................................. 3 

Title of the proposal/initiative ...................................................................................... 3 

Policy area(s) concerned .............................................................................................. 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. 

1.5. 

The proposal/initiative relates to: ................................................................................. 4 

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. 

1.7. 

2. 

2.1. 

2.2. 

2.2.1. 

2.2.2. 

Duration of the proposal/initiative and of its financial impact .................................... 6 

Method(s) of budget implementation planned ............................................................. 6 

MANAGEMENT MEASURES................................................................................... 8 

Monitoring and reporting rules .................................................................................... 8 

Management and control system(s) ............................................................................. 8 

Justification of the budget implementation method(s), the funding implementation 
mechanism(s), the payment modalities and the control strategy proposed .................. 8 

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. 

3. 

3.1. 

Measures to prevent fraud and irregularities ................................................................ 9 

ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE ............ 10 

Heading(s) of the multiannual financial framework and expenditure budget line(s) 
affected ....................................................................................................................... 10 

EN 

39 

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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. 

4. 

4.1. 

4.2. 

4.3. 

4.4. 

4.5. 

Estimated impact on revenue ..................................................................................... 29 

DIGITAL DIMENSIONS .......................................................................................... 29 

Requirements of digital relevance .............................................................................. 30 

Data ............................................................................................................................ 30 

Digital solutions ......................................................................................................... 31 

Interoperability assessment ........................................................................................ 31 

Measures to support digital implementation .............................................................. 32 

EN 

40 

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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 

41 

  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 

42 

  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 

43 

  EN 

 
Not applicable for this proposal – no budgetary impact. 

EN 

44 

  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 

45 

  EN 

3. 

3.1. 

ESTIMATED FINANCIAL IMPACT OF THE PROPOSAL/INITIATIVE  

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. 

Budget line 

Type of 
expenditure 

Contribution  

Heading of 
multiannual 
financial 
framework 

Number  

[XX.YY.YY.YY] 

[XX.YY.YY.YY] 

[XX.YY.YY.YY] 

Diff./Non-
diff.26 

from 
EFTA 
countries
27 

from 
candidate 
countries 
and 
potential 
candidates
28 

From 
other 
third 
countries 

other assigned 
revenue 

Diff./Non
-diff. 

Diff./Non
-diff. 

Diff./Non
-diff. 

YES/NO  YES/NO  YES/NO 

YES/NO 

YES/NO  YES/NO  YES/NO 

YES/NO 

YES/NO  YES/NO  YES/NO 

YES/NO 

•  New budget lines requested  

In order of multiannual financial framework headings and budget lines. 

Budget line 

Type of 
expenditure 

Heading of 
multiannual 
financial 
framework 

Number  

Diff./Non-
diff. 

from 
EFTA 
countries 

Contribution  

from 
candidate 
countries 
and 
potential 
candidates 

from 
other 
third 
countries 

other assigned 
revenue  

[XX.YY.YY.YY] 

[XX.YY.YY.YY] 

[XX.YY.YY.YY] 

Diff./Non
-diff. 

Diff./Non
-diff. 

Diff./Non
-diff. 

YES/NO  YES/NO  YES/NO 

YES/NO 

YES/NO  YES/NO  YES/NO 

YES/NO 

YES/NO  YES/NO  YES/NO 

YES/NO 

26 
27 
28 

Diff. = Differentiated appropriations / Non-diff. = Non-differentiated appropriations. 
EFTA: European Free Trade Association.  
Candidate countries and, where applicable, potential candidates from the Western Balkans. 

EN 

46 

  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 

Heading of multiannual financial framework  

Number 

EUR million (to three decimal places) 

DG: <…….> 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

Operational appropriations  

Budget line 

Budget line 

Commitments 

Payments 

Commitments 

Payments 

(1a) 

(2a) 

(1b) 

(2b) 

Appropriations of an administrative nature financed from the envelope of specific programmes29 
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b+3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

DG: <…….> 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

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 

47 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Budget line 

Payments 

Commitments 

Payments 

(2a) 

(1b) 

(2b) 

Appropriations of an administrative nature financed from the envelope of specific programmes30 
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b+3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

TOTAL 

operational 

appropriations  

Commitments 

Payments 

TOTAL  appropriations  of  an  administrative  nature  financed 
from the envelope for specific programmes  

TOTAL appropriations under 
HEADING <….> 

Commitments 

of the multiannual financial framework 

Payments 

(4) 

(5) 

(6) 

=4+6 

=5+6 

Heading of multiannual financial  
framework  

Number 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

DG: <…….> 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

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 

48 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Budget line 

Payments 

Commitments 

Payments 

(2a) 

(1b) 

(2b) 

Appropriations of an administrative nature financed from the envelope of specific programmes31  
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b +3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

DG: <…….> 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

Operational appropriations  

Budget line 

Budget line 

Commitments 

Payments 

Commitments 

Payments 

(1a) 

(2a) 

(1b) 

(2b) 

Appropriations of an administrative nature financed from the envelope of specific programmes32  
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b +3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

TOTAL 

operational 

appropriations  

Commitments 

(4) 

0.000 

0.000 

0.000 

0.000 

0.000 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

31 
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. 
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 

TOTAL  appropriations  of  an  administrative  nature  financed 
from the envelope for specific programmes  

TOTAL appropriations under 
HEADING <….> 

Commitments 

of the multiannual financial framework 

Payments 

(5) 

(6) 

=4+6 

=5+6 

•  TOTAL  operational  appropriations 
operational headings) 

(all 

Commitments 

Payments 

•  TOTAL  appropriations  of  an  administrative  nature  financed 
from  the  envelope  for  specific  programmes  (all  operational 
headings) 

TOTAL appropriations Under Heading 1 
to 6 

Commitments 

of the multiannual financial framework 
(Reference amount) 

Payments 

(4) 

(5) 

(6) 

=4+6 

=5+6 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

Year 

2024 

Year 

2025 

0.000 

Year 

2026 

0.000 

Year 

2027 

0.000 

0.000 

TOTAL MFF 
2021-2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

Heading of multiannual financial framework  

7 

‘Administrative expenditure’33 

DG: <…….> 

 Human resources  
 Other administrative expenditure  

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL 
MFF 2021-
2027 

0.000 

0.000 

0.000 

0.000 

0.000 

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 

50 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
TOTAL DG <…….> 

Appropriations  

0.000 

0.000 

0.000 

0.000 

0.000 

DG: <…….> 

 Human resources  
 Other administrative expenditure  
TOTAL DG <…….> 

Appropriations  

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

TOTAL 
MFF 2021-
2027 

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 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

TOTAL appropriations under HEADINGS 1 to 7 

Commitments 

0.000 

0.000 

0.000 

0.000 

of the multiannual financial framework  

Payments 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

3.2.1.2.  Appropriations from external assigned revenues 

Heading of multiannual financial framework  

Number 

EUR million (to three decimal places) 

DG: <…….> 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

Operational appropriations  
Budget line 

Commitments 

(1a) 

0.000 

EN 

51 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Budget line 

Payments 

Commitments 

Payments 

(2a) 

(1b) 

(2b) 

Appropriations of an administrative nature financed from the envelope of specific programmes34 
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b+3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

DG: <…….> 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

Operational appropriations  

Budget line 

Budget line 

Commitments 

Payments 

Commitments 

Payments 

(1a) 

(2a) 

(1b) 

(2b) 

Appropriations of an administrative nature financed from the envelope of specific programmes35 
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b+3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

TOTAL 

operational 

appropriations  

Commitments 

Payments 

(4) 

(5) 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

34 
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. 
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 

52 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
TOTAL  appropriations  of  an  administrative  nature  financed 
from the envelope for specific programmes  

TOTAL appropriations under 
HEADING <….> 

Commitments 

of the multiannual financial framework 

Payments 

Heading of multiannual financial framework  

Number 

Operational appropriations  

Budget line 

Budget line 

DG: <…….> 

Commitments 

Payments 

Commitments 

Payments 

(6) 

=4+6 

=5+6 

(1a) 

(2a) 

(1b) 

(2b) 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

Appropriations of an administrative nature financed from the envelope of specific programmes36 
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b+3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

DG: <…….> 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

Operational appropriations  

Budget line 

Commitments 

Payments 

(1a) 

(2a) 

0.000 

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 

53 

EN 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Budget line 

Commitments 

Payments 

(1b) 

(2b) 

Appropriations of an administrative nature financed from the envelope of specific programmes37 
Budget line 

(3) 

TOTAL appropriations 
for DG <…….> 

Commitments 

Payments 

=1a+1b+3 

=2a+2b+3 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

TOTAL 

operational 

appropriations  

Commitments 

Payments 

TOTAL  appropriations  of  an  administrative  nature  financed 
from the envelope for specific programmes  

TOTAL appropriations under 
HEADING <….> 

Commitments 

of the multiannual financial framework 

Payments 

(4) 

(5) 

(6) 

=4+6 

=5+6 

•  TOTAL  operational  appropriations 
operational headings) 

(all 

Commitments 

Payments 

•  TOTAL  appropriations  of  an  administrative  nature  financed 
from  the  envelope  for  specific  programmes  (all  operational 
headings) 

(4) 

(5) 

(6) 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL MFF 
2021-2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

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 

54 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
TOTAL appropriations under Headings 1 
to 6 

Commitments 

of the multiannual financial framework (Reference 
amount) 

Payments 

=4+6 

=5+6 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

Heading of multiannual financial framework  

7 

‘Administrative expenditure’38 

DG: <…….> 

 Human resources  
 Other administrative expenditure  

TOTAL DG <…….> 

Appropriations  

DG: <…….> 

 Human resources  
 Other administrative expenditure  

TOTAL DG <…….> 

Appropriations  

EUR million (to three decimal places) 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

TOTAL 
MFF 2021-
2027 

0.000 

0.000 

0.000 

TOTAL 
MFF 2021-
2027 

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 

Year 

Year 

Year 

Year 

TOTAL MFF 

EUR million (to three decimal places) 

38 

The necessary appropriations should be determined using the annual average cost figures available on the appropriate BUDGpedia webpage. 

EN 

55 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 

2024 

2025 

2026 

2027 

2021-2027 

3.2.2.  Estimated output funded from operational appropriations (not to be completed for decentralised agencies) 

Year  
2024 

Year  
2025 

Year  
2026 

Year  
2027 

OUTPUTS 

Commitment appropriations in EUR million (to three decimal places) 

Enter as many years as necessary to show the 
duration of the impact (see Section1.6) 

TOTAL 

o
N

Cost 

o
N

Cost 

o
N

Cost 

o
N

Cost 

o
N

Cost  N

o

Cost 

o
N

Cost 

Total 
No 

Total 
cost 

Indicate 
objectives and 
outputs  

 

Type39 

Avera
ge 
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 
40 

Outputs are products and services to be supplied (e.g. number of student exchanges financed, number of km of roads built, etc.). 
As described in Section 1.3.2. ‘Specific objective(s)’  

EN 

56 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
TOTALS 

EN 

57 

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 

HEADING 7 

Human resources  

Other administrative expenditure  

Subtotal HEADING 7 

Outside HEADING 7 

Human resources  

Other expenditure of an administrative nature 

Subtotal outside HEADING 7 

TOTAL 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

TOTAL 2021 - 2027 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

3.2.3.2.  Appropriations from external assigned revenues 

EXTERNAL ASSIGNED REVENUES 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

HEADING 7 

Human resources  

Other administrative expenditure  

Subtotal HEADING 7 

Outside HEADING 7 

Human resources  

Other expenditure of an administrative nature 

EN 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

58 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

TOTAL 2021 - 2027 

0.000 

0.000 

0.000 

0.000 

0.000 

EN 

 
 
 
Subtotal outside HEADING 7 

0.000 

0.000 

0.000 

0.000 

TOTAL 

0.000 

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 

2024 

2025 

2026 

2027 

TOTAL 
2021 - 
2027 

HEADING 7 

Human resources  

Other administrative expenditure  

Subtotal HEADING 7 

Outside HEADING 7 

Human resources  

Other expenditure of an administrative nature 

Subtotal outside HEADING 7 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

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 

59 

EN 

 
 
 
 
3.2.4.1.  Financed from voted budget 

VOTED APPROPRIATIONS 

 Establishment plan posts (officials and temporary staff) 

20 01 02 01 (Headquarters and Commission’s Representation Offices) 

20 01 02 03 (EU Delegations) 

01 01 01 01 (Indirect research) 

01 01 01 11 (Direct research) 

Other budget lines (specify) 

• External staff (inFTEs) 

20 02 01 (AC, END from the ‘global envelope’) 

20 02 03 (AC, AL, END and JPD in the EU Delegations) 

Admin. Support line 
[XX.01.YY.YY] 

- at Headquarters 

- in EU Delegations  

01 01 01 02 (AC, END - Indirect research) 

01 01 01 12 (AC, END - Direct research) 

Other budget lines (specify) - Heading 7 

Other budget lines (specify) - Outside Heading 7 

TOTAL 

3.2.4.2.  Financed from external assigned revenues 

Estimate to be expressed in full-time equivalent units (FTEs)41 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

2027 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

EXTERNAL ASSIGNED REVENUES 

Year 

2024 

Year 

2025 

Year 

2026 

Year 

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 

60 

EN 

 
 
 
0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

 Establishment plan posts (officials and temporary staff) 

20 01 02 01 (Headquarters and Commission’s Representation Offices) 

20 01 02 03 (EU Delegations) 

01 01 01 01 (Indirect research) 

01 01 01 11 (Direct research) 

Other budget lines (specify) 

• External staff (in full time equivalent units) 

20 02 01 (AC, END from the ‘global envelope’) 

20 02 03 (AC, AL, END and JPD in the EU Delegations) 

Admin. Support line  
[XX.01.YY.YY] 

- at Headquarters 

- in EU Delegations  

01 01 01 02 (AC, END - Indirect research) 

01 01 01 12 (AC, END - Direct research) 

Other budget lines (specify) - Heading 7 

Other budget lines (specify) - Outside Heading 7 

TOTAL 

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) 

20 01 02 03 (EU Delegations) 

01 01 01 01 (Indirect research) 

01 01 01 11 (Direct research) 

Other budget lines (specify) 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

EN 

61 

EN 

 
 
• External staff (in full time equivalent units) 

20 02 01 (AC, END from the ‘global envelope’) 

20 02 03 (AC, AL, END and JPD in the EU Delegations) 

Admin. Support 
line  
[XX.01.YY.YY] 

- at Headquarters 

- in EU Delegations  

01 01 01 02 (AC, END - Indirect research) 

01 01 01 12 (AC, END - Direct research) 

Other budget lines (specify) - Heading 7 

Other budget lines (specify) - Outside Heading 7 

TOTAL 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

0 

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 

N/A 

Establishment 
plan posts 

staff 
External 
(CA, SNEs, INT) 

* 

Description of tasks to be carried out by: 

EN 

62 

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 

2024 

2025 

2026 

2027 

TOTAL 
MFF 
2021 - 
2027 

HEADING 7 

IT expenditure (corporate)  

Subtotal HEADING 7 

Outside HEADING 7 

Policy IT expenditure on operational 
programmes 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

0.000 

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 

63 

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: 

Year  
2024 

Year  
2025 

Year  
2026 

Year  
2027 

Total 

Appropriations in EUR million (to three decimal places) 

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 

64 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Budget revenue line: 

Article …………. 

Appropriations available for the 
current financial year 

Impact of the proposal/initiative42 

Year 2024 

Year 2025 

Year 2026 

Year 2027 

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 

65 

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 

66 

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 

67 

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 

68 

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 

69 

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)  

Other interoperability solution(s) 

(NOT APPLICABLE) 

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 

70 

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 

71 

EN 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
EN 

72 

EN