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the following articles are inserted: ‘Article 506c Credit risk — interaction between Common Equity Tier 1 capital reductions and credit risk parameters By 31 December 2026, EBA shall report to the Commission on the consistency between the current measurement of credit risk and the individual credit risk parameters and on the treatment of any adjustments for the purpose of the computation of the IRB shortfall or IRB excess as referred to in Article 159, and on its consistency with the determination of the exposure value in accordance with Article 166 and with the estimation of LGD. That report shall consider the maximum possible economic loss arising from a default event along with its achieved coverage in terms of Common Equity Tier 1 capital reductions, taking into account any accounting-based Common Equity Tier 1 capital reductions, including from expected credit losses or fair value adjustments, and any discounts on received exposures, and their implications for regulatory deductions. Article 506d Prudential treatment of securitisation 1. By 31 December 2026, EBA, in close collaboration with ESMA, shall report to the Commission on the prudential treatment of securitisation transactions, differentiating between different types of securitisations, including synthetic securitisations, between originators and investors, and between STS and non-STS transactions. 2. In particular, EBA shall 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 such cases of a reduction of risk sensitivities, EBA may consider proposing a downward recalibration of the non-neutrality factors for transactions for which a significant risk transfer has been recognised. EBA shall also assess the appropriateness of the non-neutrality factors under both the SEC-SA and the SEC-IRBA, taking into account the historic credit performance of securitisation transactions in the Union and the reduced model and agency risks of the securitisation framework. 3. On the basis of the report referred to in paragraph 1 and taking into account related internationally agreed standards developed by the BCBS the Commission shall, where appropriate, submit to the European Parliament and to the Council a legislative proposal by 31 December 2027. Article 506e Recognition of capped or floored unfunded credit protection 1. By 10 July 2026, EBA shall submit a report to the Commission on the following: 2. In the report referred to in paragraph 1, EBA shall assess in particular the following: On the basis of that report, the Commission shall, where appropriate, submit to the European Parliament and to the Council a legislative proposal by 31 December 2027. Article 506f Prudential treatment of securities financing transactions By 10 July 2026, EBA shall report to the Commission on the impact of the new framework for securities financing transactions in terms of own funds requirements attributed to the corresponding securities financing transactions which are by nature very short-term activities, with a particular focus on its possible impact on sovereign debt markets in terms of market making capacity and cost. EBA shall assess whether a recalibration of the associated risk weights in the standardised approach is appropriate, given the associated risks with respect to short-term maturities, specifically for residual maturities below one year. On the basis of that report, the Commission shall, where appropriate, submit to the European Parliament and to the Council a legislative proposal by 31 December 2027.’ ; the conditions that guarantees featuring caps or floors determined at the level of a portfolio of exposures (“portfolio guarantees”) need to meet to qualify as a securitisation; the regulatory treatment applicable under Part Three, Title II, Chapter 4, to portfolio guarantees where those do not qualify as a securitisation; the application of the requirements set out in Part Three, Title II, Chapter 5, of this Regulation and in Chapter 2 of Regulation (EU) 2017/2402 for portfolio guarantees where those guarantees qualify as a securitisation; the application of Article 234 for single guarantees that lead to tranching. in relation to paragraph 1, point (a), the conditions under which portfolio guarantees give rise to a tranched transfer of risk; in relation to paragraph 1, point (b): the relevant eligibility criteria of portfolio guarantees under Part Three, Title II, Chapter 4; the application of the requirements set out in Part Three, Title II, Chapter 4; in relation to paragraph 1, point (d), the application of the requirements set out in Chapter 2 of Regulation (EU) 2017/2402 and in Part Three, Title II, Chapter 5, of this Regulation.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.