Commission Delegated Regulation (EU) 2015/35Show full title

[F1 Article 178a U.K. Spread risk on securitisation positions: transitional provisions

1. Notwithstanding Article 178(3), securitisations issued before 1 January 2019 that qualify as type 1 securitisations in accordance with Article 177(2) in the version in force on 31 December 2018 shall be assigned a risk factor stress _i in accordance with Article 178(3) even where those securitisations are not STS securitisations which fulfil the requirements set out in Article 243 of Regulation (EU) No 575/2013.

2. Paragraph 1 shall apply only in circumstances where no new underlying exposures were added or substituted after 31 December 2018 .

3. Notwithstanding Article 178(3), securitisations issued before 18 January 2015 that qualify as type 1 securitisations in accordance with Article 177(4) in the version in force on 31 December 2018 shall be assigned a risk factor stress _i in accordance with Articles 177 and 178 in the version in force on 31 December 2018 .

4. Notwithstanding Article 178(3), securitisations issued before 1 January 2019 that qualify as type 1 securitisations in accordance with Article 177(5) in the version in force on 31 December 2018 shall, until 31 December 2025 , be assigned a risk factor stress _i in accordance with Articles 177 and 178 in the version in force on 31 December 2018 .

[F2 5. For the purposes of paragraphs 3 and 4, Article 177 (in the version of this Regulation which was in force on 31 December 2018) continues to have effect notwithstanding its deletion by Article 1(3) of Commission Delegated Regulation (EU) 2018/1221, and has effect for those purposes with the following modifications—

(a) paragraph 2 is to be read as if—

(i) a reference to Regulation (EU) No 575/2013 were a reference to the version of that Regulation which was in force on 31 December 2018;

(ii) in point (b) “the EEA or” were omitted;

(iii) in point (h)(i)—

(aa) for “national law of the Member State where the loans were originated” there were substituted “ loans were originated in the United Kingdom and the law of the United Kingdom ” ;

(bb) “, and that Member State has notified this law to the Commission and EIOPA” were omitted;

(iv) point (h)(ii) were omitted;

(v) in point (h)(iv) for the words from “agricultural” to “tracked” there were substituted “ tractors as defined in point (8) of Article 3 of Regulation (EU) No 167/2013 of the European Parliament and of the Council (as it had effect immediately before IP completion day), powered two-wheelers or powered tricycles as defined in points (68) and (69) of Article 3 of Regulation (EU) No 168/2013 of the European Parliament and of the Council (as it had effect immediately before IP completion day) or tracked ” ;

(vi) in points (r) and (s) for the words “countries that are not members of the Union”, both times it occurs, substitute “ a country other than the United Kingdom ” ;

(vii) in point (t)—

(aa) the words from “and discloses information” to “stress tests” were omitted;

(bb) for “Union”, in both places it occurs, there were substituted “ United Kingdom ” ;

(b) paragraph 4 is to be read as if for “the entry into force of this Regulation” there were substituted “ 18 January 2015 ” ; and

(c) paragraph 5 is to be read as if, in points (a) and (c), for “the date of entry into force of this Regulation” there were substituted “ 18 January 2015 ” .] ]

Textual Amendments

F1 Inserted by Commission Delegated Regulation (EU) 2018/1221 of 1 June 2018 amending Delegated Regulation (EU) 2015/35 as regards the calculation of regulatory capital requirements for securitisations and simple, transparent and standardised securitisations held by insurance and reinsurance undertakings (Text with EEA relevance).

F2 Art. 178a(5) inserted (31.12.2020) by The Financial Services (Miscellaneous) (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/710), regs. 1(4), 28(2) (as amended by S.I. 2020/1301, regs. 1, 3, Sch. para. 43(f)); 2020 c. 1, Sch. 5 para. 1(1)