Response to consultation on draft RTS on the determination by originator institutions of the exposure value of SES in securitisations
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Q1. Do respondents find the provisions clear enough or would any additional clarification be needed on any aspect?
Please see our attached paperQ2. Do you agree with the possibility of choosing between the full and the simplified model approaches in a consistent manner?
Please see our attached paperQ3. Instead, would you favour that the RTS consider only one method (i.e. the full model approach or the simplified model approach) for the calculation of the exposure value of the synthetic excess spread of the future periods?
Please see our attached paperQ4. Do you agree with the specifications of the asset model made in Article 3?
Please see our attached paperQ5. Do you agree with the specifications for the determination of the relevant losses made in Article 5?
Please see our attached paperQ6. Do you agree with the calculation of the exposure value of synthetic excess spread for future periods made in Article 6?
Please see our attached paperQ7. Shall the average of the scenarios be made in a different way for UIOLI and trapped mechanisms (e.g. back-loaded and evenly-loaded only for UIOLI mechanisms, and front-loaded and evenly-loaded for trapped mechanisms)?
Please see our attached paperUpload files
PCS EBA SES Response.pdf
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