Regulatory Technical Standards on the determination by originator institutions of the exposure value of synthetic excess spread in securitisations

Under development

These Regulatory Technical Standards (RTS) reflect the amendments introduced by the Capital Markets Recovery Package (CMRP) to the Capital Requirements Regulation (CRR), including a preferential treatment for senior tranches of simple, transparent and standardised (STS) on-balance-sheet securitisations. The amendment also introduced a provision on how to determine the exposure value of SES in synthetic securitisations. The RTS contribute to a more risk-sensitive prudential framework in the area of synthetic securitisation.

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Consultation Papers