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

  • Status: Final draft RTS/ITS adopted by the EBA and submitted to the European Commission

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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Draft Regulatory Technical Standards on the determination by originator institutions of the exposure value of SES in securitisations

  • Status: Not yet applicable
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Documents
Draft RTS on the determination by originator institutions of the exposure value of SES in securitisations

(568.57 KB - PDF) Last update 25 April 2023

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