Regulatory Alerts2020-07-21
Implementation of EBA Guidelines on determining the weighted average maturity of the tranche under Article 257(1)(a) of Regulation (EU) No 575/2013 (EBA/GL/2020/04)
The Prudential Supervision and Resolution Authority has declared compliance with the European Banking Authority's guidelines regarding the calculation of the weighted average maturity of tranches. These guidelines detail specific calculation methods for traditional and synthetic securitizations to enable risk-sensitive exposure weightings and clarify the use of external data and models. The guidelines are applicable to credit institutions.
NOTICE Implementation of the European Banking Authority Guidelines on determining the weighted average maturity of the tranche, in accordance with Article 257(1)(a) of Regulation (EU) No 575/2013 (EBA/GL/2020/04)
The Prudential Supervision and Resolution Authority has declared compliance with the European Banking Authority (EBA/GL/2020/04) guidelines on determining the weighted average maturity of the tranche, in accordance with Article 257(1)(a) of Regulation (EU) No 575/2013.
These guidelines detail, in particular, two methods for calculating the weighted average maturity of a securitization tranche, depending on whether the securitization is traditional or synthetic, in order to allow for more risk-sensitive calculation of exposure weightings for securitization exposures. The rules for the use of external data and models are also clarified.
These guidelines are applicable to credit institutions.