Regulatory Alerts2025-01-01
Circular No. 2022-01 on the Prudential Regime for System Securitization
The Central Bank of the Republic of San Marino issued Circular No. 2022-01 to establish the prudential treatment for system securitization, specifically defining risk-weighted factors for Asset Backed Securities (ABS) and Escrow Accounts held by originator banks. The regulation mandates a 75% risk weight for ABS Senior tranches, reducible to 20% or 0% with insurance or state guarantees, while ABS Mezzanine and Junior tranches are subject to bank-specific weighted average calculations and dynamic adjustment formulas. These rules apply to the capital adequacy calculation for originator banks, ensuring alignment with existing credit risk and capital ratio regulations under BCSM Regulation No. 2007-07.
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