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)

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.