RegAlert2020-07-28 | NBB_2020_30Added
NBB Circular NBB_2020_30: EBA Guidelines on Determining the Weighted Average Maturity of the Tranche under Article 257(1)(a) of Regulation (EU) No 575/2013
The National Bank of Belgium integrates the European Banking Authority's guidelines on determining the weighted average maturity of tranches into its supervisory practice, requiring credit institutions and investment firms to adopt the tranche maturity as a complementary parameter for calculating risk-weighted exposure amounts. The document specifies methods for calculating contractual payments for both classic and synthetic securitizations, outlines data requirements and asset/liability modeling standards, and establishes monitoring and implementation obligations. These requirements apply to credit institutions not directly supervised by the ECB, securities firms, and branches of non-EEA entities in Belgium, and the circular enters into force on September 1, 2020.
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NBB_2020_30 – 28 July 2020 Circular – Page 1/3 14 Berlaimont Boulevard – BE-1000 Brussels tel.: +32 2 221 24 33 company number: 0203.201.340 RPM Brussels www.bnb.be
Circular
Brussels, 28 July 2020
Reference: NBB_2020_30 your contact person:
Lisanne Vanderstappen tel.: +32 2 221 41 97 lisanne.vanderstappen@nbb.be
EBA Guidelines on the determination of the weighted average maturity of the tranche, in accordance with Article 257(1)(a) of Regulation (EU) No 575/2013
Scope
Credit institutions not subject to the direct prudential supervision of the European Central Bank 1, securities firms, and branches established in Belgium of credit institutions and securities firms governed by the law of a non-EEA country, both on a consolidated and on an individual basis.
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Lineage: In force
Source: National Bank of Belgium — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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