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EBA consults on draft RTS on exposure value of synthetic excess spread in securitisations

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Published on: 09 August 2022

Published by LNB News

LNB News 09/08/2022

Document Information

Issue Date: 09 August 2022

Published Date: 09 August 2022

Jurisdiction(s): United Kingdom

Article summary

The European Banking Authority (EBA) has launched a consultation on draft regulatory technical standards (RTS) on the determination by originator institutions of the exposure value of synthetic excess spread (SES) in securitisations. The Capital Markets Recovery Package (CMRP) amended the EU Securitisation Regulation and EU CRR to introduce a preferential treatment for senior tranches of simple, transparent and standardised (STS) on-balance-sheet securitisations and a provision on how to determine the exposure value of SES in synthetic securitisations. The consultation runs until 14 October 2022. A public hearing will take place via conference call on 6 September 2022 from 11:00 to 12:00 CET.

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