2020/05/04

The European Banking Authority (EBA) published its final guidelines on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitisation transaction, as laid down in the Capital Requirements Regulation. The revised Securitisation Regulation introduces the additional parameter specifying the maturity of the tranche, which is needed by institutions using the internal or the external rating based approach (SEC-IRBA, SEC-ERBA) for the calculation of the risk-weighted exposure amounts of their securitisation positions. Those institutions opting for the use of the WAM approach rather than the final legal maturity approach when calculating their capital requirements under SEC-IRBA or the SEC-ERBA should follow the guidelines with respect to the meaning of contractual payments due under the tranche; data and information requirements; methodologies for determining the contractual payments of the securitised exposures due under the tranche both for traditional and synthetic securitisations; and implementation and use of the WAM model.

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