NBB Issues Circular on Determining WAM Under Securitization Tranche
NBB published a circular related to the EBA guidelines (EBA/GL/2020/04) on determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitization transaction, as laid down in the Capital Requirements Regulation (CRR). The scope of this circular includes credit institutions not subject to direct prudential supervision by ECB, brokerage firms, branches of credit institutions in Belgium, and brokerage firms governed by the law of a non-European Economic Area country, both on a consolidated and solo basis. With this circular, NBB intends to indicate that the EBA guidelines (EBA/GL/2020/04) have been integrated into its supervisory practice. This circular contains an explanation of the guidelines and comes into force on September 01, 2020.
The maturity of the tranche is an additional parameter introduced by the revised Securitization Regulation that is needed by institutions using internal or the external rating-based approach (SEC-IRBA or SEC-ERBA, respectively) for the calculation of the risk-weighted exposure amounts of their securitization positions. The EBA guidelines will help institutions using the SEC-IRBA or SEC-ERBA and opting for the use of weighted average maturity approach, instead of the final legal maturity approach, when calculating their capital requirements. These guidelines aim to clarify certain aspects of the weighted average maturity approach, including the following:
- Determination of the contractual payments due under the tranche for conventional and synthetic securitizations
- Data and information requirements
- Asset and liability models in conventional securitizations
- Method for determining the contractual payments due under the tranche in the event of synthetic securitizations
- Requirements for monitoring and implementing the weighted average maturity approach
Related Links
Keywords: Europe, Belgium, Banking, Securitization, CRR, Weighted Average Maturity, Basel, SEC-IRBA, SEC-ERBA, Securitization Regulation, EBA, NBB
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Victor Calanog, Ph.D.
Leading economist; commercial real estate; performance forecasting, econometric infrastructure; data modeling; credit risk modeling; portfolio assessment; custom commercial real estate analysis; thought leader.
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Previous Article
ISDA Launches Indicator to Monitor Risk-Free Rate AdoptionRelated Articles
EBA Publishes Final Regulatory Standards on STS Securitizations
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.
ECB Further Reviews Costs and Benefits Associated with IReF
The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.
EBA Publishes Funding Plans Report, Receives EMAS Certification
The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).
MAS Launches SaaS Solution to Simplify Listed Entity ESG Disclosures
The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.
BCBS to Finalize Crypto Rules by End-2022; US to Propose Basel 3 Rules
The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.
IOSCO Welcomes Work on Sustainability-Related Corporate Reporting
The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)
BoE Allows One-Day Delay in Statistical Data Submissions by Banks
The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.
ACPR Amends Reporting Module Timelines Under EBA Framework 3.2
The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.
ECB Paper Discusses Disclosure of Climate Risks by Credit Agencies
The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)
APRA to Modernize Prudential Architecture, Reduces Liquidity Facility
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.
