Featured Product

    NBB Issues Circular on Determining WAM Under Securitization Tranche

    July 28, 2020

    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
    Related Articles

    BIS and Central Banks Experiment with GenAI to Assess Climate Risks

    A recent report from the Bank for International Settlements (BIS) Innovation Hub details Project Gaia, a collaboration between the BIS Innovation Hub Eurosystem Center and certain central banks in Europe

    March 20, 2024 WebPage Regulatory News

    Nearly 25% G-SIBs Commit to Adopting TNFD Nature-Related Disclosures

    Nature-related risks are increasing in severity and frequency, affecting businesses, capital providers, financial systems, and economies.

    March 18, 2024 WebPage Regulatory News

    Singapore to Mandate Climate Disclosures from FY2025

    Singapore recently took a significant step toward turning climate ambition into action, with the introduction of mandatory climate-related disclosures for listed and large non-listed companies

    March 18, 2024 WebPage Regulatory News

    SEC Finalizes Climate-Related Disclosures Rule

    The U.S. Securities and Exchange Commission (SEC) has finalized the long-awaited rule that mandates climate-related disclosures for domestic and foreign publicly listed companies in the U.S.

    March 07, 2024 WebPage Regulatory News

    EBA Proposes Standards Related to Standardized Credit Risk Approach

    The European Banking Authority (EBA) has been taking significant steps toward implementing the Basel III framework and strengthening the regulatory framework for credit institutions in the EU

    March 05, 2024 WebPage Regulatory News

    US Regulators Release Stress Test Scenarios for Banks

    The U.S. regulators recently released baseline and severely adverse scenarios, along with other details, for stress testing the banks in 2024. The relevant U.S. banking regulators are the Federal Reserve Bank (FED), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC).

    February 28, 2024 WebPage Regulatory News

    Asian Governments Aim for Interoperability in AI Governance Frameworks

    The regulatory landscape for artificial intelligence (AI), including the generative kind, is evolving rapidly, with governments and regulators aiming to address the challenges and opportunities presented by this transformative technology.

    February 28, 2024 WebPage Regulatory News

    EBA Proposes Operational Risk Standards Under Final Basel III Package

    The European Union (EU) has been working on the final elements of Basel III standards, with endorsement of the Banking Package and the publication of the European Banking Authority (EBA) roadmap on Basel III implementation in December 2023.

    February 26, 2024 WebPage Regulatory News

    EFRAG Proposes XBRL Taxonomy and Standard for Listed SMEs Under ESRS

    The European Financial Reporting Advisory Group (EFRAG), which plays a crucial role in shaping corporate reporting standards in European Union (EU), is seeking comments, until May 21, 2024, on the Exposure Draft ESRS for listed SMEs.

    February 23, 2024 WebPage Regulatory News

    ECB to Expand Climate Change Work in 2024-2025

    Banking regulators worldwide are increasingly focusing on addressing, monitoring, and supervising the institutions' exposure to climate and environmental risks.

    February 23, 2024 WebPage Regulatory News
    RESULTS 1 - 10 OF 8957