Methodology for the determination of the weighted average maturity of securitisation positions for regulatory purposes

Topic area:
Status: 30.10.2020 |
Archived
Key words:
Securitisation, Standardized approach for credit risk
Initiative
Official name
EBA Guidelineson the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche in accordance with point (a) of Article 257(1) of Regulation (EU) No 575/2013
Type
Guidelines
Level 3 / Other
Initiator
EBA
Submitted
31.07.2019
Doc. code
EBA/GL/2020/04
Summary
Status
Status

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Current version
Final version
04.05.2020
Next step
Entry into force and application
Entry into force

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Application date

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Scope
Relevant for

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Associated initiatives
Level 1
CRR - Capital requirements (Articles 92-386) (non-binding, EU)
CRR - Large Loans (Articles 387-403) (non-binding, EU)
CRR (binding, Main version, EU)
Level 2
–
Level 3 / Other
Weighted average maturity of the contractual payments due under the tranche (binding, DE)

Source: EBA, EBA/GL/2020/04, 2020