EBA Consults on Draft Guidelines on Determination of Weighted Average Maturity of Contractual Payments Due Under the Tranche of a Securitization Transaction


On July 31, the European Banking Authority (EBA) published a consultation paper on draft guidelines on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitization transaction. The guidelines are intended to provide guiding principles for institutions opting to use the WAM approach rather than final legacy maturity approach for calculating the risk-weighted exposure amounts of a securitization position under the methods that use the maturity of the tranche as a risk factor.

The main areas covered by the guidelines are:

  • Meaning of contractual payments due under the tranche.
  • Data and information requirements.
  • Methodologies for determining the contractual payments of the securitized exposures, and of the tranches, both for traditional and synthetic securitizations.
  • Implementation and use of the WAM model.

The EBA will hold a public consultation on the draft guidelines on September 3 and the deadline for responses is October 31.

The consultation paper can be found here.