The EBA published the Final Draft on the RTS on the exposure value of synthetic excess spreads (SES) on 25 April 2023. The first draft was published on 9 August 2022 and consulted until October 2022 (see TSI kompakt of 11 August 2022). The obligation to consider the SES as securitisation position which has to
Synthetic Excess Spreads
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STS criteria for synthetic securitisations – EBA publishes draft guidelines
The EBA published a consultation paper on Guidelines for STS criteria for synthetic securitizations on April 21, 2023. The guidelines are intended to provide a uniform interpretation of the STS criteria for so-called on-balance sheet transactions. […]
TSI supports AFME response on the EBA consultation “Exposure Value of SES”
Last Friday, 14 October 2022, the EBA’s consultation period on the draft RTS on the capital adequacy of synthetic excess spreads (“SES”), the so-called Exposure Value of SES, expired. The Association for Financial Markets in Europe (AFME) has submitted a detailed response to the EBA. The underlying regulations STS for synthetic securitisations had already entered