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On 4 May 2020, the European Banking Authority (“EBA”) published a final report containing guidelines (EBA/GL/2020/04) (the “Guidelines”) on the use of the weighted average maturity approach (“WAM”) instead of the final legal maturity approach when calculating contractual payments due under the tranche of a securitisation transaction. This is relevant for institutions using the internal, or the external, rating-based approach for the calculation of their capital requirements under the EU Capital Requirements Regulation ((EU) 575/2013), as amended by the CRR Amending Regulation ((EU) 2017/2401) (“CRR”). CRR currently provides for tranche maturity as an additional parameter to calculate the capital requirement in respect of securitisation positions.