The EBA published final draft RTS specifying the determination by originator institutions of the exposure value of synthetic excess spread (SES) in synthetic securitisations. These draft RTS clarify the calculation of the components that should be included in this exposure value taking into account the relevant losses expected to be covered by SES.

Dateityp: www
Kategorien: 3.1. Märkte für Finanzinstrumente
Schlagwörter: Verbriefungen
Quelle: EBA