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EU Securitisation Regulation: Avoiding the worst excesses

EBA's final draft RTS on exposure value for synthetic excess spread represents a significant improvement on problematic consultation draft for on-balance sheet securitisations.

On 24 April 2023, the European Banking Authority published its final report on the final draft RTS on calculating the exposure value of synthetic excess spread. In this briefing (see link below) we set out our observations on this final report, which will be relevant to those working on (or with an interest in) synthetic securitisations featuring excess spread (whether or not designated under the EU Securitisation Regulation as "simple, transparent and standardised" (STS) securitisation). Synthetic excess spread is particularly common in SME and consumer lending deals.

Click here for contact details of our global securitisation team.