Guidelines on the determination of the weighted average maturity of contractual payments due under the tranche of a securitisation transaction

status: Final and translated into the EU official languages

These draft Guidelines determine the weighted average maturity (WAM) of the contractual payments due under the tranche, as per the Capital Requirements Regulation (CRR) Article 257(1) (a). They aim at ensuring that the methodology applicable for the determination of the WAM for regulatory purposes is sufficiently harmonised in order to increase consistency and comparability in the own funds held by institutions.

Press Release

Consultation Papers