EBA launches consultation on contractual payments’ weighted average maturity

On July 31st, The European Banking Authority (EBA) launched a public consultation on draft Guidelines (GLs) on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche, as per the Capital Requirements Regulation (CRR) Article 257(1) (a).

The revised CRR framework for securitisation introduced the maturity of the tranche as an additional risk factor to take into account when calculating the capital requirement of securitisation exposures. The revised CRR also mandates the EBA to monitor the range of practices in this area, with particular regard to the measurement of the maturity of a tranche as the WAM of the contractual payments due under the tranche, and issue guidelines by 31 December 2019.

This article provides further insight on the methodology applicable for the determination of the WAM.