Rules and guidance. Additional information
- Securitisation: Specific Treatment for securitisations of revolving exposures with early amortisation provisions (Directive 2006/48/EC, Annex IX, Part 4, paragraphs 30 and 31) (only available in Spanish
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- For EC, in the case of securitisations of revolving retail exposures, which are uncommitted and unconditionally cancellable without prior notice, and where the early amortisation is triggered by a quantitative value in respect of something other than the three months average excess spread, the Banco de España (BE) may allow to apply a treatment which approximates closely to that prescribed in Rule 64th, par. 4 of Circular of Solvency 3/2008 of Banco de España (BE), approved on 22 May 2008 (only available in Spanish ). For this purpose, according to Rule 64th, par. 6, the insitution will specify to the Banco de España the quantitative indicator chosen as well as justify its ability to provide a trapping point equivalent to that established for the three months average excess spread and the fundamentals on which it considers that this treatment reasonably captures the risks of the early amortisation provision.
- For Ifs, in the case of securitisations of revolving retail exposures, which are uncommitted and unconditionally cancellable without prior notice, and where the early amortisation is triggered by a quantitative value in respect of something other than the three months average excess spread, applies the same treatment prescribed for the credit institutions, as provided for in article 113, paragraphs 7 and 8 of the Circular 12/2008 of 30 December, of Comisión Nacional del Mercado de Valores.
