Annex IX, Part 4.§26-§29 of Directive 2006/48/EC specifies an approach for securitisations with early amortisation triggered by excess spread. Annex IX, Part 4.§30. of Directive 2006/48/EC specifies that in case of securitisations subject to an early amortisation provision of 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 competent authorities may apply a treatment which approximates closely to that prescribed in Annex IX, Part 4.§26-§29 of Directive 2006/48/EC for determining the conversion figures indicated.
Article VII.34.§4 of the CBFA Regulation on own funds as approved by Ministerial Decree (17 October 2006), stipulates that the CBFA may define a specific treatment which approximates closely to that prescribed in Article VII.34.§.3 of the same regulation. Before the application of such treatment becomes part of the general policy approach to securitisations containing early amortisation clauses of this type, the CBFA will consult the relevant competent authorities of other Member States on our proposed approach.
For an overview regarding the specific treatment of securitisations in the EU Member States see the corresponding table on the EBA homepage .