August ICAS Newsletter - Issue 32/2022


The Capital Markets Recovery Package ("CMRP") amended the Capital Requirements Regulation ("CRR") in several aspects, including a preferential treatment for senior tranches of simple, transparent and standardised ("STS") on-balance-sheet securitisations. It also introduced a provision on how to determine the exposure value of SES in synthetic securitisations. The proposals set out in this Consultation Paper will contribute to a more risk sensitive prudential framework in the area of synthetic securitisation. The consultation runs until 14 October 2022.

16 August 2022
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