Response to consultation on draft RTS on the determination by originator institutions of the exposure value of SES in securitisations

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Q1. Do respondents find the provisions clear enough or would any additional clarification be needed on any aspect?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q2. Do you agree with the possibility of choosing between the full and the simplified model approaches in a consistent manner?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q3. Instead, would you favour that the RTS consider only one method (i.e. the full model approach or the simplified model approach) for the calculation of the exposure value of the synthetic excess spread of the future periods?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q4. Do you agree with the specifications of the asset model made in Article 3?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q5. Do you agree with the specifications for the determination of the relevant losses made in Article 5?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q6. Do you agree with the calculation of the exposure value of synthetic excess spread for future periods made in Article 6?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q7. Shall the average of the scenarios be made in a different way for UIOLI and trapped mechanisms (e.g. back-loaded and evenly-loaded only for UIOLI mechanisms, and front-loaded and evenly-loaded for trapped mechanisms)?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q8. Do you agree with the specification of the simplified model approach made in Article 7?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q9. Do you consider that the formula can be further simplified (e.g. by using the maturity of the credit protection multiplied by a conservative scalar instead of WAL)?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q10. Do you agree with the scalar assigned for UIOLI mechanisms? If not, please provide empirical evidence that justifies a different scalar based on the different loss absorbing capacity of UIOLI vs trapped mechanisms.

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Would you favour that approach? If so, how do you think that this rolling-window approach for calculating UIOLI SES will affect the efficiency and viability of synthetic transactions in comparison with the current supervisory practices? Please justify your response with specific illustrative examples or data.

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q12. Do you agree with the treatment of the ex-post SES of future periods in the RTS? If not, please provide rationale and data supporting your views

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

Q13.Do you have any other comments on these draft RTS?

Please see uploaded file titled "AFME Response (13.10.2022) - EBA consultation on SES".

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Name of the organization

AFME