Annex IX, Part 4, Numbers 26 to 29 of Directive 2006/48/EC specifies an approach for securitisations with early amortisation triggered by excess spread. In the 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 points 26 to 29 of Directive 2006/28/EC for determining the conversion figure indicated (see Annex IX, Part 4, Number 30 of Directive 2006/48/EC).
Article 233 of the Order of 20 February 2007 relating to capital requirements for credit institutions and investment firms allow the Commission bancaire to apply a specific treatment to determine the conversion factor, if a securitisation includes a provision for early amortisation of retail exposures that are uncommitted and unconditionally cancellable without prior notice, and the early amortisation is triggered by a quantitative threshold other than the three-month average excess spread. That treatment determined by the Commission bancaire shall closely approximate the treatment set out in points 26 to 29 of Directive 2006/28/EC.
In order to define this specific treatment, the Commission Bancaire shall consult with the competent authorities of all other European Union Member States and give consideration to their opinions. The opinions expressed during this consultation and the treatment adopted shall be made public by the Commission Bancaire.
For an overview regarding the special treatment of securitisations in the other member states see the
corresponding table on the CEBS homepage.
