On 25 April 2023, the European Banking Authority (EBA) published a report containing final draft regulatory technical standards (RTS) that specify how originator institutions are to determine the exposure value referred to in Article 248(1)(e) of the Capital Requirements Regulation (CRR) (as amended by Regulation 2021/558), taking into account the relevant losses expected to be covered by the synthetic excess spread (SES). Article 248(4) of the CRR (as amended) mandated the EBA to develop these draft RTS.

The draft RTS specify the calculation of the components that should be included in the exposure value of SES, taking into account the relevant losses expected to be covered by SES. The draft RTS also include a grandfathering provision, up to the maturity of the transaction, for transactions featuring SES, where the originating institution fulfilled the requirements of Article 248(1)(e), points (i) to (iv) of the CRR in accordance with the supervisory practice adopted by the relevant competent authority.

The final draft RTS will be submitted to the European Commission for adoption. Following the submission, the draft RTS will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union.