1. Competent authorities should consider if there are maturity or currency mismatches between the …

Competent authorities should consider if there are maturity or currency mismatches between the protection provided and the underlying assets. When considering the maturity of the protection, competent authorities should consider whether optional calls or other features might reduce the maturity of the protection in practice, and how this relates to the expected time of defaults on the asset pool.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/