Article 256 › 6

In the case of securitisations subject to an early amortisation provision of retail exposures which are uncommitted and unconditionally cancellable without prior notice, where the early amortisation is triggered by the excess spread level falling to a specified level, institutions shall compare the three-month average excess spread level with the excess spread levels at which excess spread is required to be trapped. Where the securitisation does not require excess spread to be trapped, the trapping point is deemed to be 4,5 percentage points greater than the excess spread level at which an early amortisation is triggered. The conversion factor to be applied shall be determined by the level of the actual three month average excess spread in accordance with Table 2. Where: (a) ‧Level A‧ refers to levels of excess spread less than 133,33 % of the trapping level of excess spread but not less than 100 % of that trapping level; (b) ‧Level B‧ refers to levels of excess spread less than 100 % of the trapping level of excess spread but not less than 75 % of that trapping level; (c) ‧Level C‧ refers to levels of excess spread less than 75 % of the trapping level of excess spread but not less than 50 % of that trapping level; (d) ‧Level D‧ refers to levels of excess spread less than 50 % of the trapping level of excess spread but not less than 25 % of that trapping level; (e) ‧Level E‧ refers to levels of excess spread less than 25 % of the trapping level of excess spread.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04