Annex IX of the European Directive 2006/48/EC specifies an approach for securitisations with early amortisation triggered by excess spread.

Where an early amortisation of retail exposures which are uncommitted and unconditionally cancellable without prior notice is triggered by a quantitative value in respect of something other than the specified three months average excess spread, the Central Bank of Cyprus may specify an appropriate treatment that approximates the treatment outlined in Annex IX, Part 4, points 26 to 29 of the abovementioned European Directive.

Before this treatment becomes the general policy of the Central Bank of Cyprus, it must consult the other EU member states and take into consideration their views.  The views expressed in such consultation and the treatment applied shall be publicly disclosed in this website.

The Central Bank of Cyprus has not, for the time being, specified a treatment other than that specified in Annex IX, Part 4, points 26 to 29 of the subject EU Directive.

For an overview regarding the specific treatment of securitisations in the EU member states, visit the CEBS website.