Annex IX, Part 4, paragraphs 26-29 of Directive 2006/48/EC specifies an approach for securitisations with early amortisation triggered by excess spread. Annex IX, Part 4, paragraph 30 of Directive 2006/48/EC specifies that in 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 Annex IX, Part 4, paragraphs 26-29 of Directive 2006/48/EC for determining the conversion figures indicated.
The Bank of Lithuania does not apply this specific treatment for credit institutions under its jurisdiction.
For an overview regarding the specific treatment of securitisations in others EU Member States see the corresponding table on the CEBS homepage.
