Treatment of STS securitisations under the SEC-ERBA
Amendment details· last amended 1 Jan 2019
Last amended 1 Jan 2019 by Regulation (EU) 2017/2401 of 12 December 2017 and/or Regulation (EU) 2019/876 of 20 May 2019.
Under the SEC-ERBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 263, subject to the modifications laid down in this Article.
For exposures with short-term credit assessments or when a rating based on a short-term credit assessment may be inferred in accordance with Article 263(7), the following risk weights shall apply:
Table 3
Credit Quality Step | 1 | 2 | 3 | All other ratings |
Risk weight | 10 % | 30 % | 60 % | 1 250 % |
For exposures with long-term credit assessments or when a rating based on a long-term credit assessment may be inferred in accordance with Article 263(7), risk weights shall be determined in accordance with Table 4, adjusted for tranche maturity (MT) in accordance with Article 257 and Article 263(4) and for tranche thickness for non-senior tranches in accordance with Article 263(5):
Table 4
Credit Quality Step | Senior tranche | Non-senior (thin) tranche | ||
|---|---|---|---|---|
Tranche maturity (MT) | Tranche maturity (MT) | |||
1 year | 5 years | 1 year | 5 years | |
1 | 10 % | 10 % | 15 % | 40 % |
2 | 10 % | 15 % | 15 % | 55 % |
3 | 15 % | 20 % | 15 % | 70 % |
4 | 15 % | 25 % | 25 % | 80 % |
5 | 20 % | 30 % | 35 % | 95 % |
6 | 30 % | 40 % | 60 % | 135 % |
7 | 35 % | 40 % | 95 % | 170 % |
8 | 45 % | 55 % | 150 % | 225 % |
9 | 55 % | 65 % | 180 % | 255 % |
10 | 70 % | 85 % | 270 % | 345 % |
11 | 120 % | 135 % | 405 % | 500 % |
12 | 135 % | 155 % | 535 % | 655 % |
13 | 170 % | 195 % | 645 % | 740 % |
14 | 225 % | 250 % | 810 % | 855 % |
15 | 280 % | 305 % | 945 % | 945 % |
16 | 340 % | 380 % | 1 015 % | 1 015 % |
17 | 415 % | 455 % | 1 250 % | 1 250 % |
All other | 1 250 % | 1 250 % | 1 250 % | 1 250 % |