Open on EUR-Lex ↗

Article 260 - Treatment of STS securitisations under the SEC-IRBA

Comparing 28/06/2023 → 09/01/2024: 0 added, 0 removed, 1 changed Close comparison

Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications:

risk-weight floor for senior securitisation positions = 10 %

$$p = \max \left[ 0.3,[0.3, 0.5 \left( A(A + B \left(\frac{1}{N}\right)(1/N) + C K_{\mathrm{IRB}} + D \mathrm{LGD} + E M_{\mathrm{T}} \right) \right]$$M_{\mathrm{T}})]$$

Official text · consolidated version 09/01/2024 (no longer in force) Open full page ↗
7 queries · page built in 30 msInventory f82bbfa3