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

Article 260
Treatment of STS securitisations under the SEC-IRBA

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, 0.5 \left( A + B \left(\frac{1}{N}\right) + C K_{\mathrm{IRB}} + D \mathrm{LGD} + E M_{\mathrm{T}} \right) \right]

Official text · consolidated version 26/04/2019 (no longer in force) Open full page ↗
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