1.Under the Ratings Based Method, the institution shall calculate the risk-weighted exposure amount of a rated securitisation or re-securitisation position by applying the relevant risk weight to the exposure value and multiplying the result by 1,06.
The relevant risk weight shall be the risk weight as laid down in Table 4, with which the credit assessment of the position is associated in accordance with Section 4.
Credit assessments other than short term | Short term credit assessments | A | B | C | D | E
1 | 1 | 7 % | 12 % | 20 % | 20 % | 30 %
2 | | 8 % | 15 % | 25 % | 25 % | 40 %
3 | | 10 % | 18 % | 35 % | 35 % | 50 %
4 | 2 | 12 % | 20 % | 40 % | 65 %
5 | | 20 % | 35 % | 60 % | 100 %
6 | | 35 % | 50 % | 100 % | 150 %
7 | 3 | 60 % | 75 % | 150 % | 225 %
8 | | 100 % | 200 % | 350 %
9 | | 250 % | 300 % | 500 %
10 | | 425 % | 500 % | 650 %
11 | | 650 % | 750 % | 850 %
all other and unrated | 1 250 %
The weightings in column C of Table 4 shall be applied where the securitisation position is not a re-securitisation position and where the effective number of exposures securitised is less than six.
For the remainder of the securitisation positions that are not re-securitisation positions, the weightings in column B shall be applied unless the position is in the most senior tranche of a securitisation, in which case the weightings in column A shall be applied.
For re-securitisation positions the weightings in column E shall be applied unless the re-securitisation position is in the most senior tranche of the re-securitisation and none of the underlying exposures are themselves re-securitisation exposures, in which case column D shall be applied.
When determining whether a tranche is the most senior, it is not required to take into consideration amounts due under interest rate or currency derivative contracts, fees due, or other similar payments.
In calculating the effective number of exposures securitised multiple exposures to one obligor shall be treated as one exposure. The effective number of exposures is calculated as:
N = \frac{(\sum_{i} \mathrm{EAD}_{i})^{2}}{\sum_{i} \mathrm{EAD}_{i}^{2}}
where EADi represents the sum of the exposure values of all exposures to the ith obligor. If the portfolio share associated with the largest exposure, C1, is available, the institution may compute N as 1/C1.
2.Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264(1) and (4), subject to the conditions in Article 247.
1.Under the SEC-SA, the risk-weighted exposure amount for a position in a securitisation shall be calculated by multiplying the exposure value of the position as calculated in accordance with Article 248 by the applicable risk weight determined as follows, in all cases subject to a floor of 15 %:
RW = 1 250 % | when D ≤ KA
\mathrm{RW} = 12.5 \, \mathrm{K}_{\mathrm{SSFA}(\mathrm{K}_{\mathrm{A}})} | when A ≥ KA
\mathrm{RW} = \left[\left(\frac{\mathrm{K_A} - \mathrm{A}}{\mathrm{D} - \mathrm{A}}\right) 12.5\right] + \left[\left(\frac{\mathrm{D} - \mathrm{K_A}}{\mathrm{D} - \mathrm{A}}\right) 12.5 \mathrm{K_{\mathrm{SSFA}(K_A)}}\right] | when A < KA < D
where:
D | is the detachment point as determined in accordance with Article 256;
A | is the attachment point as determined in accordance with Article 256;
KA | is a parameter calculated in accordance with paragraph 2;
K_{\mathrm{SSFA}(K_{\mathrm{A}})} = \frac{\mathrm{e}^{a u} - \mathrm{e}^{a l}}{a (u - l)}
where:
a = – (1/(p · KA))
u = D – KA
l = max (A – KA; 0)
Creditp Quality= Step1 |for Securitisationa Positionssecuritisation |exposure Re-securitisationthat Positionsis not a re-securitisation exposure
2.For the purposes of paragraph 1, K A shall be calculated as follows:
K_{\mathrm{A}} = (1 - W) K_{\mathrm{SA}} + W 0.5
where:
KSA is the capital charge of the underlying pool as defined in Article 255;
W = ratio of:
(a)the sum of the nominal amount of underlying exposures in default, to
(b)the sum of the nominal amount of all underlying exposures.
For these purposes, an exposure in default shall mean an underlying exposure which is either: (i) 90 days or more past due; (ii) subject to bankruptcy or insolvency proceedings; (iii) subject to foreclosure or similar proceeding; or (iv) in default in accordance with the securitisation documentation.
Where an institution does not know the delinquency status for 5 % or less of underlying exposures in the pool, the institution may use the SEC-SA subject to the following adjustment in the calculation KA:
K_{\mathrm{A}} = \left( \frac{\mathrm{EAD}_{\mathrm{Subpool\ 1\ where\ W\ known}}}{\mathrm{EAD\ Total}} \times \mathrm{K}_{\mathrm{A}}^{\mathrm{Subpool\ 1\ where\ W\ known}} \right) + \frac{\mathrm{EAD}_{\mathrm{Subpool\ 2\ where\ W\ unknown}}}{\mathrm{EAD\ Total}}
Where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool, the position in the securitisation must be risk-weighted at 1 250 %.
3.Where an institution has a securitisation position in the form of a derivative to hedge market risks, including interest rate or currency risks, the institution may attribute to that derivative an inferred risk weight equivalent to the risk weight of the reference position calculated in accordance with this Article.
For the purposes of this paragraph, the reference position shall be the position that is pari passu in all respects to the derivative or, in the absence of such pari passu position, the position that is immediately subordinate to the derivative.