1.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.
2.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:
Credit Quality Step | 1 | 2 | 3 | All other ratings |
Risk weight | 10 % | 30 % | 60 % | 1 250 % |
3.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 (M T ) in accordance with Article 257 and Article 263(4) and for tranche thickness for non-senior tranches in accordance with Article 263(5):
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 % |