PART THREECAPITAL REQUIREMENTS

TITLE IICAPITAL REQUIREMENTS FOR CREDIT RISK

CHAPTER 5 Securitisation

Section 3 Calculation of the risk weighted exposure amounts

Sub-Section 3 Calculation of risk-weighted exposure amounts under the Standardised Approach

Article 254Treatment of securitisation positions in a second loss tranche or better in an ABCP programme

Subject to the availability of a more favourable treatment for unrated liquidity facilities under Article 255 an institution may apply to securitisation positions meeting the following conditions a risk weight that is the greater of 100 % or the highest of the risk weights that would be applied to any of the securitised exposures under Chapter 2 by an institution holding the exposures:

  1. (a)

    the securitisation position shall be in a tranche which is economically in a second loss position or better in the securitisation and the first loss tranche shall provide meaningful credit enhancement to the second loss tranche;

  2. (b)

    the quality of the securitisation position shall be equivalent to credit quality step 3 under the Standardised Approach or better;

  3. (c)

    the securitisation position shall be held by an institution which does not hold a position in the first loss tranche.