PART THREE CAPITAL REQUIREMENTS

TITLE II CAPITAL REQUIREMENTS FOR CREDIT RISK

CHAPTER 5 Securitisation

Section 3 Calculation of risk-weighted exposure amounts

Subsection 3 Methods to calculate risk-weighted exposure amounts

Article 264 Treatment of STS securitisations under the SEC-ERBA
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:

Table 3
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):

Table 4
Credit Quality Step	Senior tranche		Non-senior (thin) tranche	
	Tranche maturity (M T )		Tranche maturity (M T )	
	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  %
Substituted by Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms.
Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).