Regulation (EU) No 575/2013 of the European Parliament and of the CouncilShow full title

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 (Text with EEA relevance)

[X1 [F1Article 264 U.K. 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  %] ]

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