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AI Summary of Article 260 Treatment of STS securitisations under the SEC-IRBA

Under the SEC-IRBA framework, the risk weight attributed to a position within a Simple, Transparent, and Standardised (STS) securitisation must be determined in accordance with Article 259. Notably, there is a modified risk-weight floor of 10% specifically applicable to senior securitisation positions.

This adjustment aims to enhance the regulatory landscape surrounding securitisation, ensuring that senior positions maintain a robust framework while addressing the need for transparency and stability in financial markets.

Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2019 - onwards
Version 5 of 5

Article 260 Treatment of STS securitisations under the SEC-IRBA

Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications:

risk-weight floor for senior securitisation positions = 10 %