The SEC-ERBA outlines the methodology for calculating risk-weighted exposure amounts for securitisation positions by applying relevant risk weights based on credit assessments. Specifically, exposures are categorised into short-term and long-term assessments, with respective risk weights defined for various credit quality steps.

Additionally, institutions must consider tranche maturity and thickness, ensuring that non-senior tranches meet a minimum risk weight threshold while remaining aligned with senior tranche assessments. The regulations further stipulate that inferred ratings for unrated positions must be derived from adequately rated reference positions, ensuring ongoing reflection of credit assessments.