AI Summary of Article 264 Treatment of STS securitisations under the SEC-ERBA
The SEC-ERBA stipulates that the risk weight for positions in STS securitisations is determined as per Article 263, with specific modifications outlined. For exposures with short-term credit assessments, predetermined risk weights are assigned based on the Credit Quality Step, ranging from 10% to 60% depending on rating classifications.
Regarding long-term credit assessments, risk weights are further refined based on tranche maturity and thickness as detailed in Table 4. This segmentation reflects the risk profile of different tranches, accommodating variations in maturity from 1 to 5 years and distinguishing between senior and non-senior tranches. Notably, all other exposures hold a consistent risk weight of 1,250%.
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.
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 (MT) 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 | ||