+Article 259 1.
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Article 259 1.
Under the SEC-IRBA, the risk-weighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows, in all cases subject to a floor of 15 %:
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RW = 1 250 %
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when D ≤ KIRB
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when A ≥ KIRB
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when A < KIRB < D
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where:
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KIRB
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is the capital charge of the pool of underlying exposures as defined in Article 255
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D
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is the detachment point as determined in accordance with Article 256
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A
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is the attachment point as determined in accordance with Article 256
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where:
where:
where:
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N
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is the effective number of exposures in the pool of underlying exposures, calculated in accordance with paragraph 4;
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LGD
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is the exposure-weighted average loss-given-default of the pool of underlying exposures, calculated in accordance with paragraph 5;
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MT
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is the maturity of the tranche as determined in accordance with Article 257.
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The parameters A, B, C, D, and E shall be determined according to the following look-up table:
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A
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B
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C
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D
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E
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Non-retail
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Senior, granular (N ≥ 25)
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0
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3,56
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-1,85
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0,55
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0,07
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Senior, non-granular (N < 25)
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0,11
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2,61
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-2,91
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0,68
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0,07
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Non-senior, granular (N ≥ 25)
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0,16
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2,87
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-1,03
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0,21
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0,07
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Non-senior, non-granular (N < 25)
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0,22
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2,35
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-2,46
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0,48
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0,07
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Retail
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Senior
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0
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0
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-7,48
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0,71
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0,24
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Non-senior
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0
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0
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-5,78
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0,55
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0,27
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1. Übersicht
| Bezeichnung |
Regulierung |
,
1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
| Quelle |
Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
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