+Article 325am 1.
|
Article 325am 1.
Risk weights for the sensitivities to credit spread risk factors for securitisation not included in the ACTP shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 7 and shall be specified for each bucket in Table 7 pursuant to the delegated act referred to in Article 461a:
▼M12
Table 7
|
Bucket number
|
Credit quality
|
Sector
|
Risk weight
|
|
1
|
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Senior and credit quality step 1 to 10 ◄
|
RMBS — Prime
|
0,9 %
|
|
2
|
RMBS — Mid-Prime
|
1,5 %
|
|
3
|
RMBS — Sub-Prime
|
2,0 %
|
|
4
|
CMBS
|
2,0 %
|
|
5
|
Asset backed securities (ABS) — Student loans
|
0,8 %
|
|
6
|
ABS — Credit cards
|
1,2 %
|
|
7
|
ABS — Auto
|
1,2 %
|
|
8
|
Collateralised loan obligations (CLO) non-ACTP
|
1,4 %
|
|
9
|
►M17
Non-senior and credit quality step 1 to 10 ◄
|
RMBS — Prime
|
1,125 %
|
|
10
|
RMBS — Mid-Prime
|
1,875 %
|
|
11
|
RMBS — Sub-Prime
|
2,5 %
|
|
12
|
CMBS
|
2,5 %
|
|
13
|
ABS — Student loans
|
1 %
|
|
14
|
ABS — Credit cards
|
1,5 %
|
|
15
|
ABS — Auto
|
1,5 %
|
|
16
|
CLO non-ACTP
|
1,75 %
|
|
17
|
►M17
Credit quality step 11 to 17 and unrated ◄
|
RMBS — Prime
|
1,575 %
|
|
18
|
RMBS — Mid-Prime
|
2,625 %
|
|
19
|
RMBS — Sub-Prime
|
3,5 %
|
|
20
|
CMBS
|
3,5 %
|
|
21
|
ABS — Student loans
|
1,4 %
|
|
22
|
ABS — Credit cards
|
2,1 %
|
|
23
|
ABS — Auto
|
2,1 %
|
|
24
|
CLO non-ACTP
|
2,45 %
|
|
25
|
Other sector
|
3,5 %
|
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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 |
|