+CHAPTER 5 Securitisation
---+Section 1 Definitions and criteria for simple, transparent and standardised securitisations
------+Article 242 Definitions
------+Article 243 Criteria for STS securitisations qualifying for differentiated capital treatment
---------+Article 243 1.
---------+Article 243 2.
---+Section 2 Recognition of significant risk transfer
------+Article 244 Traditional securitisation
---------+Article 244 1.
---------+Article 244 2.
---------+Article 244 3.
---------+Article 244 4.
---------+Article 244 5.
---------+Article 244 6.
------+Article 245 Synthetic securitisation
---------+Article 245 1.
---------+Article 245 2.
---------+Article 245 3.
---------+Article 245 4.
---------+Article 245 5.
---------+Article 245 6.
------+Article 246 Operational requirements for early amortisation provisions
---+Section 3 Calculation of risk-weighted exposure amounts
------+Subsection 1 General Provisions
---------+Article 247 Calculation of risk-weighted exposure amounts
------------+Article 247 1.
------------+Article 247 2.
------------+Article 247 3.
------------+Article 247 4.
------------+Article 247 5.
------------+Article 247 6.
---------+Article 248 Exposure value
------------+Article 248 1.
------------+Article 248 2.
------------+Article 248 3.
------------+Article 248 4.
---------+Article 249 Recognition of credit risk mitigation for securitisation positions
------------+Article 249 1.
------------+Article 249 2.
------------+Article 249 3.
------------+Article 249 4.
------------+Article 249 5.
------------+Article 249 6.
------------+Article 249 7.
------------+Article 249 8.
------------+Article 249 9.
------------+Article 249 10.
---------+Article 250 Implicit support
------------+Article 250 1.
------------+Article 250 2.
------------+Article 250 3.
------------+Article 250 4.
------------+Article 250 5.
---------+Article 251 Originator institutions’ calculation of risk-weighted exposure amounts securitised in a synthetic securitisation
------------+Article 251 1.
------------+Article 251 2.
---------+Article 252 Treatment of maturity mismatches in synthetic securitisations
---------+Article 253 Reduction in risk-weighted exposure amounts
------------+Article 253 1.
------------+Article 253 2.
------+Subsection 2 Hierarchy of methods and common parameters
---------+Article 254 Hierarchy of methods
------------+Article 254 1.
------------+Article 254 2.
------------+Article 254 3.
------------+Article 254 4.
------------+Article 254 5.
------------+Article 254 6.
------------+Article 254 7.
------------+Article 254 8.
---------+Article 255 Determination of KIRBand KSA
------------+Article 255 1.
------------+Article 255 2.
------------+Article 255 3.
------------+Article 255 4.
------------+Article 255 5.
------------+Article 255 6.
------------+Article 255 7.
------------+Article 255 8.
------------+Article 255 9.
---------+Article 256 Determination of attachment point (A) and detachment point (D)
------------+Article 256 1.
------------+Article 256 2.
------------+Article 256 3.
------------+Article 256 4.
------------+Article 256 5.
------------+Article 256 6.
---------+Article 257 Determination of tranche maturity (MT)
------------+Article 257 1.
------------+Article 257 2.
------------+Article 257 3.
------------+Article 257 4.
------+Subsection 3 Methods to calculate risk-weighted exposure amounts
---------+Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)
------------+Article 258 1.
------------+Article 258 2.
---------+Article 259 Calculation of risk-weighted exposure amounts under the SEC-IRBA
------------+Article 259 1.
------------+Article 259 2.
------------+Article 259 3.
------------+Article 259 4.
------------+Article 259 5.
------------+Article 259 6.
------------+Article 259 7.
------------+Article 259 8.
---------+Article 260 Treatment of STS securitisations under the SEC-IRBA
---------+Article 261 Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)
------------+Article 261 1.
------------+Article 261 2.
------------+Article 261 3.
---------+Article 262 Treatment of STS securitisations under the SEC-SA
---------+Article 263 Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)
------------+Article 263 1.
------------+Article 263 2.
------------+Article 263 3.
------------+Article 263 4.
------------+Article 263 5.
------------+Article 263 6.
------------+Article 263 7.
------------+Article 263 8.
---------+Article 264 Treatment of STS securitisations under the SEC-ERBA
------------+Article 264 1.
------------+Article 264 2.
------------+Article 264 3.
---------+Article 265 Scope and operational requirements for the Internal Assessment Approach
------------+Article 265 1.
------------+Article 265 2.
------------+Article 265 3.
------------+Article 265 4.
---------+Article 266 Calculation of risk-weighted exposure amounts under the Internal Assessment Approach
------------+Article 266 1.
------------+Article 266 2.
------+Subsection 4 Caps for securitisation positions
---------+Article 267 Maximum risk weight for senior securitisation positions: look-through approach
------------+Article 267 1.
------------+Article 267 2.
------------+Article 267 3.
------------+Article 267 4.
---------+Article 268 Maximum capital requirements
------------+Article 268 1.
------------+Article 268 2.
------------+Article 268 3.
------------+Article 268 4.
------+Subsection 5 Miscellaneous provisions
---------+Article 269 Re-securitisations
------------+Article 269 1.
------------+Article 269 2.
------------+Article 269 3.
------------+Article 269 4.
---------+Article 269a Treatment of non-performing exposures (NPE) securitisations
------------+Article 269a 1.
------------+Article 269a 2.
------------+Article 269a 3.
------------+Article 269a 4.
------------+Article 269a 5.
------------+Article 269a 6.
------------+Article 269a 7.
---------+Article 270 Senior positions in STS on-balance sheet securitisations
------------+Article 270 1.
------------+Article 270 2.
------------+Article 270 3.
------------+Article 270 4.
---------+Article 270a Additional risk weight
------------+Article 270a 1.
------------+Article 270a 2.
---+Section 4 External credit assessments
------+Article 270b Use of credit assessments by ECAIs
------+Article 270c Requirements to be met by the credit assessments of ECAIs
------+Article 270d Use of credit assessments
---------+Article 270d 1.
---------+Article 270d 2.
---------+Article 270d 3.
---------+Article 270d 4.
------+Article 270e Securitisation mapping

CHAPTER 5 Securitisation

CHAPTER 5 Securitisation

1. Overview

,
Section 1 Definitions and criteria for simple, transparent and standardised securitisations Section 1 Definitions and criteria for simple, transparent and standardised securitisations
Section 2 Recognition of significant risk transfer Section 2 Recognition of significant risk transfer
Section 3 Calculation of risk-weighted exposure amounts Section 3 Calculation of risk-weighted exposure amounts
Section 4 External credit assessments Section 4 External credit assessments

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
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