+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 3 Methods to calculate risk-weighted exposure amounts

Subsection 3 Methods to calculate risk-weighted exposure amounts

1. Overview

,
Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)
Article 259 Calculation of risk-weighted exposure amounts under the SEC-IRBA
Article 260 Treatment of STS securitisations under the SEC-IRBA

Article 260

Treatment of STS securitisations under the SEC-IRBA

Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications:

risk-weight floor for senior securitisation positions = 10 %

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Article 261 Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)
Article 262 Treatment of STS securitisations under the SEC-SA

Article 262

Treatment of STS securitisations under the SEC-SA

Under the SEC-SA the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 261, subject to the following modifications:

risk-weight floor for senior securitisation positions = 10 %
p = 0,5
Article 263 Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)
Article 264 Treatment of STS securitisations under the SEC-ERBA
Article 265 Scope and operational requirements for the Internal Assessment Approach
Article 266 Calculation of risk-weighted exposure amounts under the Internal Assessment Approach

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards