Under the SEC-SA, the risk-weighted exposure amount for a position in a securitisation shall be calculated by multiplying the exposure value of the position as 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 ≤ KA
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when A ≥ KA
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when A < KA < D
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where:
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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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KA
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is a parameter calculated in accordance with paragraph 2;
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where:
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p
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=
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1 for a securitisation exposure that is not a re-securitisation exposure
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