+Article 263 5.

Article 263 5.

In order to account for tranche thickness, institutions shall calculate the risk weight for non-senior tranches as follows:

image

where

T = tranche thickness measured as D – A

where

D

is the detachment point as determined in accordance with Article 256

A

is the attachment point as determined in accordance with Article 256

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards