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Capital Requirements Regulation (CRR)
Article 264

Article 264 — Treatment of STS securitisations under the SEC-ERBA

  1. Under the SEC-ERBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 263, subject to the modifications laid down in this Article.
  2. For exposures with short-term credit assessments or when a rating based on a short-term credit assessment may be inferred in accordance with Article 263(7), the following risk weights shall apply:
    Table 3
    Credit Quality Step123All other ratings
    Risk weight10 %30 %60 %1250 %
  3. For exposures with long-term credit assessments or when a rating based on a long-term credit assessment may be inferred in accordance with Article 263(7), risk weights shall be determined in accordance with Table 4, adjusted for tranche maturity (MT) in accordance with Article 257 and Article 263(4) and for tranche thickness for non-senior tranches in accordance with Article 263(5):
    Table 4
    Credit Quality StepSenior trancheNon-senior (thin) tranche
    Tranche maturity (MT)Tranche maturity (MT)
    1 year5 years1 year5 years
    110 %10 %15 %40 %
    210 %15 %15 %55 %
    315 %20 %15 %70 %
    415 %25 %25 %80 %
    520 %30 %35 %95 %
    630 %40 %60 %135 %
    735 %40 %95 %170 %
    845 %55 %150 %225 %
    955 %65 %180 %255 %
    1070 %85 %270 %345 %
    11120 %135 %405 %500 %
    12135 %155 %535 %655 %
    13170 %195 %645 %740 %
    14225 %250 %810 %855 %
    15280 %305 %945 %945 %
    16340 %380 %1015 %1015 %
    17415 %455 %1250 %1250 %
    All other1250 %1250 %1250 %1250 %