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Capital Requirements Regulation (CRR)
Article 325am

Article 325am — Risk weights for credit spread risk for securitisations not included in the ACTP

  1. Risk weights for the sensitivities to credit spread risk factors for securitisation not included in the ACTP shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 7 and shall be specified for each bucket in Table 7 pursuant to the delegated act referred to in Article 461a:
    Table 7
    Bucket numberCredit qualitySector
    1Senior and Credit quality step 1 to 3RMBS - Prime
    2RMBS - Mid-Prime
    3RMBS - Sub-Prime
    5Asset backed securities (ABS) - Student loans
    6ABS - Credit cards
    7ABS - Auto
    8Collateralised loan obligations (CLO) non-ACTP
    9Non-senior and credit quality step 1 to 3RMBS - Prime
    10RMBS - Mid-Prime
    11RMBS - Sub-Prime
    12 CMBS
    13ABS - Student loans
    14ABS - Credit cards
    15ABS - Auto
    16CLO non-ACTP
    17Credit quality step 4 to 6RMBS - Prime
    18RMBS - Mid-Prime
    19RMBS - Sub-Prime
    21ABS - Student loans
    22ABS - Credit cards
    23ABS - Auto
    24CLO non-ACTP
    25Other sector
  2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each tranche to one of the sector buckets in Table 7. Risk exposures from any tranche that an institution cannot assign to a sector in such a manner shall be assigned to bucket 25.