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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

Status
In force
Selected consolidated version from
30/09/2021
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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 number

Credit quality

Sector

Risk weight

1

Senior and Credit quality step 1 to 3

RMBS — Prime

0,9 %

2

RMBS — Mid-Prime

1,5 %

3

RMBS — Sub-Prime

2,0 %

4

CMBS

2,0 %

5

Asset backed securities (ABS) — Student loans

0,8 %

6

ABS — Credit cards

1,2 %

7

ABS — Auto

1,2 %

8

Collateralised loan obligations (CLO) non-ACTP

1,4 %

9

Non-senior and credit quality step 1 to 3

RMBS — Prime

1,125 %

10

RMBS — Mid-Prime

1,875 %

11

RMBS — Sub-Prime

2,5 %

12

CMBS

2,5 %

13

ABS — Student loans

1 %

14

ABS — Credit cards

1,5 %

15

ABS — Auto

1,5 %

16

CLO non-ACTP

1,75 %

17

Credit quality step 4 to 6 and unrated

RMBS — Prime

1,575 %

18

RMBS — Mid-Prime

2,625 %

19

RMBS — Sub-Prime

3,5 %

20

CMBS

3,5 %

21

ABS — Student loans

1,4 %

22

ABS — Credit cards

2,1 %

23

ABS — Auto

2,1 %

24

CLO non-ACTP

2,45 %

25

Other sector

3,5 %

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.

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