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 10 |
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 10 |
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 11 to 17 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.
3.
For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the External Rating Based Approach set out in Title II, Chapter 5.