Article 259
Calculation of riskweighted exposure amounts under the SECIRBA
Under the SECIRBA, the riskweighted exposure amount for a securitisation position shall be calculated by multiplying the exposure value of the position calculated in accordance with Article 248 by the applicable risk weight determined as follows, in all cases subject to a floor of 15 %:
RW = 1 250 % 
when D ≤ KIRB 

when A ≥ KIRB 

when A < KIRB < D 
where:
KIRB 
is the capital charge of the pool of underlying exposures as defined in Article 255 
D 
is the detachment point as determined in accordance with Article 256 
A 
is the attachment point as determined in accordance with Article 256 
where:
a 
= 
– (1/(p * KIRB)) 
u 
= 
D – KIRB 
l 
= 
max (A – KIRB; 0) 
where:
where:
N 
is the effective number of exposures in the pool of underlying exposures, calculated in accordance with paragraph 4; 
is the exposureweighted average lossgivendefault of the pool of underlying exposures, calculated in accordance with paragraph 5; 
MT 
is the maturity of the tranche as determined in accordance with Article 257. 
The parameters A, B, C, D, and E shall be determined according to the following lookup table:

A 
B 
C 
D 
E 

Nonretail 
Senior, granular (N ≥ 25) 
0 
3,56 
1,85 
0,55 
0,07 
Senior, nongranular (N < 25) 
0,11 
2,61 
2,91 
0,68 
0,07 

Nonsenior, granular (N ≥ 25) 
0,16 
2,87 
1,03 
0,21 
0,07 

Nonsenior, nongranular (N < 25) 
0,22 
2,35 
2,46 
0,48 
0,07 

Retail 
Senior 
0 
0 
7,48 
0,71 
0,24 
Nonsenior 
0 
0 
5,78 
0,55 
0,27 
Multiple exposures to the same obligor shall be consolidated and treated as a single exposure.
Where credit and dilution risks for purchased receivables are managed in an aggregate manner in a securitisation, the LGD input shall be construed as a weighted average of the LGD for credit risk and 100 % LGD for dilution risk. The weights shall be the standalone IRB Approach capital requirements for credit risk and dilution risk, respectively. For these purposes, the presence of a single reserve fund or overcollateralisation available to cover losses from either credit or dilution risk may be regarded as an indication that these risks are managed in an aggregate manner.
Where the share of the largest underlying exposure in the pool (C1) is no more than 3 %, institutions may use the following simplified method to calculate N and the exposureweighted average LGDs:
LGD = 0,50
where
Cm 
denotes the share of the pool corresponding to the sum of the largest m exposures; and 
m 
is set by the institution. 
If only C1 is available and this amount is no more than 0,03, then the institution may set LGD as 0,50 and N as 1/C1.
Where the position is backed by a mixed pool and the institution is able to calculate KIRB on at least 95 % of the underlying exposure amounts in accordance with point (a) of Article 258(1), the institution shall calculate the capital charge for the pool of underlying exposures as:
where
d is the share of the exposure amount of underlying exposures for which the institution can calculate KIRB over the exposure amount of all underlying exposures.
For the purposes of the first subparagraph, the reference position shall be the position that is pari passu in all respects to the derivative or, in the absence of such pari passu position, the position that is immediately subordinate to the derivative.