Article 260 | CRR | Regulation 575/2013

Updated 25/09/2023

Metadata

In force

Version from: 28/06/2023

Amendments (1)

Level 2 legal acts

There is currently no level 2 legal act based on or specifying Article 260.

Article 260 - Treatment of STS securitisations under the SEC-IRBA

Article 260

Treatment of STS securitisations under the SEC-IRBA

Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications:

risk-weight floor for senior securitisation positions = 10 %

Recitals

PART ONE - GENERAL PROVISIONS (Article 1-24)

PART TWO - OWN FUNDS AND ELIGIBLE LIABILITIES (Article 25-91)

PART THREE - CAPITAL REQUIREMENTS (Article 92-386)

TITLE I - GENERAL REQUIREMENTS, VALUATION AND REPORTING (Article 92-106)

TITLE II - CAPITAL REQUIREMENTS FOR CREDIT RISK (Article 107-311)

CHAPTER 1 - General principles (Article 107-110)

CHAPTER 2 - Standardised approach (Article 111-141)

CHAPTER 3 - Internal Ratings Based Approach (Article 142-191)

CHAPTER 4 - Credit risk mitigation (Article 192-241)

CHAPTER 5 - Securitisation (Article 242-270e)

Section 1 - Definitions and criteria for simple, transparent and standardised securitisations (Article 242-243)

Section 2 - Recognition of significant risk transfer (Article 244-246)

Section 3 - Calculation of risk-weighted exposure amounts (Article 247-270a)

Subsection 1 - General Provisions (Article 247-253)

Subsection 2 - Hierarchy of methods and common parameters (Article 254-257)

Subsection 3 - Methods to calculate risk-weighted exposure amounts (Article 258-266)Article 258 - Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)Article 259 - Calculation of risk-weighted exposure amounts under the SEC-IRBA Q&A Article 260 - Treatment of STS securitisations under the SEC-IRBA Q&A Article 261 - Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA) ITSQ&A Article 262 - Treatment of STS securitisations under the SEC-SA Q&A Article 263 - Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA) ITS Article 264 - Treatment of STS securitisations under the SEC-ERBA ITSQ&A Article 265 - Scope and operational requirements for the Internal Assessment Approach Q&A Article 266 - Calculation of risk-weighted exposure amounts under the Internal Assessment Approach RTSQ&A

Subsection 4 - Caps for securitisation positions (Article 267-268)

Subsection 5 - Miscellaneous provisions (Article 269-270a)

Section 4 - External credit assessments (Article 270b-270e)

CHAPTER 6 - Counterparty credit risk (Article 271-311)

TITLE III - OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK (Article 312-324)

TITLE IV - OWN FUNDS REQUIREMENTS FOR MARKET RISK (Article 325-377)

TITLE V - OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK (Article 378-380)

TITLE VI - OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK (Article 381-386)

PART FOUR - LARGE EXPOSURES (Article 387-403)

PART FIVE - EXPOSURES TO TRANSFERRED CREDIT RISK (Article 404-410)

PART SIX - LIQUIDITY (Article 411-428az)

PART SEVEN - LEVERAGE (Article 429-429g)

PART SEVEN A - REPORTING REQUIREMENTS (Article 430-430c)

PART EIGHT - DISCLOSURE BY INSTITUTIONS (Article 431-455)

PART NINE - DELEGATED AND IMPLEMENTING ACTS (Article 456-464)

PART TEN - TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS (Article 465-520)

PART ELEVEN - FINAL PROVISIONS (Article 521)

ANNEX I Q&A ANNEX II RTSDAQ&A ANNEX III ITSQ&A ANNEX IV Q&A

Metadata

Level 2 legal acts

Related documents

Article 260 - Treatment of STS securitisations under the SEC-IRBA

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