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 - Au |