Chapter 5 Securitisation (arts. 242-270e)

Section 1 Definitions and criteria for simple, transparent and standardised securitisations (arts. 242-243)
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Article 242 Definitions
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Article 243 Criteria for STS securitisations qualifying for differentiated capital treatment
Section 2 Recognition of significant risk transfer (arts. 244-246)
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Article 244 Traditional securitisation
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Article 245 Synthetic securitisation
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Article 246 Operational requirements for early amortisation provisions
Section 3 Calculation of risk-weighted exposure amounts (arts. 247-270a)
Sub-section 1 General Provisions (arts. 247-253)
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Article 247 Calculation of risk-weighted exposure amounts
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Article 248 Exposure value
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Article 249 Recognition of credit risk mitigation for securitisation positions
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Article 250 Implicit support
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Article 251 Originator institutions' calculation of risk-weighted exposure amounts securitised in a synthetic securitisation
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Article 252 Treatment of maturity mismatches in synthetic securitisations
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Article 253 Reduction in risk-weighted exposure amounts
Sub-section 2 Hierarchy of methods and common parameters (arts. 254-257)
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Article 254 Hierarchy of methods
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Article 255 Determination of KIRB and KSA
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Article 256 Determination of attachment point (A) and detachment point (D)
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Article 257 Determination of tranche maturity (MT)
Sub-section 3 Methods to calculate risk-weighted exposure amounts (arts. 258-266)
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Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)
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Article 259 Hierarchy of methods
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Article 260 Treatment of STS securitisations under the SEC-IRBA
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Article 261 Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)
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Article 262 Treatment of STS securitisations under the SEC-SA
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Article 263 Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)
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Article 264 Treatment of STS securitisations under the SEC-ERBA
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Article 265 Scope and operational requirements for the Internal Assessment Approach
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Article 266 Calculation of risk-weighted exposure amounts under the Internal Assessment Approach
Sub-section 4 Caps for securitisation positions (arts. 267-268)
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Article 267 Use of Credit Assessments by ECAIs
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Article 268 Requirements to be met by the credit assessments of ECAIs
Sub-section 5 Miscellaneous provisions (arts. 269-270a)
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Article 269 Re-securitisations
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Article 270 Senior positions in SME securitisations
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Article 270a Additional risk weight.
Section 4 External credit assessments (arts. 270b-270e)
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Article 270b Use of credit assessments by ECAIs.
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Article 270c Requirements to be met by the credit assessments of ECAIs
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Article 270d Use of credit assessments.
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Article 270e Securitisation mapping.