Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2019 - onwards
  Version 5 of 5    

Article 259 Hierarchy of methods

1. Under the SEC-IRBA, the risk-weighted 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 %:

where:

where:

where:

where:

The parameters A, B, C, D, and E shall be determined according to the following look-up table:

 

A

B

C

D

E

Non-retail

Senior, granular (N ≥ 25)

0

3,56

– 1,85

0,55

0,07

Senior, non-granular (N < 25)

0,11

2,61

– 2,91

0,68

0,07

Non-senior, granular (N ≥ 25)

0,16

2,87

– 1,03

0,21

0,07

Non-senior, non-granular (N < 25)

0,22

2,35

– 2,46

0,48

0,07

Retail

Senior

0

0

– 7,48

0,71

0,24

Non-senior

0

0

– 5,78

0,55

0,27

 

 

2. If the underlying IRB pool comprises both retail and non-retail exposures, the pool shall be divided into one retail and one non-retail subpoo