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Version date: 27 June 2019 - onwards
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Article 325aa Calculation of the own funds requirement for the default risk for securitisations

1. Net JTD amounts of securitisation exposures shall be multiplied by 8 % of the risk weight that applies to the relevant securitisation exposure, including STS securitisations, in the non-trading book in accordance with the hierarchy of approaches set out in Section 3 of Chapter 5 of Title II and irrespective of the type of counterparty.

2. A maturity of one year shall be applied to all tranches, where risk weights are calculated in accordance with the SEC-IRBA and SEC-ERBA.

3. The risk-weighted JTD amounts for individual cash securitisation exposures shall be capped at the fair value of the position.

4. Risk-weighted net JTD amounts shall be assigned to the following buckets:

(a) one common bucket for all corporates, regardless of the region;

(b) 44 different buckets corresponding to one bucket per region for each of the 11 asset classes defined in the second subparagraph.

For the purposes of the first subparagraph, the 11 asset classes are ABCP, auto loans/leases, residential mortga