Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
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Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP

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

1

Senior and Credit quality step 1 to 3

RMBS - Prime

2

RMBS - Mid-Prime

3

RMBS - Sub-Prime

4

CMBS

5

Asset backed securities (ABS) - Student loans

6

ABS - Credit cards

7

ABS - Auto

8

Collateralised loan obligations (CLO) non-ACTP

9

Non-senior and credit quality step 1 to 3

RMBS - Prime

10

RMBS - Mid-Prime

11

RMBS - Sub-Prime

12

 

CMBS

13

ABS - Student loans

14

ABS - Credit cards

15

ABS - Auto

16

CLO non-ACTP

17

Credit quality step 4 to 6

RMBS - Prime

18

RMBS - Mid-Prime

19

RMBS - Sub-Prime

20

CMBS

21

ABS - Student