Table of Contents
Document Overview
CRE40 Securitisation: general provisions (paras. 40.1-40.165) (effective as of 1 January 2023)
This chapter describes the scope, definitions, operational and due diligence requirements and structure of capital requirements used to calculate risk-weighted assets for securitisation exposures in the banking book.
Version effective as of 01 Jan 2023
The 1.06 scaling factor has been removed to reflect its removal in the December 2017 publication of Basel III. The simple, transparent and comparable criteria related to credit risk of underlying exposures has been adapted to reflect the credit risk asset classes as defined in the December 2017 Basel III standardised approach for credit risk. The revised implementation date is as announced on 27 March 2020. A reference to the treatment of exposures to securitisations of non-performing loans (CRE45) is introduced in CRE40.48.
Scope and definitions of transactions covered under the securitisation framework