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Document Overview
CRE42 Securitisation: External-ratings-based approach (SEC-ERBA) (paras. 42.1-42.14) (effective as of 15 December 2019)
This chapter describes how to calculate capital requirements for securitisation exposures that are externally rated or for which an inferred rating is available (SEC-ERBA).
Version effective as of 15 Dec 2019
First version in the format of the consolidated framework.
External-ratings-based approach (SEC-ERBA)
42.1 For securitisation exposures that are externally rated, or for which an inferred rating is available, risk-weighted assets under the securitisation external ratings-based approach (SEC-ERBA) will be determined by multiplying securitisation exposure amounts (as defined in CRE40.19) by the appropriate risk weights as determined by CRE42.2 to CRE42.7, provided that the operational criteria in CRE42.8 to CRE42.10 are met. [The rating designations used in Tables 1 and 2 are for illustrative purposes only and do not indicate any preference for, or endorsement of, any particular external assessment system.]
42.2 For exposures with short-term ratings, or when an inferred rating based on a short-term rating is available, the following risk weights will apply:
ERBA risk weights for short-term ratings Table 1 |
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