Division 2 CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACHF1

United Kingdom Repealed

1. 6Subject to point 8, the risk-weighted exposure amount of a rated securitisation or re-securitisation position shall be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated by the competent authorities in accordance with Article 98 as laid down in Table 1.
2. 7Division 7
3. 2.1Originator and sponsor credit institutions
4. 2.2Treatment of unrated positions
5. 2.3Treatment of securitisation positions in a second loss tranche or better in an ABCP programme
6. 2.4Treatment of unrated liquidity facilities
7. 2.5Additional capital requirements for securitisations of revolving exposures with early amortisation provisions
8. 2.6Recognition of credit risk mitigation on securitisation positions
9. 2.7Reduction in risk-weighted exposure amounts