Article 264 Treatment of STS securitisations under the SEC-ERBAX1F1
United Kingdom
Under the SEC-ERBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 263, subject to the modifications laid down in this Article.
For exposures with short-term credit assessments or when a rating based on a short-term credit assessment may be inferred in accordance with Article 263(7), the following risk weights shall apply:
Table 3
| Credit Quality Step | 1 | 2 | 3 | All other ratings |
| Risk weight | 10 % | 30 % | 60 % | 1 250 % |
For exposures with long-term credit assessments or when a rating based on a long-term credit assessment may be inferred in accordance with Article 263(7), risk weights shall be determined in accordance with Table 4, adjusted for tranche maturity (M T ) in accordance with Article 257 and Article 263(4) and for tranche thickness for non-senior tranches in accordance with Article 263(5):
Table 4
| Credit Quality Step | Senior tranche | Non-senior (thin) tranche | ||
|---|---|---|---|---|
| Tranche maturity (M T ) | Tranche maturity (M T ) | |||
| 1 year | 5 years | 1 year | 5 years | |
| 1 | 10 % | 10 % | 15 % | 40 % |
| 2 | 10 % | 15 % | 15 % | 55 % |
| 3 | 15 % | 20 % | 15 % | 70 % |
| 4 | 15 % | 25 % | 25 % | 80 % |
| 5 | 20 % | 30 % | 35 % | 95 % |
| 6 | 30 % | 40 % | 60 % | 135 % |
| 7 | 35 % | 40 % | 95 % | 170 % |
| 8 | 45 % | 55 % | 150 % | 225 % |
| 9 | 55 % | 65 % | 180 % | 255 % |
| 10 | 70 % | 85 % | 270 % | 345 % |
| 11 | 120 % | 135 % | 405 % | 500 % |
| 12 | 135 % | 155 % | 535 % | 655 % |
| 13 | 170 % | 195 % | 645 % | 740 % |
| 14 | 225 % | 250 % | 810 % | 855 % |
| 15 | 280 % | 305 % | 945 % | 945 % |
| 16 | 340 % | 380 % | 1 015 % | 1 015 % |
| 17 | 415 % | 455 % | 1 250 % | 1 250 % |
| All other | 1 250 % | 1 250 % | 1 250 % | 1 250 % |
Annotations
Textual amendments
Editorial notes
Notes on the whole EU Regulation
Textual amendments
- F1
Regulation revoked (1.1.2024 for the revocation of Art. 92b, 1.1.2026 for the revocation of Arts. 6(1a), 11(3a), 12a, 18(1) (in part), 25-35, 37-47, 47a(1)(2), 47c-79a, 81(1)(a)(i)-(iic)(b)(c)(2), 82(a)(i)-(iic)(b)(c), 83-91, 92a, 466, 468, 469a, 471, 473-474, 476, 479, 480, 482-491, 494-494b, otherwise prosp.) by Financial Services and Markets Act 2023 (c. 29), s. 86(3), Sch. 1 Pt. 1 (with s. 1(4)); S.I. 2023/779, reg. 5(b)(i); S.I. 2025/873, reg. 4(b) (with regs. 6, 7) (as amended by S.I. 2025/1293, reg. 2)