{
  "url": "https://openlegislation.uk/eu-regulation-2013-575/article-264",
  "json_url": "https://openlegislation.uk/eu-regulation-2013-575/article-264.json",
  "legislation": "eur/2013/575",
  "legislation_title": "Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2013-575",
  "path": "article/264",
  "kind": "article",
  "number": "264",
  "heading": "Treatment of STS securitisations under the SEC-ERBA",
  "text": "1 . 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.\n2 . 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:\nTable 3\nCredit Quality Step\n1\n2\n3\nAll other ratings\nRisk weight\n10 %\n30 %\n60 %\n1 250 %\n3 . 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):\nTable 4\nCredit Quality Step\nSenior tranche\nNon-senior (thin) tranche\nTranche maturity (M T )\nTranche maturity (M T )\n1 year\n5 years\n1 year\n5 years\n1\n10 %\n10 %\n15 %\n40 %\n2\n10 %\n15 %\n15 %\n55 %\n3\n15 %\n20 %\n15 %\n70 %\n4\n15 %\n25 %\n25 %\n80 %\n5\n20 %\n30 %\n35 %\n95 %\n6\n30 %\n40 %\n60 %\n135 %\n7\n35 %\n40 %\n95 %\n170 %\n8\n45 %\n55 %\n150 %\n225 %\n9\n55 %\n65 %\n180 %\n255 %\n10\n70 %\n85 %\n270 %\n345 %\n11\n120 %\n135 %\n405 %\n500 %\n12\n135 %\n155 %\n535 %\n655 %\n13\n170 %\n195 %\n645 %\n740 %\n14\n225 %\n250 %\n810 %\n855 %\n15\n280 %\n305 %\n945 %\n945 %\n16\n340 %\n380 %\n1 015 %\n1 015 %\n17\n415 %\n455 %\n1 250 %\n1 250 %\nAll other\n1 250 %\n1 250 %\n1 250 %\n1 250 %",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "F",
      "label": "F1",
      "text": "Substituted by Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms."
    },
    {
      "type": "X",
      "label": "X1",
      "text": "Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2013/575/article/264",
    "retrieved_at": "2026-11-01T14:48:36.198705+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}