# 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), Article 264: Treatment of STS securitisations under the SEC-ERBA

Extent: E+W+S+N.I.

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.
2 . 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 %
3 . 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 %

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Source: https://www.legislation.gov.uk/eur/2013/575/article/264 (the official version)
Page: https://openlegislation.uk/eu-regulation-2013-575/article-264
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.