Book traversal links for Alternative Capital Treatment for Term STC Securitizations and Short- Term STC Securitizations Meeting the STC Criteria for Capital Purposes
Alternative Capital Treatment for Term STC Securitizations and Short- Term STC Securitizations Meeting the STC Criteria for Capital Purposes
Versions (6 versions) |
Effective from Dec 28 2022 - Dec 27 2022
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19.20 | Securitization transactions that are assessed as simple, transparent and comparable (STC)-compliant for capital purposes as defined in 18.67 can be subject to capital requirements under the securitization framework, taking into account that, when the SEC-SA is used, 19.21 and 19.22 are applicable instead of 19.12 and 19.15 respectively. | |||
19.21 | The supervisory parameter p in the context of the SEC-SA is set equal to 0.5 for an exposure to an STC securitization. | |||
19.22 | The resulting risk weight is subject to a floor risk weight of 10% for senior tranches, and 15% for non-senior tranches. |