Alternative Capital Treatment for Term STC Securitizations and Short- Term STC Securitizations Meeting the STC Criteria for Capital Purposes
Effective from Dec 28 2022 - Dec 31 2022 To view other versions open the versions tab on the right
20.11
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-ERBA is used, 20.12, 20.13, and 20.14 are applicable instead of 20.2, 20.4 and 20.7 respectively.
20.12
For exposures with short-term ratings, or when an inferred rating based on a short-term rating is available, the following risk weights in table 30 below will apply:
ERBA STC risk weights for short-term ratings
Table 30
External credit assessment
A-1/P-1
A-2/P-2
A-3/P-3
All other ratings
Risk weight
10%
30%
60%
1250%
20.13
For exposures with long-term ratings, risk weights will be determined according to Table 31 and will be adjusted for tranche maturity (calculated according to 18.22 and 18.23), and tranche thickness for non-senior tranches according to 20.5 and 20.6.
ERBA STC risk weights for long-term ratings
Table 31
Rating
Senior tranche
Non-senior (thin) tranche
Tranche maturity (MT)
Tranche maturity (MT)
1 year
5 years
1 year
5 years
AAA
10%
10%
15%
40%
AA+
10%
15%
15%
55%
AA
15%
20%
15%
70%
AA-
15%
25%
25%
80%
A+
20%
30%
35%
95%
A
30%
40%
60%
135%
A-
35%
40%
95%
170%
BBB+
45%
55%
150%
225%
BBB
55%
65%
180%
255%
BBB-
70%
85%
270%
345%
BB+
120%
135%
405%
500%
BB
135%
155%
535%
655%
BB-
170%
195%
645%
740%
B+
225%
250%
810%
855%
B
280%
305%
945%
945%
B-
340%
380%
1015%
1015%
CCC+/CCC/CCC-
415%
455%
1250%
1250%
Below CCC-
1250%
1250%
1250%
1250%
20.14
The resulting risk weight is subject to a floor risk weight of 10% for senior tranches, and 15% for non-senior tranches.
