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Alternative Capital Treatment for Term Securitizations and Short-Term Securitizations Meeting the STC Criteria for Capital Purposes

No: 44047144 Date(g): 27/12/2022 | Date(h): 4/6/1444 Status: In-Force

Effective from Jan 01 2023 - Dec 31 2022
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22.27Securitization transactions that are assessed as simple, transparent and comparable (STC)-compliant for capital purposes in 18.67 can be subject to capital requirements under the securitization framework, taking into account that, when the SEC-IRBA is used, 22.28 and 22.29 are applicable instead of 22.17 and 22.26 respectively.
 
22.28The supervisory parameter p in SEC-IRBA for an exposure to an STC securitization is expressed as follows, where:
 
 (1)0.3 denotes the p-parameter floor;
 
 (2)N is the effective number of loans in the underlying pool, calculated as described in 22.20;
 
 (3)KIRB is the capital charge of the underlying pool (as defined in 22.2 to 22.5);
 
 (4)GD is the exposure-weighted average loss-given-default of the underlying pool, calculated as described in 22.21;
 
 (5)MT is the maturity of the tranche calculated according to 18.22 and 18.23; and
 
 (6)The parameters A, B, C, D, and E are determined according to Table 33:
 
  
 
Look-up table for supervisory parameters A, B, C, D and ETable 33
 ABCDE
WholesaleSenior, granular (N≥25)03.56-1.850.550.07
Senior, non-granular (N<25)0.112.61-2.910.680.07
Non-senior, granular (N≥25)0.162.87-1.030.210.07
Non-senior, non-granular (N<25)0.222.35-2.460.480.07
RetaiSenior00-7.480.710.24
Non-senior00-5.780.550.27
 
22.29The resulting risk weight is subject to a floor risk weight of 10% for senior tranches, and 15% for non-senior tranches.