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 To view other versions open the versions tab on the right
22.27
Securitization 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.
22.28
The 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 E
Table 33
A
B
C
D
E
Wholesale
Senior, granular (N≥25)
0
3.56
-1.85
0.55
0.07
Senior, non-granular (N<25)
0.11
2.61
-2.91
0.68
0.07
Non-senior, granular (N≥25)
0.16
2.87
-1.03
0.21
0.07
Non-senior, non-granular (N<25)
0.22
2.35
-2.46
0.48
0.07
Retai
Senior
0
0
-7.48
0.71
0.24
Non-senior
0
0
-5.78
0.55
0.27
22.29
The resulting risk weight is subject to a floor risk weight of 10% for senior tranches, and 15% for non-senior tranches.
