Article 260

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 5 > Section 3 > Subsection 3 > Article 260
Title:
Article 260
Description: 
Treatment of STS securitisations under the SEC-IRBA
Main content: 

Under the SEC-IRBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 259, subject to the following modifications:

risk-weight floor for senior securitisation positions = 10 %

p = max [ 0,3; 0,5 · (A + B · (1/N) + C · KIRB + D · LGD + E · MT) ]