Article 325am

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Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 1a > Section 6 > Subsection 1 > Article 325am
Title:
Article 325am
Description: 
Risk weights for credit spread risk for securitisations not included in the ACTP
Main content: 

1. Risk weights for the sensitivities to credit spread risk factors for securitisation not included in the ACTP shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 7 and shall be specified for each bucket in Table 7 pursuant to the delegated act referred to in Article 461a:

Table 7
Bucket numberCredit qualitySector
1Senior and Credit quality step 1 to 3RMBS - Prime
2RMBS - Mid-Prime
3RMBS - Sub-Prime
4CMBS
5Asset backed securities (ABS) - Student loans
6ABS - Credit cards
7ABS - Auto
8Collateralised loan obligations (CLO) non-ACTP
9Non-senior and credit quality step 1 to 3RMBS - Prime
10RMBS - Mid-Prime
11RMBS - Sub-Prime
12 CMBS
13 ABS - Student loans
14 ABS - Credit cards
15 ABS - Auto
16 CLO non-ACTP
17Credit quality step 4 to 6RMBS - Prime
18RMBS - Mid-Prime
19RMBS - Sub-Prime
20CMBS
21ABS - Student loans
22ABS - Credit cards
23ABS - Auto
24CLO non-ACTP
25Other sector

2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each tranche to one of the sector buckets in Table 7. Risk exposures from any tranche that an institution cannot assign to a sector in such a manner shall be assigned to bucket 25.