Article 325am
- Description
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Risk weights for credit spread risk for securitisations not included in the ACTP
- Main content
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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 number Credit quality Sector 1 Senior and Credit quality step 1 to 3 RMBS - Prime 2 RMBS - Mid-Prime 3 RMBS - Sub-Prime 4 CMBS 5 Asset backed securities (ABS) - Student loans 6 ABS - Credit cards 7 ABS - Auto 8 Collateralised loan obligations (CLO) non-ACTP 9 Non-senior and credit quality step 1 to 3 RMBS - Prime 10 RMBS - Mid-Prime 11 RMBS - Sub-Prime 12 CMBS 13 ABS - Student loans 14 ABS - Credit cards 15 ABS - Auto 16 CLO non-ACTP 17 Credit quality step 4 to 6 RMBS - Prime 18 RMBS - Mid-Prime 19 RMBS - Sub-Prime 20 CMBS 21 ABS - Student loans 22 ABS - Credit cards 23 ABS - Auto 24 CLO non-ACTP 25 Other 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.