Version in force , Modified +252 −10§
Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
In Table 7 the credit quality step ranges for buckets 1 and 9 changed from "1 to 3" to "1 to 10", and the range for bucket 17 changed from "4 to 6" to "11 to 17".
A new paragraph 3 was added stating that, for purposes of this Article, an exposure is assigned the credit quality category corresponding to the one it would be assigned under the External Rating Based Approach set out in Title II, Chapter 5.
Cited: Art. 325am, v1 (external, EUR-Lex) · Art. 325am, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 9 July 2024 02013R0575-20240709 → this version, in force 1 January 2025 02013R0575-20250101
Article 325am
Risk weights for credit spread risk for securitisations not included in the ACTP
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 Risk weight
1 Senior and Credit credit quality step 1 to 3 10 RMBS — Prime 0,9 %
2 RMBS — Mid-Prime 1,5 %
3 RMBS — Sub-Prime 2,0 %
4 CMBS 2,0 %
5 Asset backed securities (ABS) — Student loans 0,8 %
6 ABS — Credit cards 1,2 %
7 ABS — Auto 1,2 %
8 Collateralised loan obligations (CLO) non-ACTP 1,4 %
9 Non-senior and credit quality step 1 to 3 10 RMBS — Prime 1,125 %
10 RMBS — Mid-Prime 1,875 %
11 RMBS — Sub-Prime 2,5 %
12 CMBS 2,5 %
13 ABS — Student loans 1 %
14 ABS — Credit cards 1,5 %
15 ABS — Auto 1,5 %
16 CLO non-ACTP 1,75 %
17 Credit quality step 4 11 to 6 17 and unrated RMBS — Prime 1,575 %
18 RMBS — Mid-Prime 2,625 %
19 RMBS — Sub-Prime 3,5 %
20 CMBS 3,5 %
21 ABS — Student loans 1,4 %
22 ABS — Credit cards 2,1 %
23 ABS — Auto 2,1 %
24 CLO non-ACTP 2,45 %
25 Other sector 3,5 %
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 25.3. For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the External Rating Based Approach set out in Title II, Chapter 5.