Document ID: chunk:federal_register_of_legislation:F2023L01572:front:0:p23
Version: federal_register_of_legislation:F2023L01572
Segment Type: other
Provision Reference: 
Character Range: 59528–60797

credit rating grades and corresponding risk weights
Credit rating grade[37]  1    2    3     4
Risk weight              15%  50%  100%  Deduction from Common Equity Tier 1 Capital

Long-term ratings
6.             For securitisation exposures with long-term ratings, or when an inferred rating based on a long-term rating is available, an ADI must apply:
(a)          the risk weights detailed in Table 2, adjusted for tranche maturity (paragraph 9 of this Attachment) and, where relevant, tranche thickness (paragraph 15 of this Attachment); or
(b)          the risk weights detailed in Table 2, commensurate with a 5 year tranche maturity.
7.             The resulting risk weight under paragraph 6 of this Attachment is subject to a risk-weight floor of 15 per cent. The resulting risk weight must not be lower than the risk weight corresponding to a senior tranche of the same securitisation with the same rating and maturity.
Table 2: Long-term credit rating grades and corresponding risk weights
Credit rating grade[38]  Senior securitisation exposure               Non-senior securitisation exposure
Tranche maturity (MT)    Tranche maturity (MT)
1 year                   5 years                                      1 year                              5 years