19. Securitization: Standardized Approach

If the underlying portfolio of a resecuritization consists in a pool of exposures to securitization tranches and to other assets, one should separate the exposures to securitization tranches from exposures to assets that are not securitizations. The K A parameter should be calculated for each subset individually, applying separate W parameters; these calculated in accordance with 19.6 and 19.7 in the subsets where the exposures are to assets that are not securitization tranches, and set to zero where the exposures are to securitization tranches. The K A for the resecuritization exposure is then obtained as the nominal exposure weighted- average of the K A ’s for each subset considered. 19.18 The resulting risk weight is subject to a floor risk weight of 100%. 19.19 The caps described in 18.50 to 18.55 cannot be applied to resecuritization exposures. Alternative Capital Treatment for Term STC Securitizations and Short- Term STC Securitizations Meeting the STC Criteria for Capital Purposes 19.20 Securitization transactions that are assessed as simple, transparent and comparable (STC)-compliant for capital purposes as defined in 18.67 can be subject to capital requirements under the securitization framework, taking into account that, when the SEC-SA is used, 19.21 and 19.22 are applicable instead of 19.12 and 19.15 respectively. 19.21 The supervisory parameter p in the context of the SEC-SA is set equal to 0.5 for an exposure to an STC securitization. 19.22 The resulting risk weight is subject to a floor risk weight of 10% for senior tranches, and 15% for non-senior tranches.