84.Securitisation transactions that are assessed as STC-compliant for capital purposes shall be subject to securitisation capital requirements as modified by this Standard. The resulting risk weights are subject to a floor risk weight of 10% for senior tranches, and 15% for non-senior tranches.

1.External Ratings-Based Approach for STC Securitisation Exposures
 

85.When the SEC-ERBA is used, for exposures with short-term ratings or an inferred rating based on a short-term rating, the risk weights in Table 3 apply.

Table 3: SEC-ERBA risk weights for STCs with short-term ratings

86.For STC exposures with long-term ratings, risk weights under SEC-ERBA are determined according to Table 4, with adjustments for tranche maturity and (for non-senior tranches) tranche thickness as discussed above in this Standard for non-STC exposures.

Table 4: SEC-ERBA risk weights for STCs with long-term ratings
(Subject to adjustment for tranche maturity and tranche thickness)

2.Standardized Approach for STC Securitisation Exposures
 

87.If a bank uses the SEC-SA for an STC securitisation exposure, the bank should set the supervisory parameter p equal to 0.5. The SEC-SA framework is otherwise unchanged for STC exposures.