78.For regulatory capital purposes, only the following types of exposures can be STC-compliant:

• •Exposures to non-ABCP, traditional securitisations that meet the criteria in Appendix 1 below.
• •Exposures to ABCP conduits and/or transactions financed by ABCP conduits, where the conduit and/or the transactions financed meet the criteria in Appendix 2 below.

79Synthetic securitisations, securitisation of revolving credit facilities and resecuritisations are not considered as STC-compliant.

80.STC treatment will not be applied if banks having investment in international securitisation

81.The originator or sponsor must disclose to investors all necessary information at the transaction level to allow investors to determine whether the securitisation is STC-compliant. Based on the information provided by the originator or sponsor, the investor must make an assessment of the STC compliance status of the securitisation for regulatory capital purposes.

82.For retained positions where the originator has achieved significant risk transfer in accordance with the operational requirements of this Standard, the determination shall be made by the originator retaining the position.

83.STC criteria must be met at all times. Checking compliance with some of the criteria might only be necessary at origination (or at the time of initiating the exposure, in case of guarantees or liquidity facilities). Investors and holders of the securitisation positions are expected to take into account developments that may invalidate previous compliance assessments, for example deficiencies in the frequency and content of the investor reports, in the alignment of interest, or changes in the transaction documentation at variance with relevant STC criteria. For dynamic pools, the criteria should be checked every time assets are added to the pool.

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.