C. Alternative Capital Treatment for STC-Compliant Securitisations
C 52/2017 STA Effective from 1/12/202284.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
| External credit assessment | A-1/P-1 | A-2/P-2 | A-3/P-3 | All other ratings |
| Risk weight | 10% | 30% | 60% | 1250% |
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)
| Rating | Senior | Non-senior (thin) tranche | ||
| Tranche maturity (MT) | Tranche maturity (MT) | |||
| 1 year | 5 year | 1 year | 5 year | |
| AAA | 10% | 10% | 15% | 40% |
| AA+ | 10% | 15% | 15% | 55% |
| AA | 15% | 20% | 15% | 70% |
| AA– | 15% | 25% | 25% | 80% |
| A+ | 20% | 30% | 35% | 95% |
| A | 30% | 40% | 60% | 135% |
| A– | 35% | 40% | 95% | 170% |
| BBB+ | 45% | 55% | 150% | 225% |
| BBB | 55% | 65% | 180% | 255% |
| BBB– | 70% | 85% | 270% | 345% |
| BB+ | 120% | 135% | 405% | 500% |
| BB | 135% | 155% | 535% | 655% |
| BB– | 170% | 195% | 645% | 740% |
| B+ | 225% | 250% | 810% | 855% |
| B | 280% | 305% | 945% | 945% |
| B– | 340% | 380% | 1015% | 1015% |
| CCC+/CCC/CC | 415% | 455% | 1250% | 1250% |
| Below CCC– | 1250% | 1250% | 1250% | 1250% |
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.