Mevzuat » ANNEX IX - SECURITISATION
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- ANNEX IX - SECURITISATION
- PART 1 - Definitions for the purposes of Annex IX
- PART 2 - Minimum requirements for recognition of significant credit risk transfer and calculation of risk-weighted exposure amounts and expected loss amounts for securitised exposures
- 1. MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A TRADITIONAL SECURITISATION
- 2. MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A SYNTHETIC SECURITISATION
- 3. ORIGINATOR CREDIT INSTITUTIONS' CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS FOR EXPOSURES SECURITISED IN A SYNTHETIC SECURITISATION
- PART 3 - External credit assessments
- PART 4 - Calculation
- 1. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS
- 2. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACH
- 2.1. Originator and sponsor credit institutions
- 2.2. Treatment of unrated positions
- 2.3. Treatment of securitisation positions in a second loss tranche or better in an ABCP programme
- 2.4. Treatment of unrated liquidity facilities
- 2.5. Additional capital requirements for securitisations of revolving exposures with early amortisation provisions
- 2.6. Recognition of credit risk mitigation on securitisation positions
- 2.7. Reduction in risk-weighted exposure amounts
- 3. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE INTERNAL RATINGS BASED APPROACH
- 3.1. Hierarchy of methods
- 3.2. Maximum risk-weighted exposure amounts
- 3.3. Ratings Based Method
- 3.4. Supervisory Formula Method
- 3.5. Liquidity Facilities
- 3.6. Recognition of credit risk mitigation in respect of securitisation positions
- 3.6.1. Funded credit protection
- 3.6.2. Unfunded credit protection
- 3.6.3. Calculation of capital requirements for securitisation positions with credit risk mitigation
- 3.7. Additional capital requirements for securitisations of revolving exposures with early amortisation provisions
- 3.8. Reduction in risk-weighted exposure amounts