Brussels, 19 November 2015
WK 154/2015 INIT
LIMITE
EF
ECOFIN
SURE
WORKING PAPER
This is a paper intended for a specific community of recipients. Handling and
further distribution are under the sole responsibility of community members.
WORKING DOCUMENT
From:
EBA
To:
Working Party on Financial Services - Securitisation
N° prev. doc.:
ST 14248/15
N° Cion doc.:
COM(2015) 473 FINAL
Subject:
EBA data on the impact of moving from ERBA to SA
WK 154/2015 INIT
LIMITE EN
Tables 1 to 4 below provide an illustration of changes in risk-weights that would result from shifting from the SEC-ERBA approach to the
SEC-SA approach for examples of deals (STS securitisations) representatives of existing transactions for different categories of assets.
Tables 1bis to 4bis present the capital structure assumptions for each of the deals.
Table 1 – Unit Risk Weights – Prime residential
ES
PT
UK
[ERBA-SA] /
[ERBA-SA] /
[ERBA-SA] / [SA]
ERBA
[SA]
ERBA
[SA]
%
(M=5)
SA
%
(M=5)
SA
%
ERBA (M=5)
SA
AAA
15%
10%
50.0%
AA
25%
10%
150.0%
73%
146%
-49.9%
A
115%
15%
668.0%
45%
10%
350.0%
117%
360%
-67.4%
BBB
214%
22%
868.5%
215%
33%
544.7%
216%
742%
-70.8%
BB
566%
59%
861.6%
566%
81%
595.9%
563%
1221%
-53.9%
B
817%
474%
72.3%
824%
523%
57.6%
NR
1250%
1250%
0.0%
1250%
1250%
0.0%
1250%
1250%
0.0%
Table 2 – Unit Risk Weights – SME retail
ES
IT
NL
DE
UK
BE
[ERBA-
[ERBA-
[ERBA-
[ERBA-
[ERBA-
[ERBA-
SA] /
SA] /
SA] /
SA] /
SA] /
SA] /
ERBA
ERBA
ERBA
ERBA
ERBA
ERBA
(M=5)
SA
[SA]
(M=5)
SA
[SA]
(M=5)
SA
[SA]
(M=5)
SA
[SA]
(M=5)
SA
[SA]
(M=5)
SA
[SA]
%
%
%
%
%
%
AAA
15%
10%
50.0%
15%
10%
50.0%
15%
10%
50.0%
15%
10%
50.0%
AA
25%
10%
150.0%
25%
10%
150.0%
69%
15%
360.0%
71%
15%
370.0%
69%
15%
360.0%
71%
15%
370.0%
A
107%
15%
612.0%
108%
15%
620.0%
112%
15%
644.0%
115%
15%
668.0%
112%
15%
644.0%
115%
15%
668.0%
BBB
198%
15%
1220.0%
198%
15%
1220.0%
209%
56%
273.9%
209%
56%
273.9%
209%
56%
273.9%
209%
56%
273.9%
BB
537%
15%
3476.7%
537%
15%
3476.7%
560%
231%
142.1%
551%
320%
72.4%
560%
231%
142.1%
551%
320%
72.4%
B
823%
33%
2396.6%
836%
56%
1395.7%
858%
639%
34.3%
836%
1138%
-26.6%
858%
639%
34.3%
836%
1138%
-26.6%
NR
1250%
779%
60.5%
1250%
833%
50.0%
1250%
1232%
1.5%
1250%
1250%
0.0%
1250%
1232%
1.5%
1250%
1250%
0.0%
Table 3 – Unit Risk Weights – Auto loans
UK
Non-UK
[ERBA-SA] / [SA]
[ERBA-SA] /
ERBA (M=2.5)
SA
%
[SA]
ERBA (M=2.5)
SA
%
AAA
12%
10%
18.8%
12%
10%
18.8%
AA
39%
43%
-9.9%
40%
341%
-88.3%
A
76%
144%
-47.2%
77%
677%
-88.6%
BBB
172%
482%
-64.3%
176%
1186%
-85.2%
BB
501%
1097%
-54.3%
504%
1250%
-59.7%
B
862%
1250%
-31.0%
867%
1250%
-30.7%
NR
1250%
1250%
0.0%
1250%
1250%
0.0%
Table 4 – Unit Risk Weights – UK Credit Cards
UK
[ERBA-SA] / [SA]
ERBA (M=2.5)
SA
%
AAA
12%
10%
18.8%
AA
39%
202%
-80.5%
A
78%
405%
-80.8%
BBB
174%
842%
-79.3%
BB
498%
1250%
-60.1%
B
867%
1250%
-30.7%
NR
1250%
1250%
0.0%
Table 1bis Prime RMBS
ES
PT
UK
Capital structure assumptions
AAA
87.7%
AA
78.6%
2.5%
A
4.0%
84.0%
2.3%
BBB
2.7%
2.2%
1.6%
BB
2.5%
2.5%
2.9%
B
7.2%
6.4%
First loss
5.0%
5.0%
3.0%
Ksa and W assumptions
Ksa
4.6%
4.6%
4.6%
W (delinquency)
1.5%
1.5%
1.5%
Table 2bis Retail SME
BE
NL
IT
ES
DE
UK
Capital structure assumptions
AAA
72.5%
67.5%
72.5%
67.5%
AA
6.0%
8.0%
55.0%
51.5%
6.0%
8.0%
A
4.0%
7.0%
10.0%
11.0%
4.0%
7.0%
BBB
5.0%
5.0%
10.0%
10.0%
5.0%
5.0%
BB
5.0%
3.5%
7.5%
7.5%
5.0%
3.5%
B
5.0%
2.5%
5.0%
6.5%
5.0%
2.5%
First loss
2.5%
6.5%
12.5%
13.5%
2.5%
6.5%
Ksa and W assumptions
Ksa
4.60%
4.60%
4.60%
4.60%
4.60%
4.60%
W (delinquency)
2.50%
2.50%
2.50%
2.50%
2.50%
2.50%
Table 3bis Auto Loans
UK
Non-UK
Capital structure assumptions
AAA
80.0%
88.0%
AA
4.0%
2.0%
A
4.0%
2.5%
BBB
4.0%
2.0%
BB
2.0%
1.5%
B
2.0%
1.5%
First loss
4.0%
2.5%
Ksa and W assumptions
Ksa
6.00%
6.00%
W (delinquency)
1.45%
1.45%
Table 4 bis Credit Cards
UK
Capital structure assumptions
AAA
85.0%
AA
3.0%
A
2.0%
BBB
3.0%
BB
2.5%
B
1.5%
First loss
3.0%
Ksa and W assumptions
Ksa
6.00%
W (delinquency)
2.29%