EBU Single Rulebook Q&A 1 December 2017 2017_3609 Weighted average risk weight calculation of the securitised exposures for an unrated securitisation position in STD according to Article 253
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European Union · · · 01-12-2017
How shall the weighted average risk weight of the securitised exposures for an unrated securitisation position in the standardised approach (STD) be calculated? Has the average to be weighted on EAD before the conversion factor (EAD_pre_ccf) or on EAD?
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