In this scenario, 8% of the pool has unknown delinquency — the bank cannot confirm whether those exposures are current or in arrears. The regulation sets a 5% unknown-delinquency threshold: stay below it, and SEC-SA remains available with a KA adjustment; cross it, and SEC-SA is disqualified entirely. At 8%, the threshold is breached. A mandatory 1,250% risk weight — equivalent to full capital deduction — applies to every retained position regardless of its structural seniori

The pool is 1,000,000 of performing residential real estate mortgages. However, delinquency data is missing for 40,000 of these exposures — 4% of the pool. The pool is structured into three tranches — junior (first-loss), mezzanine, and senior — and the originator retains the junior and senior while selling the mezzanine. Because the unknown delinquency share is below the 5% regulatory threshold, SEC-SA remains available, but the regulation requires KA to be adjusted upward f

The pool is 1,000,000 of residential real estate mortgages, of which 950,000 (95%) have defaulted. This is a non-performing exposure (NPE) portfolio. The pool is structured into three tranches — junior (first-loss), mezzanine, and senior — and the originator retains the junior and senior while selling the mezzanine. The scenario shows how an extreme default share drives KA so high that even the senior tranche, attaching at 75%, cannot escape a meaningful capital charge.