The pool here is larger than the total face value of the issued notes: the extra collateral sits beneath all rated tranches, absorbs the first losses of the pool, and lifts every tranche's attachment point upward. The key effect to track is on the junior: in Scenario 1 it attached at 0% and sat entirely below K_A, attracting the maximum charge across its full width; here, the OC cushion raises the junior's attachment to 4.76%, so the tranche now straddles K_A and a meaningful

In this scenario, the underlying pool is itself composed of securitisation tranches — making this a re-securitisation. The regulation treats re-securitisations more conservatively than standard transactions under Article 269(1): p is set to 1.5 instead of 1.0, and the risk-weight floor rises from 15% to 100%. These two changes work together: the higher p makes the KSSFA curve decay more slowly (producing larger formula values), and the 100% floor ensures that even a structura

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.

The pool is 1,000,000 of residential real estate mortgages, of which 150,000 (15%) have defaulted. The tranche structure is a classic three-layer waterfall: junior (first-loss), mezzanine, and senior. The originator retains the junior and senior; the mezzanine is sold. The scenario focuses on how the defaulted share W elevates KA — the reference capital rate — and what that means for each tranche.

The underlying pool is a performing residential real estate portfolio securitised into three tranches. The originator retains the junior (first-loss) and senior tranches; the mezzanine is sold to investors. The defining feature of this scenario is the STS label: it sets p = 0.5, which steepens the KSSFA decay curve for tranches above KA and lowers the regulatory floor on the senior to 10%.

This is the starting point of the SEC-SA series: a single-asset-class pool with no defaults and standard supervisory parameters. It walks through the SEC-SA mechanics in their simplest form — one pool, three tranches, one KA. Later scenarios layer in defaults, STS designation, NPE penalties, and resecuritisation to show how each feature shifts the capital outcome.

A securitisation is a financing technique in which a bank or other entity bundles a pool of loans — mortgages, auto loans, credit card receivables — and transfers them to a special purpose vehicle (SPV), which then issues bonds backed by those loan cashflows. Investors buy the bonds; the originating bank gets liquidity. What makes the structure work is tranching: the bonds are layered so that junior investors absorb the first losses, protecting senior investors above them.