Risk Weight

The Risk Weights are defined in [MAR22.34]. They may be provided in the input files for each tranche. Otherwise the SEC-ERBA risk weights are determined for the tranche as specified in CRE42.

The risk weights are looked up from the SEC-ERBA risk weights store. They are looked up by Rating, Rating Type and Seniority. For non-senior tranches the Attachment Point and Detachment Point are used to determine the tranche thickness.