Weighted average risk weight calculation of the securitised exposures for an unrated securitisation position in STD according to Article 253

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?

According to Article 253(1) CRR, "for the purpose of calculating the risk-weighted exposure amount of an unrated securitisation position an institution may apply the weighted-average risk weight that would be applied to the securitised exposures under Chapter 2 by an institution holding the exposures, multiplied by the concentration ratio referred to in paragraph 2. For this purpose, the institution shall know the composition of the pool of securitised exposures securitised at all times."Nonetheless, it is not clear whether the weighted average shall be calculated on EAD or EAD_pre_ccf.As a result, there may be different interpretations. For example: Securitised Portfolio/Exposures (the RW is the one that would be applied to the securitised exposures under Chapter 2):Asset A.EAD_pre_ccf = 100 CCF = 0 EAD = 0 RWA = 0 RW = 100% Asset B.EAD_pre_ccf = 200 CCF = 0.5 EAD = 100 RWA = 50 RW = 50% Asset C.EAD_pre_ccf = 50 CCF = 1 EAD = 50 RWA = 10 RW = 20% The tranches are on-balance sheet. To be mentioned – but not necessarily relevant for the answer - is that the securitization program is a synthetic transaction where the junior tranche is guaranteed by MDB (0% RW).Which is the correct average RW of the 3 cases proposed below? Case A) (Calculated on EAD): avg. RW = 40% [= (100 x 0% x 100% + 200 x 50% x 50% + 50 x 100% x 20%) / (0 +100 + 50)] Case B) (Calculated on EAD_pre_CCF and considering the RW that would be applied under Chapter 2): avg. RW = 60% [= (100 x 100% + 200 x 50% + 50 x 20%) / (100 + 200 + 50)] Case C) (Considering the effective RW = RWA/EAD_pre_ccf): avg. RW = 17.41% [= (0 + 50 + 10) / (100 + 200 + 50)]