Calculation of risk-weighted exposure amounts
Where the originator
institution has decided to apply paragraph 1, it shall calculate the risk-weighted exposure
amounts as set out in this Chapter for the positions that it may hold in the securitisation
Where the originator institution has not transferred significant credit risk or has decided not to apply paragraph 1, it shall not be required to calculate risk-weighted exposure amounts for any position it may have in the securitisation but shall continue including the underlying exposures in its calculation of risk-weighted exposure amounts and, where relevant, expected loss amounts as if they had not been securitised.
Unless a securitisation position
is deducted from Common Equity Tier 1 items pursuant to point (k) of Article 36(1), the risk-weighted exposure
amount shall be included in the institution
’s total of risk-weighted exposure
amounts for the purposes of Article 92(3).
The risk-weighted exposure
amount of a securitisation position
shall be calculated by multiplying the exposure
value of the position, calculated as set out in Article 248, by the relevant total risk weight.
The total risk weight shall be determined as the sum of the risk weight set out in this Chapter and any additional risk weight in accordance with Article 270a.