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Version from: 01/01/2023
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CRR ToolCapital Requirements Regulation (CRR)
Article 269

Article 269 - Re-securitisations

Article 269

Re-securitisations

1.  

For a position in a re-securitisation, institutions shall apply the SEC-SA in accordance with Article 261, with the following changes:

(a) 

W = 0 for any exposure to a securitisation tranche within the pool of underlying exposures;

(b) 

p = 1,5;

(c) 

the resulting risk weight shall be subject to a risk-weight floor of 100 %.

2.  
KSA for the underlying securitisation exposures shall be calculated in accordance with Subsection 2.
3.  
The maximum capital requirements set out in Subsection 4 shall not be applied to re-securitisation positions.
4.  
Where the pool of underlying exposures consists of a mix of securitisation tranches and other types of assets, the KA parameter shall be determined as the nominal exposure weighted-average of the KA calculated individually for each subset of exposures.