Updated 18/04/2024
In force

Version from: 09/01/2024
Amendments (1)
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Article 269 - Re-securitisations

Article 269


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


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


p = 1,5;


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

KSA for the underlying securitisation exposures shall be calculated in accordance with Subsection 2.
The maximum capital requirements set out in Subsection 4 shall not be applied to re-securitisation positions.
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.