Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2019 - onwards
  Version 5 of 5    

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.