AI Summary of Article 267 Maximum risk weight for senior securitisation positions: look-through approach
This document outlines the risk weight assignments for senior positions in securitisation exposures, distinguishing between institutions using the Standardised Approach and the IRB Approach. Specifically, where an institution has constant awareness of the underlying exposures, the maximum risk weight for the senior position is determined by the exposure-weighted-average risk weight applicable if the exposures had not been securitised.
In mixed pools, the appropriate risk weights for both the Standardised Approach and IRB components are applied, with the final calculated risk weight also subject to minimum thresholds as per regulatory requirements, ensuring compliance with Articles 259 to 264.
Article 267 Maximum risk weight for senior securitisation positions: look-through approach
1. An institution which has knowledge at all times of the composition of the underlying exposures may assign the senior position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised.
2. In the case of pools of underlying exposures where the institution uses exclusively the Standardised Approach or the IRB Approach, the maximum risk weight of the senior securitisation position shall be equal to the exposure-weighted-average risk weight that would apply to the underlying exposures under Chapter 2 or 3, respectively, as if they had not been securitised.
In the case of mixed pools the maximum risk weight shall be calculated as follows:
(a) where the institution applies the SEC-IRBA, the Standardised Approach portion and the IRB Approach portion of the underlying pool shall each be assigned the corresponding Standardised Approach risk weight and IRB Approach risk weight respectively;