AI Summary of Article 269 Re-securitisations
This guidance stipulates that institutions engaged in re-securitisation must apply the SEC-SA in line with Article 261, incorporating specific adjustments. Notably, a risk weight (W) of zero applies to exposures within the securitisation tranche pool, while a parameter (p) of 1.5 is mandated, with a minimum risk-weight floor set at 100%.
Additionally, the KSA for underlying securitisation exposures will adhere to the provisions outlined in Subsection 2.3, with an exemption from the maximum capital requirements specified in Subsection 4. In cases where the asset pool contains a combination of securitisation tranches and diverse asset types, the KA parameter will be computed as the nominal exposure weighted-average for the respective exposure subsets.
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.