AI Summary of Article 337 Own funds requirement for securitisation instruments
This summary outlines the regulatory framework for securitisation positions within an institution's trading book. Under the specified provisions, institutions must apply an 8% risk weight to net positions from securitisation, consistent with their non-trading book approaches. This includes reliance on specific methodologies outlined in Title II, Chapter 5, Section 3 for determining risk weights.
Furthermore, if traditional or synthetic securitisations do not meet significant risk transfer criteria, the underlying exposures must be included in the institution's own funds calculation as if they remain unsecuritised, disregarding any credit protection effects. Institutions are required to aggregate these weighted positions, ensuring compliance and accurate capital requirement assessments.
Article 337 Own funds requirement for securitisation instruments
1. For instruments in the trading book that are securitisation positions, the institution shall weight the net positions as calculated in accordance with Article 327(1) with 8 % of the risk weight the institution would apply to the position in its non-trading book according to Section 3 of Chapter 5 of Title II.
2.When determining risk weights for the purposes of paragraph 1, institutions shall use exclusively the approach set out in Title II, Chapter 5, Section 3.
3. For securitisation positions that are subject to an additional risk weight in accordance with Article 247(6), 8 % of the total risk weight shall be applied
4.The institution shall sum its weighted positions resulting from the application of paragraphs 1, 2 and 3 of this Article regardless of whether they are long or short, in order to calculate its own funds requirement against specific risk, except for securitisation positions subject to Article 338(2).