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+Article 267 2. |
Article 267 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;
(b)
where the institution applies the SEC-SA or the SEC-ERBA, the maximum risk weight for senior securitisation positions shall be equal to the Standardised Approach weighted-average risk weight of the underlying exposures. 1. Übersicht
1.1 Referenzen1.2 Identifizierte Anforderungen1.3 Zugehörige Standards2. Identifizierte Anforderungen
3. Zugehörige Standards
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