+Article 249 9.

Article 249 9.

Institutions using the Securitisation External Ratings Based Approach (SEC-ERBA) under Subsection 3 for the original securitisation position shall calculate risk-weighted exposure amounts for the positions derived in accordance with paragraph 7 as follows:

(a) 

where the derived position has the higher seniority, it shall be assigned the risk weight of the original securitisation position;

(b) 

where the derived position has the lower seniority, it may be assigned an inferred rating in accordance with Article 263(7). In that case, thickness input T shall only be computed on the basis of the derived position. Where a rating may not be inferred, the institution shall apply the higher of the risk weight resulting from either:

(i) 

applying the SEC-SA in accordance with paragraph 8 and Subsection 3; or

(ii) 

the risk weight of the original securitisation position under the SEC-ERBA.

1. Übersicht

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1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards