+Article 269 Re-securitisations
---+Article 269 1.
---+Article 269 2.
---+Article 269 3.
---+Article 269 4.

Article 269 Re-securitisations

1. Overview

,
Article 269 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 %.
Article 269 2.
KSA for the underlying securitisation exposures shall be calculated in accordance with Subsection 2.
Article 269 3.
The maximum capital requirements set out in Subsection 4 shall not be applied to re-securitisation positions.
Article 269 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.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards