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+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. Prezentare generală
1.1 Referințe1.2 Cerințe identificate1.3 Standarde asociate2. Cerințe identificate
3. Standarde asociate
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