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Article 269 Re-securitisationsX1F1

United Kingdom

Original text. Later amendments are not shown.

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 %.

2.

K SA for the underlying securitisation exposures shall be calculated in accordance with Subsection 2.

3.

The maximum capital requirements set out in Subsection 4 shall not be applied to re-securitisation positions.

4.

Where the pool of underlying exposures consists of a mix of securitisation tranches and other types of assets, the K A parameter shall be determined as the nominal exposure weighted-average of the K A calculated individually for each subset of exposures.

Annotations

Textual amendments

F1

Substituted by Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms.

Editorial notes

X1

Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

Notes on the whole EU Regulation

Textual amendments

F1

Regulation revoked (1.1.2024 for the revocation of Art. 92b, 1.1.2026 for the revocation of Arts. 6(1a), 11(3a), 12a, 18(1) (in part), 25-35, 37-47, 47a(1)(2), 47c-79a, 81(1)(a)(i)-(iic)(b)(c)(2), 82(a)(i)-(iic)(b)(c), 83-91, 92a, 466, 468, 469a, 471, 473-474, 476, 479, 480, 482-491, 494-494b, otherwise prosp.) by Financial Services and Markets Act 2023 (c. 29), s. 86(3), Sch. 1 Pt. 1 (with s. 1(4)); S.I. 2023/779, reg. 5(b)(i); S.I. 2025/873, reg. 4(b) (with regs. 6, 7) (as amended by S.I. 2025/1293, reg. 2)