# 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 (Text with EEA relevance), Article 269: Re-securitisations

Extent: E+W+S+N.I.

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.

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Source: https://www.legislation.gov.uk/eur/2013/575/article/269 (the official version)
Page: https://openlegislation.uk/eu-regulation-2013-575/article-269
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.