in force 2019-01-01 MODIFIED+1,043 −645§
Amended by Regulation (EU) 2017/2401 32017R2401 · Regulation (EU) 2019/876 32019R0876
applies from: unchanged
Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it. Both are shown; neither is overruled.
The provision's heading changed from a general rule on risk-weights for rated and unrated securitisation and re-securitisation positions to a rule specifically addressing originator institutions' calculation of risk-weighted exposure amounts for exposures securitised in a synthetic securitisation.
The earlier text set out risk weights tied to credit quality steps in a table distinguishing securitisation and re-securitisation positions, and specified a 1250% risk weight for unrated positions, whereas the later text instead states that the originator institution shall use the calculation methodologies of the Section for underlying exposures, sets the expected loss amount at zero for institutions using Chapter 3 methods, and describes application of the requirements to the entire pool of exposures and to all tranches subject to Article 252.
The later text also adds a statement that risk weights applied to positions benefiting from credit risk mitigation may be amended in accordance with Chapter 4, which does not appear in the earlier text.
Cited: Art. 251, v1 · Art. 251, v2
text before / after
texts differ too much for an inline diff; shown separately
before (02013R0575-20180101)
Article 251 Risk-weights Subject to Article 252, the institution shall calculate the risk-weighted exposure amount of a rated securitisation or re-securitisation position by applying the relevant risk weight to the exposure value. The relevant risk weight shall be the risk weight as laid down in Table 1, with which the credit assessment of the position is associated in accordance with Section 4. Table 1 Credit Quality Step 1 2 3 4 (only for credit assessments other than short-term credit assessments) all other credit quality steps Securitisation positions 20 % 50 % 100 % 350 % 1250 % Re-securitisation positions 40 % 100 % 225 % 650 % 1250 % Subject to Articles 252 to 255, the risk-weighted exposure amount of an unrated securitisation position shall be calculated by applying a risk weight of 1250 %.
after (02013R0575-20190101)
Article 251 Originator institutions’ calculation of risk-weighted exposure amounts securitised in a synthetic securitisation 1. For the purpose of calculating risk-weighted exposure amounts for the underlying exposures, the originator institution of a synthetic securitisation shall use the calculation methodologies set out in this Section where applicable instead of those set out in Chapter 2. For institutions calculating risk-weighted exposure amounts and, where relevant, expected loss amounts with respect to the underlying exposures under Chapter 3, the expected loss amount in respect of such exposures shall be zero. 2. The requirements set out in paragraph 1 of this Article shall apply to the entire pool of exposures backing the securitisation. Subject to Article 252, the originator institution shall calculate risk-weighted exposure amounts with respect to all tranches in the securitisation in accordance with this Section, including the positions in relation to which the institution is able to recognise credit risk mitigation in accordance with Article 249. The risk weight to be applied to positions which benefit from credit risk mitigation may be amended in accordance with Chapter 4.