in force 2019-01-01 MODIFIED+719 −949§
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 covering the treatment of unrated positions to covering reductions in risk-weighted exposure amounts.
The prior text described calculating a risk-weighted exposure amount for an unrated securitisation position using a weighted-average risk weight multiplied by a concentration ratio, with a 1250 % risk weight applied where the institution could not determine the applicable risk weights, whereas the later text instead addresses positions already assigned a 1250 % risk weight and describes deducting the exposure value of such a position from Common Equity Tier 1 capital as an alternative to including it in the risk-weighted exposure amount calculation.
The later text also adds that where this deduction alternative is used, the amount deducted may be subtracted from the amount specified in Article 268 as the maximum capital requirement calculated for the underlying exposures as if they had not been securitised.
Cited: Art. 253, v1 · Art. 253, v2
text before / after
texts differ too much for an inline diff; shown separately
before (02013R0575-20180101)
Article 253 Treatment of unrated positions 1. For the purpose of calculating the risk-weighted exposure amount of an unrated securitisation position an institution may apply the weighted-average risk weight that would be applied to the securitised exposures under Chapter 2 by an institution holding the exposures, multiplied by the concentration ratio referred to in paragraph 2. For this purpose, the institution shall know the composition of the pool of securitised exposures securitised at all times. 2. The concentration ratio shall be equal to the sum of the nominal amounts of all the tranches divided by the sum of the nominal amounts of the tranches junior to or pari passu with the tranche in which the position is held including that tranche itself. The resulting risk weight shall not be higher than 1250 % or lower than any risk weight applicable to a rated more senior tranche. Where the institution is unable to determine the risk weights that would be applied to the securitised exposures under Chapter 2, it shall apply a risk weight of 1250 % to the position.
after (02013R0575-20190101)
Article 253 Reduction in risk-weighted exposure amounts 1. Where a securitisation position is assigned a 1250 % risk weight under this Section, institutions may deduct the exposure value of such position from Common Equity Tier 1 capital in accordance with point (k) of Article 36(1) as an alternative to including the position in their calculation of risk-weighted exposure amounts. For that purpose, the calculation of the exposure value may reflect eligible funded credit protection in accordance with Article 249. 2. Where an institution makes use of the alternative set out in paragraph 1, it may subtract the amount deducted in accordance with point (k) of Article 36(1) from the amount specified in Article 268 as maximum capital requirement that would be calculated in respect of the underlying exposures as if they had not been securitised.