in force 2019-01-01 MODIFIED+1,360 −3,472§
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 article's heading and subject matter changed entirely, moving from provisions on credit risk mitigation for securitisation positions under the IRB Approach to provisions on the treatment of STS securitisations under the SEC-ERBA.
The earlier text set out rules on effective risk weights, funded and unfunded credit protection adjustments, partial protection treatment, and protection-provider risk weights, whereas the later text instead sets risk weights by reference to Article 263, and adds two tables assigning risk weights by credit quality step for short-term and long-term credit assessments, with the long-term table further varying by tranche seniority and maturity.
The later text's paragraph numbering and internal cross-references (to Articles 257 and 263) differ from the paragraph structure and cross-references (to Articles 235 and 262 and Chapters 2, 3 and 4) used in the earlier text.
Cited: Art. 264, v1 · Art. 264, v2
text before / after
texts differ too much for an inline diff; shown separately
before (02013R0575-20180101)
Article 264 Credit risk mitigation for securitisation positions subject to the IRB Approach 1. Where risk-weighted exposure amounts are calculated using the Ratings Based Method, the exposure value or the risk-weight for a securitisation position in respect of which credit protection has been obtained may be amended in accordance with the provisions of Chapter 4 as they apply for the calculation of risk-weighted exposure amounts under Chapter 2. 2. In the case of full credit protection, where risk-weighted exposure amounts are calculated using the Supervisory Formula Method, the following requirements shall apply: (a) the institution shall determine the effective risk weight of the position. It shall do this by dividing the risk-weighted exposure amount of the position by the exposure value of the position and multiplying the result by 100; (b) in the case of funded credit protection, the risk-weighted exposure amount of the securitisation position shall be calculated by multiplying the funded protection-adjusted exposure amount of the position (E*), as calculated under Chapter 4 for the calculation of risk-weighted exposure amounts under Chapter 2 taking the amount of the securitisation position to be E, by the effective risk weight; (c) in the case of unfunded credit protection, the risk-weighted exposure amount of the securitisation position shall be calculated by multiplying the amount of the protection adjusted for any currency mismatch and maturity mismatch (GA) in accordance with the provisions of Chapter 4 by the risk weight of the protection provider; and adding this to the amount arrived at by multiplying the amount of the securitisation position minus GA by the effective risk weight. 3. In the case of partial protection, where risk-weighted exposure amounts are calculated using the Supervisory Formula Method, the following requirements shall apply: (a) if the credit risk mitigation covers the first loss or losses on a proportional basis on the securitisation position, the institution may apply paragraph 2; (b) in other cases, the institution shall treat the securitisation position as two or more positions with the uncovered portion being considered the position with the lower credit quality. For the purposes of calculating the risk-weighted exposure amount for this position, the provisions in Article 262 shall apply subject to the adjustment of T to e* in the case of funded credit protection and to T-g in the case of unfunded credit protection, where e* denotes the ratio of E* to the total notional amount of the underlying pool, where E* is the adjusted exposure amount of the securitisation position calculated in accordance with the provisions of Chapter 4 as they apply for the calculation of risk-weighted exposure amounts under Chapter 2 taking the amount of the securitisation position to be E; and g is the ratio of the nominal amount of credit protection, adjusted for any currency or maturity mismatch in accordance with the provisions of Chapter 4, to the sum of the exposure amounts of the securitised exposures. In the case of unfunded credit protection the risk weight of the protection provider shall be applied to that portion of the position not falling within the adjusted value of T. 4. Where, in the case of unfunded credit protection, competent authorities have granted the institution permission to calculate risk-weighted exposure amounts for comparable direct exposures to the protection provider in accordance with Chapter 3, the risk weight g of exposures to the protection provider in accordance with Article 235 shall be determined as specified in Chapter 3.
after (02013R0575-20190101)
Article 264 Treatment of STS securitisations under the SEC-ERBA 1. Under the SEC-ERBA, the risk weight for a position in an STS securitisation shall be calculated in accordance with Article 263, subject to the modifications laid down in this Article. 2. For exposures with short-term credit assessments or when a rating based on a short-term credit assessment may be inferred in accordance with Article 263(7), the following risk weights shall apply: Table 3 Credit Quality Step 1 2 3 All other ratings Risk weight 10 % 30 % 60 % 1250 % 3. For exposures with long-term credit assessments or when a rating based on a long-term credit assessment may be inferred in accordance with Article 263(7), risk weights shall be determined in accordance with Table 4, adjusted for tranche maturity (MT) in accordance with Article 257 and Article 263(4) and for tranche thickness for non-senior tranches in accordance with Article 263(5): Table 4 Credit Quality Step Senior tranche Non-senior (thin) tranche Tranche maturity (MT) Tranche maturity (MT) 1 year 5 years 1 year 5 years 1 10 % 10 % 15 % 40 % 2 10 % 15 % 15 % 55 % 3 15 % 20 % 15 % 70 % 4 15 % 25 % 25 % 80 % 5 20 % 30 % 35 % 95 % 6 30 % 40 % 60 % 135 % 7 35 % 40 % 95 % 170 % 8 45 % 55 % 150 % 225 % 9 55 % 65 % 180 % 255 % 10 70 % 85 % 270 % 345 % 11 120 % 135 % 405 % 500 % 12 135 % 155 % 535 % 655 % 13 170 % 195 % 645 % 740 % 14 225 % 250 % 810 % 855 % 15 280 % 305 % 945 % 945 % 16 340 % 380 % 1015 % 1015 % 17 415 % 455 % 1250 % 1250 % All other 1250 % 1250 % 1250 % 1250 %