in force 2025-01-01 MODIFIED+81 −657§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
Paragraph 2 no longer allows risk weights to be determined using PD and LGD estimates derived from an internal incremental default and migration risk model, and the related EBA guidelines mandate has been removed; instead institutions must use exclusively the approach set out in Title II, Chapter 5, Section 3.
Paragraph 4 now refers to paragraphs 1, 2 and 3 of this Article and to the exception for securitisation positions under Article 338(2), whereas the prior text referenced Article 338(4) without the added phrase 'of this Article'.
Cited: Art. 337, v1 · Art. 337, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 337
Own funds requirement for securitisation instruments
1. For instruments in the trading book that are securitisation positions, the institution shall weight the net positions as calculated in accordance with Article 327(1) with 8 % of the risk weight the institution would apply to the position in its non-trading book according to Section 3 of Chapter 5 of Title II.
2. When determining risk weights for the purposes of paragraph 1, estimates of PD and LGD may be determined based on estimates that are derived from an internal incremental default and migration risk model (IRC model) of an institution that has been granted permission to institutions shall use an internal model for specific risk of debt instruments. The latter alternative may be used only subject to permission by exclusively the competent authorities, which shall be granted if those estimates meet the quantitative requirements for the IRB Approach approach set out in Title II, Chapter 3 of Title II.
In accordance with Article 16 of Regulation (EU) No 1093/2010, the EBA shall issue guidelines on the use of estimates of PD and LGD as inputs when those estimates are based on an IRC model. 5, Section 3.
3. For securitisation positions that are subject to an additional risk weight in accordance with Article 247(6), 8 % of the total risk weight shall be applied.
4. The institution shall sum its weighted positions resulting from the application of paragraphs 1, 2 and 3 of this Article regardless of whether they are long or short, in order to calculate its own funds requirement against specific risk, except for securitisation positions subject to Article 338(4). 338(2).
5. Where an originator institution of a traditional securitisation does not meet the conditions for significant risk transfer set out in Article 244, the originator institution shall include the exposures underlying the securitisation in its calculation of own funds requirement as if those exposures had not been securitised.
Where an originator institution of a synthetic securitisation does not meet the conditions for significant risk transfer set out in Article 245, the originator institution shall include the exposures underlying the securitisation in its calculation of own funds requirements as if those exposures had not been securitised and shall ignore the effect of the synthetic securitisation for credit protection purposes.