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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 CELEX: 02013R0575-20250629 Re-securitisations
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. KSA 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 KA parameter shall be determined as the nominal exposure weighted-average of the KA calculated individually for each subset of exposures. |