X1PART THREECAPITAL REQUIREMENTS

TITLE IICAPITAL REQUIREMENTS FOR CREDIT RISK

F1CHAPTER 5 Securitisation

Section 3 Calculation of risk-weighted exposure amounts

Subsection 5 Miscellaneous provisions

Article 269 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.

K SA 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 K A parameter shall be determined as the nominal exposure weighted-average of the K A calculated individually for each subset of exposures.