Question
With respect to Article 262 of Regulation (EU) 575/2013 as amended by Regulation (EU) 2017/2401, we would like to ask whether an institution which calculates risk-weighted exposure amounts under the Standardised Approach (SEC-SA) of Article 261, should apply p=0.5 in all securitisation positions (junior, mezzanine and senior) or such p value should only be applied in the senior securitisation position.
Background on the question
Article 262 of CRR
Answer
This question has been rejected because the issue it deals with is already explained or addressed in the regulatory framework.For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”