1.For a position in a re-securitisation, institutions shall apply the SEC-SA in accordance with Article 261, with the following changes:
W = 0 for any exposure to a securitisation tranche within the pool of underlying exposures;
p = 1,5;
the resulting risk weight shall be subject to a risk-weight floor of 100 %.
2.KSAfor 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 KAparameter shall be determined as the nominal exposure weighted-average of the KAcalculated individually for each subset of exposures.