(a)for securitisation positions that would be subject to the Standardised Approach for credit risk in the same institution's non-trading book, 8 % of the risk weight under the Standardised Approach as set out in Title II, Chapter 5, Section 3;
(b)for securitisation positions that would be subject to the Internal Ratings Based Approach in the same institution's non-trading book, 8 % of the risk weight under the Internal Ratings Based Approach as set out in Title II, Chapter 5, Section 3.
2.The Supervisory Formula Method set out in Article 262 may be used where the institution can produce estimates of PD, and where applicable exposure value and LGD as inputs into the Supervisory Formula Method in accordance with the requirements for the estimation of those parameters under the Internal Ratings Based Approach in accordance with Title II, Chapter 3.
An institution other than an originator institution that could apply it for the same securitisation position in its non-trading book may only use that method subject to permission by the competent authorities, which shall be granted where the institution fulfils the condition in the first subparagraph.
4.By way of derogation from the second subparagraph of paragraph 3, for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions and its weighted net short positions. The larger of those sums shall constitute the specific risk own funds requirement. The institution shall, however, quarterly report to the competent authority of the home Member State the total sum of its weighted net long and net short positions, broken down by types of underlying assets.
1.For instruments in the trading book that are securitisation positions, the institution shall weight with the following its net positions as calculated in accordance with Article 327(1):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. EstimatesWhen determining risk weights for the purposes of paragraph 1, estimates of PD and LGD as inputs to the Supervisory Formula Method may alternatively also be determined based on estimates that are derived from an IRCinternal approachincremental default and migration risk model (IRC model) of an institution that has been granted permission to use an internal model for specific risk of debt instruments. The latter alternative may be used only subject to permission by the competent authorities, which shall be granted if those estimates meet the quantitative requirements for the Internal Ratings BasedIRB Approach set out in Chapter 3 of Title II, Chapter 3.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 approach.model.
3.For securitisation positions that are subject to an additional risk weight in accordance with Article 407,247(6), 8 % of the total risk weight shall be applied.
4. Except for securitisation positions treated in accordance with Article 338(4), theThe institution shall sum its weighted positions resulting from the application of thisparagraphs Article1, (regardless2 and 3 regardless of whether they are long or short)short, in order to calculate its own funds requirement against specific risk.risk, except for securitisation positions subject to Article 338(4).
5.Where an originator institution of a traditional securitisation does not meet the conditions for significant risk transfer set out in Article 243,244, itthe originator institution shall include the exposures underlying the securitisation in theits calculation of the own funds requirement underas thisif Article the securitisedthose exposures insteadhad ofnot itsbeen securitisation positions from this securitisation.securitised.
Where an originator institution of a synthetic securitisation does not meet the conditions for significant risk transfer set out in Article 244,245, itthe originator institution shall include the exposures underlying the securitisation in theits calculation of the own funds requirementrequirements underas thisif Articlethose exposures had not been securitised and shall ignore the securitisedeffect exposuresof fromthe thissynthetic securitisation,securitisation but not anyfor credit protection obtained for the securitised portfolio.purposes.