anx_II__point_1__point_d__text_2

‘16a. 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 point 1: (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 Part 4 of Annex IX to Directive 2006/48/EC; (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 Part 4 of Annex IX to Directive 2006/48/EC. For the purpose of points (a) and (b), the Supervisory Formula Method may be used only with supervisory approval by institutions other than an originator institution that may apply it for the same securitisation position in its non-trading book. Where relevant, estimates of PD and LGD as inputs to the Supervisory Formula Method shall be determined in accordance with Articles 84 to 89 of Directive 2006/48/EC or alternatively and subject to separate supervisory approval, based on estimates that are derived from an approach set out in point 5a of Annex V and that are in line with the quantitative standards for the Internal Ratings Based Approach. The Committee of European Banking Supervisors shall establish guidelines in order to ensure a convergent use of estimates of PD and LGD as inputs when those estimates are based on the approach set out in point 5a of Annex V. Notwithstanding points (a) and (b), for securitisation positions that would be subject to a risk weight in accordance with Article 122a of Directive 2006/48/EC if they were in the same institutions’ non-trading book, 8 % of the risk weight in accordance with that Article shall be applied. The institution shall sum its weighted positions resulting from the application of this point (regardless of whether they are long or short) in order to calculate its capital requirement against specific risk. By way of derogation from the fourth paragraph, for a transitional period ending 31 December 2013, 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 capital requirement. The institution shall, however, report to the home Member State competent authority the total sum of its weighted net long and net short positions, broken down by types of underlying assets.’;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-13 · Text as adopted (Official Journal); later amendments are not incorporated in this text.