(4)

Annex IX is amended as follows: in point 1 of Part 3, the following point is added: ‘(c) The credit assessment shall not be based or partly based on unfunded support provided by the credit institution itself. In such case, the credit institution shall consider the relevant position as if it were not rated and shall apply the relevant treatment of unrated positions as set out in Part 4.’; Part 4 is amended as follows: point 5 is replaced by the following: ‘5. Where a credit institution has two or more overlapping positions in a securitisation, it will be required to the extent that they overlap to include in its calculation of risk-weighted exposure amounts only the position or portion of a position producing the higher risk-weighted exposure amounts. The credit institution may also recognise such overlap between specific risk capital charges for positions in the trading book and capital charges for positions in the banking book, provided that the credit institution is able to calculate and compare the capital charges for the relevant positions. For the purpose of this point “overlapping” occurs when the positions, wholly or partially, represent an exposure to the same risk such that the extent of the overlap there is a single exposure. Where point 1(c) of Part 3 applies to positions in the ABCP, the credit institution may, subject to the approval of the competent authorities, use the risk-weight assigned to a liquidity facility in order to calculate the risk-weighted exposure amount for the ABCP if the liquidity facility ranks pari passu with the ABCP so that they form overlapping positions and 100 % of the ABCP issued by the programme is covered by liquidity facilities.’; point 6 is replaced by the following: ‘6. Subject to point 8, the risk-weighted exposure amount of a rated securitisation or re-securitisation position shall be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated by the competent authorities in accordance with Article 98 as laid down in Table 1.’; Table 1 is replaced by the following: ‘Table 1 Credit Quality Step 1 2 3 4 (only for credit assessments other than short-term credit assessments) all other credit quality steps Securitisation positions 20 % 50 % 100 % 350 % 1250 % Re-securitisation positions 40 % 100 % 225 % 650 % 1250 %’ Table 2 is deleted; point 46 is replaced by the following: ‘46. Under the Ratings Based Method, the risk-weighted exposure amount of a rated securitisation or re-securitisation position shall be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated by the competent authorities in accordance with Article 98, as set out in the Table 4, multiplied by 1,06.’; Table 4 is replaced by the following: ‘Table 4 Credit Quality Step Securitisation Positions Re-securitisation Positions Credit assessments other than short term Short term credit assessments A B C D E 1 1 7 % 12 % 20 % 20 % 30 % 2 8 % 15 % 25 % 25 % 40 % 3 10 % 18 % 35 % 35 % 50 % 4 2 12 % 20 % 40 % 65 % 5 20 % 35 % 60 % 100 % 6 35 % 50 % 100 % 150 % 7 3 60 % 75 % 150 % 225 % 8 100 % 200 % 350 % 9 250 % 300 % 500 % 10 425 % 500 % 650 % 11 650 % 750 % 850 % all other and unrated 1250 %’ Table 5 is deleted; point 47 is replaced by the following: ‘47. The weightings in column C of table 4 shall be applied where the securitisation position is not a re-securitisation position and where the effective number of exposures securitised is less than six. For the remainder of the securitisation positions that are not re-securitisation positions, the weightings in column B shall be applied unless the position is in the most senior tranche of a securitisation, in which case the weightings in column A shall be applied. For re-securitisation positions the weightings in column E shall be applied unless the re-securitisation position is in the most senior tranche of the re-securitisation and none of the underlying exposures were themselves re-securitisation exposures, in which case column D shall be applied. When determining whether a tranche is the most senior, it is not required to take into consideration amounts due under interest rate or currency derivative contracts, fees due, or other similar payments.’; point 48 is deleted; point 49 is replaced by the following: ‘49. In calculating the effective number of exposures securitised multiple exposures to one obligor shall be treated as one exposure. The effective number of exposures is calculated as: N = (ΣEAD_(i))^(2) / Σ_(i)^(i)EAD_(i)^(2) where EAD_(i) represents the sum of the exposure values of all exposures to the ith obligor. If the portfolio share associated with the largest exposure, C1, is available, the credit institution may compute N as 1/C1.’; point 50 is deleted; point 52 is replaced by the following: ‘52. Subject to points 58 and 59, under the Supervisory Formula Method, the risk weight for a securitisation position shall be the risk weight to be applied in accordance with point 53. However, the risk weight shall be no less than 20 % for re-securitisation positions and no less than 7 % for all other securitisation positions.’; in point 53, the sixth paragraph is replaced by the following: ‘N is the effective number of exposures calculated in accordance with point 49. In the case of re-securitisations, the credit institution shall look at the number of securitisation exposures in the pool and not the number of underlying exposures in the original pools from which the underlying securitisation exposures stem.’.

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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.