anx_I__point_4__point_b__point_i__text_2

‘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.’;

← anx_I__point_4__point_b__point_i__text_1 · All articles · (ii) →

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