Effective from Jan 01 2023 - Dec 31 2022 To view other versions open the versions tab on the right
19.16
For resecuritization exposures, banks must apply the SEC-SA specified in 19.1 to 19.15, with the following adjustments:
(1)
The capital requirement of the underlying securitization exposures is calculated using the securitization framework;
(2)
Delinquencies (W) are set to zero for any exposure to a securitization tranche in the underlying pool; and
(3)
The supervisory parameter p is set equal to 1.5, rather than 1 as for securitization exposures.
19.17
If the underlying portfolio of a resecuritization consists in a pool of exposures to securitization tranches and to other assets, one should separate the exposures to securitization tranches from exposures to assets that are not securitizations. The KA parameter should be calculated for each subset individually, applying separate W parameters; these calculated in accordance with 19.6 and 19.7 in the subsets where the exposures are to assets that are not securitization tranches, and set to zero where the exposures are to securitization tranches. The KA for the resecuritization exposure is then obtained as the nominal exposure weighted- average of the KA’s for each subset considered.
19.18
The resulting risk weight is subject to a floor risk weight of 100%.
19.19
The caps described in 18.50 to 18.55 cannot be applied to resecuritization exposures.
