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Text applicable on 9 Jan 2024Consolidated version of 9 Jan 2024Earlier versionUpcoming changefrom 9 Jul 2024Unofficial text · authentic on EUR-Lex (opens in a new tab)

CRR Article 268 — as applicable on 9 Jan 2024 (version of 9 Jan 2024)

Article 268

Maximum capital requirements

Amendment details· last amended 1 Jan 2019
Versions of this provision:28 Jun 201319 Jul 20161 Jan 2019

Last amended 1 Jan 2019 by Regulation (EU) 2017/2401 of 12 December 2017 and/or Regulation (EU) 2019/876 of 20 May 2019.

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1.

An originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 in respect of the underlying exposures had they not been securitised. For the purposes of this Article, the IRB Approach capital requirement shall include the amount of the expected losses associated with those exposures calculated under Chapter 3 and that of unexpected losses.

2.

In the case of mixed pools, the maximum capital requirement shall be determined by calculating the exposure-weighted average of the capital requirements of the IRB Approach and Standardised Approach portions of the underlying exposures in accordance with paragraph 1.

3.

The maximum capital requirement shall be the result of multiplying the amount calculated in accordance with paragraphs 1 or 2 by the largest proportion of interest that the institution holds in the relevant tranches (V), expressed as a percentage and calculated as follows:

(a)

for an institution that has one or more securitisation positions in a single tranche, V shall be equal to the ratio of the nominal amount of the securitisation positions that the institution holds in that given tranche to the nominal amount of the tranche;

(b)

for an institution that has securitisation positions in different tranches, V shall be equal to the maximum proportion of interest across tranches. For these purposes, the proportion of interest for each of the different tranches shall be calculated as set out in point (a).

4.

When calculating the maximum capital requirement for a securitisation position in accordance with this Article, the entire amount of any gain on sale and credit-enhancing interest-only strips arising from the securitisation transaction shall be deducted from Common Equity Tier 1 items in accordance with point (k) of Article 36(1).