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Text applicable on 7 Oct 2026Consolidated version of 26 Jun 2026In forceUpcoming changefrom 1 Jan 2027Unofficial text · authentic on EUR-Lex (opens in a new tab)

CRR Article 269 — as applicable on 7 Oct 2026 (version of 26 Jun 2026)

Article 269

Re-securitisations

Amendment details· last amended 1 Jan 2019
Versions of this provision:28 Jun 20131 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.

For a position in a re-securitisation, institutions shall apply the SEC-SA in accordance with Article 261, with the following changes:

(a)

W = 0 for any exposure to a securitisation tranche within the pool of underlying exposures;

(b)

p = 1,5;

(c)

the resulting risk weight shall be subject to a risk-weight floor of 100 %.

2.

KSA for the underlying securitisation exposures shall be calculated in accordance with Subsection 2.

3.

The maximum capital requirements set out in Subsection 4 shall not be applied to re-securitisation positions.

4.

Where the pool of underlying exposures consists of a mix of securitisation tranches and other types of assets, the KA parameter shall be determined as the nominal exposure weighted-average of the KA calculated individually for each subset of exposures.