Article 253

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 5 > Section 3 > Subsection 1 > Article 253
Title:
Article 253
Description: 
Reduction in risk-weighted exposure amounts
Main content: 

1. Where a securitisation position is assigned a 1 250 % risk weight under this Section, institutions may deduct the exposure value of such position from Common Equity Tier 1 capital in accordance with point (k) of Article 36(1) as an alternative to including the position in their calculation of risk-weighted exposure amounts. For that purpose, the calculation of the exposure value may reflect eligible funded credit protection in accordance with Article 249.

2. Where an institution makes use of the alternative set out in paragraph 1, it may subtract the amount deducted in accordance with point (k) of Article 36(1) from the amount specified in Article 268 as maximum capital requirement that would be calculated in respect of the underlying exposures as if they had not been securitised.