Version in force , Modified +742 −1,847§
Amended by Regulation (EU) 2017/2401 32017R2401 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex)
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The heading and text of Article 266 changed entirely, moving from provisions on reducing risk-weighted exposure amounts through specific credit risk adjustments and own-funds deduction options to a new subject matter concerning the Internal Assessment Approach for unrated positions in ABCP programmes or transactions.
The prior four paragraphs covering reductions for securitised and securitisation position exposures, the deduction alternative under Article 36(1)(k), and the related subtraction mechanism under Article 260 were replaced by two paragraphs describing how an institution assigns a derived rating to an unrated position using rating grades under Article 265(2) and how that derived rating is treated as an eligible credit assessment for calculations under Article 263 or Article 264.
Cited: Art. 266, v1 (external, EUR-Lex) · Art. 266, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
texts differ too much for an inline diff; shown separately
Previous version, in force 1 January 2018 02013R0575-20180101
Article 266 Reduction in risk-weighted exposure amounts 1. The risk-weighted exposure amount of a securitisation position to which a 1250 % risk weight is assigned may be reduced by 12,5 times the amount of any specific credit risk adjustments treated in accordance with Article 110 made by the institution in respect of the securitised exposures. To the extent that specific credit adjustments are taken account of for this purpose they shall not be taken account of for the purposes of the calculation laid down in Article 159. 2. The risk-weighted exposure amount of a securitisation position may be reduced by 12,5 times the amount of any specific credit risk adjustments treated in accordance with Article 110 made by the institution in respect of the position. 3. As provided in Article 36(1)(k) in respect of a securitisation position in respect of which a 1250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position subject to the following: (a) the exposure value of the position may be derived from the risk-weighted exposure amounts taking into account any reductions made in accordance with paragraphs 1 and 2; (b) the calculation of the exposure value may reflect eligible funded protection in a manner consistent with the methodology prescribed in Articles 247 and 264; (c) where the Supervisory Formula Method is used to calculate risk-weighted exposure amounts and L < KIRBR and [L+T] > KIRBR the position may be treated as two positions with L equal to KIRBR for the more senior of the positions. 4. Where an institution makes use of the option in paragraph 3 it may subtract 12,5 times the amount deducted in accordance with that paragraph from the amount specified in Article 260 as the amount to which the risk-weighted exposure amount in respect of its positions in a securitisation may be limited.
this version, in force 1 January 2019 02013R0575-20190101
Article 266 Calculation of risk-weighted exposure amounts under the Internal Assessment Approach 1. Under the Internal Assessment Approach, the institution shall assign the unrated position in the ABCP programme or ABCP transaction to one of the rating grades laid down in point (e) of Article 265(2) on the basis of its internal assessment. The position shall be attributed a derived rating which shall be the same as the credit assessments corresponding to that rating grade as laid down in point (e) of Article 265(2). 2. The rating derived in accordance with paragraph 1 shall be at least at the level of investment grade or better at the time it was first assigned and shall be regarded as an eligible credit assessment by an ECAI for the purposes of calculating risk-weighted exposure amounts in accordance with Article 263 or Article 264, as applicable.