Prudential Regulation Authority Rulebook

2.1

Subject to 2.2 and 2.4, the risk weight for a position in an NPE securitisation calculated by a firm in accordance with Article 254 or 267 of the CRR is subject to a floor of 100%, save where Article 263 of the CRR applies.

2.2

Where the risk weight for a qualifying NPE securitisation is calculated by a firm in accordance with Article 254 or 267 of the CRR, the firm must assign a risk weight of 100% to the senior securitisation position, save where Article 263 of the CRR applies.

2.3

A firm that applies the IRB Approach to any exposures in the pool of underlying exposures in accordance with Chapter 3 of Title II of Part Three of the CRR and that is not permitted to use, or does not use, own estimates of LGD and conversion factors for such exposures, must not use the SEC-IRBA for the calculation of risk-weighted exposure amounts for a position in an NPE securitisation.

2.4

By way of derogation from 2.1 and 2.2, save where 2.3 applies, a firm may calculate the maximum capital requirement for a position in an NPE securitisation in accordance with Article 268 of the CRR.