For risk weighting of resecuritisation exposures, banks must apply only the SEC-SA as specified above (not the SEC-ERBA), with the following adjustments:

• •The capital requirement (K_SA) of the underlying securitisation exposures is calculated using the securitisation framework;
• •Delinquencies (W) are set to zero for any exposure to a securitisation tranche in the underlying pool; and
• •The supervisory parameter ρ is set equal to 1.5, rather than 1 as for securitisation exposures.

63.The resulting risk weight for resecuritisation exposures is subject to a minimum risk weight of 100%.

64.If the underlying portfolio of a resecuritisation consists partly of a pool of exposures to securitisation tranches and partly of other assets, banks should separate the exposures to securitisation tranches from exposures to assets that are not securitisations. Banks should calculate the K_A parameter separately for each individual subset. Separate W parameters should be applied to each subset, set to zero where the exposures are to securitisation tranches, or calculated according to this Standard for the subsets where the exposures are to assets that are not securitisation tranches. The K_A for the resecuritisation exposure is then the exposure-weighted average of the calculated K_A values for the separate subsets.