17. In case of a portfolio including securitised exposures, the assessment of compliance with the …

In case of a portfolio including securitised exposures, the assessment of compliance with the diversification condition referred to in paragraph 11 should be carried out with regard to the retail exposures underlying the securitisation as if those underlying exposures were not securitised, in accordance with Article 255(6) of Regulation (EU) No 575/2013. Therefore, the calculation of the ratios referred to in paragraphs 11 and 12 should not be done for the whole portfolio of the institution’s eligible retail exposures but should be done separately for three sub portfolios. More specifically:

• a) For the sub-portfolio consisting of non-securitised exposures, the numerator and the denominator should include only non-securitised exposures.
• b) For the sub-portfolio consisting of securitised exposures where the institution acts as originator, the numerator and the denominator should include both those securitised exposures and all the non-securitised exposures.
• c) For the sub-portfolio consisting of securitised exposures where the institution acts as investor, the numerator and the denominator should include only the underlying securitised exposures.

1. Přehled

1.1 Odkazy

• Článek 255 6.

1.2 Identifikované požadavky

1.3 Související standardy

2. Identifikované požadavky

3. Související standardy

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