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+Article 245 2. |
Article 245 2.Significant credit risk shall be considered as transferred in either of the following cases:
(a)
the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator institution in the securitisation do not exceed 50 % of the risk-weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;
(b)
the originator institution does not hold more than 20 % of the exposure value of the first loss tranche in the securitisation, provided that both of the following conditions are met:
(i)
the originator can demonstrate that the exposure value of the first loss tranche exceeds a reasoned estimate of the expected loss on the underlying exposures by a substantial margin;
(ii)
there are no mezzanine securitisation positions. Where the possible reduction in risk-weighted exposure amounts, which the originator institution would achieve by the securitisation, is not justified by a commensurate transfer of credit risk to third parties, competent authorities may decide on a case-by-case basis that significant credit risk shall not be considered as transferred to third parties. 1. Übersicht
1.1 Referenzen1.2 Identifizierte Anforderungen1.3 Zugehörige Standards2. Identifizierte Anforderungen
3. Zugehörige Standards
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