|
+Article 261 2. |
Article 261 2.For the purposes of paragraph 1, KA shall be calculated as follows:
where: KSA is the capital charge of the underlying pool as defined in Article 255; W = ratio of:
(a)
the sum of the nominal amount of underlying exposures in default, to
(b)
the sum of the nominal amount of all underlying exposures. For these purposes, an exposure in default shall mean an underlying exposure which is either: (i) 90 days or more past due; (ii) subject to bankruptcy or insolvency proceedings; (iii) subject to foreclosure or similar proceeding; or (iv) in default in accordance with the securitisation documentation. Where an institution does not know the delinquency status for 5 % or less of underlying exposures in the pool, the institution may use the SEC-SA subject to the following adjustment in the calculation KA: Where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool, the position in the securitisation must be risk-weighted at 1 250 %. 1. Übersicht
1.1 Referenzen1.2 Identifizierte Anforderungen1.3 Zugehörige Standards2. Identifizierte Anforderungen
3. Zugehörige Standards
|
