+Article 258 2.

Article 258 2.

Competent authorities may on a case-by-case basis preclude the use of the SEC-IRBA where securitisations have highly complex or risky features. For these purposes, the following may be regarded as highly complex or risky features:

(a) 

credit enhancement that can be eroded for reasons other than portfolio losses;

(b) 

pools of underlying exposures with a high degree of internal correlation as a result of concentrated exposures to single sectors or geographical areas;

(c) 

transactions where the repayment of the securitisation positions is highly dependent on risk drivers not reflected in KIRB; or

(d) 

highly complex loss allocations between tranches.

1. Übersicht

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1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards