+Article 269a 5.

Article 269a 5.

For the purposes of Article 268(1), expected losses associated with exposures underlying a qualifying traditional NPE securitisation shall be included after deduction of the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments.

Institutions shall perform the calculation in accordance with the following formula:

where:

CRmax

=

the maximum capital requirement in the case of a qualifying traditional NPE securitisation;

RWEAIRB

=

the sum of risk-weighted exposure amounts of the underlying exposures subject to the IRB Approach;

ELIRB

=

the sum of expected loss amounts of the underlying exposures subject to the IRB Approach;

NRPPD

=

the non-refundable purchase price discount;

EVIRB

=

the sum of exposure values of the underlying exposures that are subject to the IRB Approach;

EVPool

=

the sum of exposure values of all underlying exposures in the pool;

SCRAIRB

=

for originator institutions, the specific credit risk adjustments made by the institution with respect to those underlying exposures subject to the IRB Approach only if and to the extent these adjustments exceed the NRPPD; for investor institutions the amount is zero;

RWEASA

=

the sum of risk-weighted exposure amounts of the underlying exposures subject to the Standardised Approach.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards