+Article 269a 6.

Article 269a 6.

By way of derogation from paragraph 3 of this Article, where the exposure-weighted average risk weight calculated in accordance with the look-through approach set out in Article 267 is lower than 100 %, institutions may apply the lower risk weight, subject to a 50 % risk-weight floor.

For the purposes of the first subparagraph, originator institutions that apply the SEC-IRBA to a position and that are permitted to use own estimates of LGD and conversion factors for all underlying exposures subject to the IRB Approach in accordance with Chapter 3, shall deduct the non-refundable purchase price discount and, where applicable, any additional specific credit risk adjustments from the expected losses and exposure values of the underlying exposures associated with a senior position in a qualifying traditional NPE securitisation, in accordance with the following formula:

where:

RWmax

=

the risk weight, before applying the floor, applicable to a senior position in a qualifying traditional NPE securitisation when the look-through approach is used;

RWEAIRB

=

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

RWEASA

=

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

EVSA

=

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

SCRAIRB

=

the specific credit risk adjustments made by the originator institution with respect to the underlying exposures subject to the IRB Approach only if and to the extent these adjustments exceed the NRPPD.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards