3. In the case where the originator institution is relying on the supervisory formula to determine …

In the case where the originator institution is relying on the supervisory formula to determine its post-securitisation own funds requirements, competent authorities should consider how sensitive the own funds requirements on the originator institution’s retained securitisation positions are to changes in the underlying IRB parameters. If the capital requirements on the retained securitisation positions are highly sensitive to small changes in these parameters, it is less likely that commensurate credit risk has been transferred.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.