17. In case of a portfolio including securitised exposures, the assessment of compliance with the …

In case of a portfolio including securitised exposures, the assessment of compliance with the diversification condition referred to in paragraph 11 should be carried out with regard to the retail exposures underlying the securitisation as if those underlying exposures were not securitised, in accordance with Article 255(6) of Regulation (EU) No 575/2013. Therefore, the calculation of the ratios referred to in paragraphs 11 and 12 should not be done for the whole portfolio of the institution’s eligible retail exposures but should be done separately for three sub portfolios. More specifically:

• a) For the sub-portfolio consisting of non-securitised exposures, the numerator and the denominator should include only non-securitised exposures.
• b) For the sub-portfolio consisting of securitised exposures where the institution acts as originator, the numerator and the denominator should include both those securitised exposures and all the non-securitised exposures.
• c) For the sub-portfolio consisting of securitised exposures where the institution acts as investor, the numerator and the denominator should include only the underlying securitised exposures.

1. Overview

1.1 References

• Article 255 6.

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.