1. Competent authorities should assess the documentation and evidence provided by the originator …

Competent authorities should assess the documentation and evidence provided by the originator institution relating to the securitisation in order to determine whether commensurate credit risk has been transferred to third parties and require additional information, where this is needed to conduct the assessment. Competent authorities should pay particular attention to amongst others, the following factors, as applicable:

• a. the risk-weighted exposure amounts and, as relevant, expected loss amounts calculated for the securitised exposures before securitisation and the corresponding amounts for the tranches transferred and retained by the originator institution after securitisation;
• b. with respect to originator institutions demonstrating SRT in accordance with Articles 243(4) or 244(4) of Regulation (EU) No 575/2013, the methods used to demonstrate that the credit risk which has been transferred is commensurate with the possible reduction in own funds requirements;
• c. where the originator institution has used internal models to demonstrate that significant credit risk has been transferred, whether these models are appropriately robust and where external models have been used whether these models have been integrated into the originator institution’s regular processes, and whether the originator institution has an appropriate understanding of how the model operates and its underlying assumptions;
• d. where the originator institution has used specific stress assumptions on the underlying asset pool, the suitability of such assumptions and how these assumptions and resultant projected losses compare with those used for supervisory stress testing or with other empirical sources of such data, such as the rating agencies.

1. Forbhreathnú

1.1 Tagairtí

• Airteagal 243 Critéir le haghaidh Urrúsuithe STC a cháilíonn do láimhseáil dhifreáilte caipitil
• Airteagal 244 4.

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/