Article 5 · Commission Delegated Regulation (EU) 2024/1780

Contents

Article 5Conditions under which institutions may calculate KIRB using a rating system that has been approved for the use for own-originated exposures#

An institution may calculate K_IRB in accordance with Article 255(4) of Regulation (EU) No 575/2013 using a rating system that has been approved for use for its own-originated exposures where all of the following conditions are met:

(a)the rating system is used only for calculating the PD of non-retail qualifying securitised exposures;

(b)if not being securitised, the non-retail qualifying securitised exposures would fall within the range of application of the rating system that will be used;

(c)the institution calculating K_IRB uses the LGD values set out in Article 8(3) of this Regulation;

(d)all requirements of Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 relating to rating systems are met, subject to point (e) of this Article;

(e)the requirements laid down in Article 7 and Article 12(3) of this Regulation are met with regard to the application of the purchased receivable requirements of Regulation (EU) No 575/2013 in the particular context of securitisation, instead of the corresponding requirements laid down in that Regulation, as set out in each of those Articles of this Regulation;

(f)the requirements laid down in Articles 14 and 15 of this Regulation are met with regard to the use of data.