Article 262 › 2

Where the nominal amount of the largest securitised exposure, C1, is no more than 3 % of the sum of the nominal amount of the securitised exposures, then, for the purposes of the Supervisory Formula Method, the institution may set LGD= 50 % in the case of securitisations, which are not re-securitisations, and N equal to either of the following: where: Cm the ratio of the sum of the nominal amounts of the largest ‧m‧ exposures to the sum of the nominal amounts of the exposures securitised. The level of ‧m‧ may be set by the institution. For securitisations in which materially all securitised exposures are retail exposures, institutions may, subject to permission by the competent authority, use the Supervisory Formula Method using the simplifications h=0 and v=0, provided that the effective number of exposures is not low and that the exposures are not highly concentrated.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04