1.   An institution calculating KIRB may, for non-retail qualifying securitised exposures, use the risk quantification standards for retail exposures laid down in Part Three, Title II, Chapter 3, Section 6, of Regulation (EU) No 575/2013 where all of the following conditions are met:

(a)	it would be unduly burdensome for the institution to use the risk quantification standards for corporate exposures laid down in Part Three, Title II, Chapter 3, Section 6, of Regulation (EU) No 575/2013;

(b)

the following requirements are met, instead of the requirements laid down in Article 154(5), points (a) to (d), of Regulation (EU) No 575/2013: (i) the SSPE or the institution calculating KIRB has purchased the non-retail qualifying securitised exposures from third-party originators or sellers unrelated to the institution calculating KIRB, and the exposure of the SSPE or the institution calculating KIRB to the obligors in the pool of qualifying securitised exposures does not include any exposures that are directly or indirectly originated by the institution calculating KIRB (ii) the non-retail qualifying securitised exposures have been generated on an arm’s-length basis between the originator or seller and the obligor and, accordingly, do not contain inter-company accounts receivables and receivables subject to contra-accounts between firms that buy and sell to each other; (iii) the SSPE or the institution calculating KIRB has a claim on all or part of the proceeds from the non-retail qualifying securitised exposures or a pro-rata interest in the proceeds; (iv) the pool of qualifying securitised exposures is sufficiently diversified.

2.   For the purposes of paragraph 1, point (a), when assessing whether the use of the risk quantification standards for corporate exposures laid down in Part Three, Title II, Chapter 3, Section 6, of Regulation (EU) No 575/2013 is unduly burdensome, institutions shall take into account all of the following factors:

(a)	whether the cost of using the risk quantification standards for corporate exposures on non-retail qualifying securitised exposures is disproportionate;

(b)	whether the institution’s access to and control of the relevant data on the securitised exposures is subject to significant impediments when compared to the ease of access to and control of data on retail exposures;

(c)	whether the institution has limited capability to integrate any external or proxy data into existing risk and reporting systems;

(d)	whether the pool of securitised exposures to which the risk quantification standards for retail exposures are to be applied is sufficiently granular to justify the assessment of undue burden in relation to the factors referred to in points (a), (b) and (c);

(e)	whether the size and frequency of the institution’s exposures to securitisations do not pose a material risk to that institution.

For the purposes of the first subparagraph, point (a), an institution may take into account the costs of developing a non-retail internal model for calculating KIRB, integrating a new calibration segment into an existing one, or integrating the data into the institution’s existing risk and reporting systems.

For the purposes of the first subparagraph, point (d), a pool of qualifying securitised exposures shall be deemed to be sufficiently granular where the number of underlying exposures of the securitisation to which the retail treatment is to be applied exceeds 100 and the aggregate exposure value of all such exposures to a single obligor in the pool does not exceed 2 % of the aggregate outstanding exposure values of the pool of qualifying securitised exposures. For the purposes of that calculation, loans or leases to a group of connected clients that have been funded by the SSPE or the institution calculating KIRB shall be considered as exposures to a single obligor.