Article 2
Specification of the outstanding amount of the underlying portfolio for the backward-looking triggers referred to in Article 26c(5), third subparagraph, point (a), of Regulation (EU) 2017/2402
1. Except for the cases referred to in paragraphs 2 and 3, for the purposes of applying the backward-looking triggers referred to in Article 26c(5), third subparagraph, point (a), of Regulation (EU) 2017/2402, the outstanding amount of the underlying portfolio shall be the outstanding amount at the closing date of the transaction.
2. Where the securitisation includes a replenishment period, the outstanding amount of the underlying portfolio shall be the lower one of the following:
|
(a) |
the outstanding amount at the closing date of the transaction; |
|
(b) |
the outstanding amount at the end of the replenishment period. |
3. Where the securitisation includes a pre-defined period during which the portfolio of securitised exposures is built up, and which is starting at the closing date of the transaction, and where the credit protection agreement is applicable from the closing date of the transaction, the outstanding amount of the underlying portfolio shall be the following:
|
(a) |
during the pre-defined build-up period, the outstanding amount shall be the maximum amount of the securitised exposures allowed in the credit protection agreement at the end of that pre-defined period; |
|
(b) |
after the end of the pre-defined build-up period, the outstanding amount shall be the outstanding amount at the end of that pre-defined period. |
4. For the purposes of paragraphs 1 to 3, the parties to the credit protection agreement shall calculate the increase in the cumulative amount of defaulted exposures or the increase in the cumulative losses from the closing date of the transaction.