Question
Is it allowed to split an exposure/loan into using different riskweighting methods (loan-splitting vs ETV) in case they are collateralised by multiple immovable properties with different characteristics?
Background on the question
Art. 124 (2) CRR as well as Art. 125/126 (2) subpara 2 CRR offer possibilities to treat IPRE-exposures under the so called "loan-splitting" approach instead of the ETV-based riskweighting. However the regulation does not clarify how to exactly handle cases that are secured by multiple properties. It is possible that some of them fulfill the conditions to be treated under loan-splitting and others do not (e.g. residential vs commercial properties, or different countries). A differentiation by mortgage lien is not always possible as there are jurisdictions where one line might refer to multiple properties. In this context is it allowed to split the secured loan into 2 parts, treating 1 part with the respective properties under loan-splitting and treating the other part with the remaining properties under the ETV approach? If yes, should any specific rules be considered (e.g, requiring a pro-rata split depending on physical asset values - an approach the UK regulator has taken in some instances)
Answer
This question has been rejected because the matter it refers to is in the process of being answered in Q&A7422.