Recital 6

(6)The servicing of securitised exposures by third parties and the limited access to information and data relating to the time of origination of those exposures may have a material impact on the risk drivers considered relevant for risk differentiation, and on the quantification of the risk parameters assigned to individual grades or pools. Institutions calculating K IRB in accordance with Article 255(4) of Regulation (EU) No 575/2013 should therefore use an internal model that is exclusively used to derive probability of default (‘PD’), loss given default (‘LGD’), expected loss (‘EL’), or conversion factor estimates for the specific purpose of calculating K IRB in accordance with that Article. That internal model should therefore not be used to calculate risk-weighted exposure amounts for exposures, either securitised or not securitised, that the institution services and in relation to which it is the originator, as defined in Article 2, point (3)(a), of Regulation (EU) 2017/2402 of the European Parliament and of the Council ² , or an original lender, as defined in Article 2, point (20), of that Regulation. Such a separation between rating systems for general credit risk modelling and for internal models for calculating K IRB in relation to holdings of qualifying securitised exposures in accordance with Article 255(4) of Regulation (EU) No 575/2013 is also necessary to ensure that the IRB estimation standards achieved on the exposures that the institution services and in relation to which it is the original lender or an originator are not biased, compromised or otherwise worsened by the different management standards and data used in relation to qualifying securitised exposures. Nevertheless, in the case of non-retail securitised exposures, the institution calculating K IRB should be allowed to use for PD estimation the approved existing rating system used for its own originated exposures under whose range of application the non-retail securitised exposures would fall, provided that the institution has sufficient information to apply that rating system, which could be the case for exposures to large corporates. However, in such cases, because the recovery practices and servicing standards may differ, the institution calculating K IRB should not be allowed to rely on the LGD estimation from the approved existing rating system used for its own originated exposures when it is not the servicer.