Geographical location for securitisation exposures (and CIU exposures) where underlying exposures span multiple countries

How should securitisation exposures, where the underlying exposures originate from multiple countries, be allocated for the purposes of determining the institution‑specific countercyclical capital buffer? In particular, should Article 4(1) of Delegated Regulation (EU) 2014/1152 be interpreted as: Option A: applying only when all underlying exposures relate to obligors in a single jurisdiction, with Article 4(2) automatically and mandatorily applying whenever more than one country is represented, or Option B: establishing a look‑through approach , under which the securitisation exposure is allocated proportionally to the distribution of underlying obligors across countries, with Article 4(2) serving as an (optional) simplification (allocation to the largest‑share country) that institutions may choose instead?

Article 4 of Delegated Regulation (EU) No 1152/2014 provides three possible methods for determining the geographical location of securitisation exposures. Article 4(1) refers to “the location of the obligor of the underlying exposures”  usind “location" and "obligor” in the singular, which may give rise to different interpretations when underlying exposures are diversified across several countries. Two possible readings emerge: Option A — Article 4(1) applies only when all underlying obligors are located in a single country Under this interpretation, the use of the singular (“obligor”, “location”) implies that Article 4(1) is intended only for securitisations where the entire underlying pool is located in one jurisdiction. If the underlying exposures span more than one country, Article 4(1) would no longer apply. Instead, Article 4(2) would automatically govern such cases, meaning the securitisation exposure would be assigned to the single country with the largest share of the underlying exposures. Option B — Article 4(1) establishes a look‑through approach across all underlying obligors and jurisdictions Under this interpretation, Article 4(1) is understood as the primary look‑through rule , requiring institutions to attribute securitisation exposures proportionally to each jurisdiction represented in the underlying pool. Here, the singular terminology would be interpreted as generic, not restrictive. In this view, Article 4(1) applies regardless of the number of countries represented among the underlying obligors. Article 4(2) would then be considered an optional simplification , allowing institutions—if they choose—to assign the securitisation exposure entirely to the country with the largest share of underlying exposures. Under both options, Article 4(3) would act as a fallback, only applicable to cases where information on underlying exposures is insufficient to determine the geographical location according to paragraphs (1) and (2).