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Capital Requirements Regulation (CRR)
Article 258

Article 258 - Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)

Status
In force
Selected consolidated version from
30/09/2021
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Article 258

Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)

1.  

Institutions shall use the SEC-IRBA to calculate risk-weighted exposure amounts in relation to a securitisation position where the following conditions are met:

(a) 

the position is backed by an IRB pool or a mixed pool, provided that, in the latter case, the institution is able to calculate KIRB in accordance with Section 3 on a minimum of 95 % of the underlying exposure amount;

(b) 

there is sufficient information available in relation to the underlying exposures of the securitisation for the institution to be able to calculate KIRB; and

(c) 

the institution has not been precluded from using the SEC-IRBA in relation to a specified securitisation position in accordance with paragraph 2.

2.  

Competent authorities may on a case-by-case basis preclude the use of the SEC-IRBA where securitisations have highly complex or risky features. For these purposes, the following may be regarded as highly complex or risky features:

(a) 

credit enhancement that can be eroded for reasons other than portfolio losses;

(b) 

pools of underlying exposures with a high degree of internal correlation as a result of concentrated exposures to single sectors or geographical areas;

(c) 

transactions where the repayment of the securitisation positions is highly dependent on risk drivers not reflected in KIRB; or

(d) 

highly complex loss allocations between tranches.

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