Updated 21/06/2024
In force

Version from: 09/01/2024
Amendments (1)
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Article 258 - Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)

Article 258

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


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


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;


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


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


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


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


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


highly complex loss allocations between tranches.