X1PART THREECAPITAL REQUIREMENTS

Annotations:
Editorial Information

TITLE IICAPITAL REQUIREMENTS FOR CREDIT RISK

F1CHAPTER 5Securitisation

Annotations:
Amendments (Textual)

Section 3Calculation of risk-weighted exposure amounts

Subsection 3Methods to calculate risk-weighted exposure amounts

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 K IRB 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 K IRB ; 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

F2The competent authority 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 K IRB ; or

d

highly complex loss allocations between tranches.