Regulation (EU) No 575/2013 of the European Parliament and of the CouncilShow full title

[X1 [F1 Article 258 U.K. 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 . [F2 The 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.]]

Editorial Information

X1 Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

Textual Amendments

F1 Substituted by Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms.

F2 Words in Art. 258(2) substituted (31.12.2020) by The Securitisation (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/660), regs. 1(2), 41(g) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)