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Capital Requirements Regulation (CRR)
Article 258

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:
    1. 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;
    2. there is sufficient information available in relation to the underlying exposures of the securitisation for the institution to be able to calculate KIRB; and
    3. 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:
    1. credit enhancement that can be eroded for reasons other than portfolio losses;
    2. pools of underlying exposures with a high degree of internal correlation as a result of concentrated exposures to single sectors or geographical areas;
    3. transactions where the repayment of the securitisation positions is highly dependent on risk drivers not reflected in KIRB; or
    4. highly complex loss allocations between tranches.