Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)X1F1
United Kingdom
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 K IRB 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 K IRB ; and
the institution has not been precluded from using the SEC-IRBA in relation to a specified securitisation position in accordance with paragraph 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:
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 K IRB ; or
highly complex loss allocations between tranches.
Annotations
Textual amendments
- F1
- 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)
Editorial notes
Notes on the whole EU Regulation
Textual amendments
- F1
Regulation revoked (1.1.2024 for the revocation of Art. 92b, 1.1.2026 for the revocation of Arts. 6(1a), 11(3a), 12a, 18(1) (in part), 25-35, 37-47, 47a(1)(2), 47c-79a, 81(1)(a)(i)-(iic)(b)(c)(2), 82(a)(i)-(iic)(b)(c), 83-91, 92a, 466, 468, 469a, 471, 473-474, 476, 479, 480, 482-491, 494-494b, otherwise prosp.) by Financial Services and Markets Act 2023 (c. 29), s. 86(3), Sch. 1 Pt. 1 (with s. 1(4)); S.I. 2023/779, reg. 5(b)(i); S.I. 2025/873, reg. 4(b) (with regs. 6, 7) (as amended by S.I. 2025/1293, reg. 2)