# 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 (Text with EEA relevance), Article 258: Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)

Extent: E+W+S+N.I.

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 . 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.

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Source: https://www.legislation.gov.uk/eur/2013/575/article/258 (the official version)
Page: https://openlegislation.uk/eu-regulation-2013-575/article-258
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.