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Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)X1F1

United Kingdom

Original text. Later amendments are not shown.

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.

Annotations

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)

Editorial notes

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).

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)