Where a securitisation position is assigned a 1 250 % risk weight, institutions may in accordance with Article 36(1)(k), as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from Common Equity Tier 1 capital the exposure value of the position. For these purposes, the calculation of the exposure value may reflect eligible funded credit protection in a manner consistent with Article 257.
Where an originator institution makes use of this alternative, it may subtract 12,5 times the amount deducted in accordance with Article 36(1)(k) from the amount specified in Article 252 as the risk-weighted exposure amount which would currently be calculated for the securitised exposures had they not been securitised.
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 KIRB 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 KIRB; 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.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:
(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 KIRB; or
(d)highly complex loss allocations between tranches.