EBA欧洲银行-Final-draft-RTS_72页_1mb

EBA Final Draft Regulatory Technical Standards on $K_{\text{IRB}}$ Calculation for Securitised Exposures

Core Content

This document outlines the EBA Final Draft Regulatory Technical Standards (RTS) on the conditions for institutions to calculate $K_{\text{IRB}}$ in accordance with the purchased receivables approach under Article 255(4) of Regulation (EU) 2017/2401 (amending the Capital Requirements Regulation (CRR)). The RTS aim to ensure the internal coherence of the securitisation internal ratings-based approach (SEC-IRBA) and to provide legal clarity in the context of securitisation transactions.

Main Features of the RTS

• Application of CRR and IRB Framework: The entire set of Level 1 and Level 2 regulations and guidelines of the IRB framework apply to institutions calculating $K_{\text{IRB}}$ under Article 255(4) of the CRR, unless otherwise specified in the RTS.

• Qualifying Securitised Exposures: These are defined as securitised exposures where the institution:

  • Is not the servicer of the securitised exposures, or
  • Is the servicer but not involved in the original agreement that created the obligations or potential obligations of the debtor, and
  • Has limited access to data on such exposures.

• Use of Internal Models: Institutions must use tailor-made internal models for calculating $K_{\text{IRB}}$ for qualifying securitised exposures. Common rating systems are not appropriate due to differences in management practices and data availability.

• Proxy Data: The term 'proxy data' includes internal, external, and pooled data. The conservatism requirement applies to all data used in model development, calibration, and rating system application.

• Exemption from 3-Year Experience Rule: Institutions with prior IRB permission for at least one rating system in the same exposure class are not required to have 3 years of experience with the rating system when applying for permission to use an internal model for $K_{\text{IRB}}$ calculation.

• Fall-back LGD: A fall-back LGD of 50% applies to both retail and non-retail senior securitised exposures, in line with Article 259(6) of the CRR. The use of a 45% LGD for senior corporate purchased receivables under Article 161(1)(e) is precluded to ensure consistency in LGD treatment across exposure types.

• Risk Quantification Standards: The retail risk quantification standards (top-down approach) can be applied to eligible corporate purchased receivables if it is unduly burdensome to use corporate standards. These standards are further specified to ensure they are applied only when justified by concrete operational conditions.

• Due Diligence Requirements: Institutions must perform due diligence on the seller, obligors, and servicer of the securitised exposures to ensure sufficient control and accurate data for $K_{\text{IRB}}$ calculation.

• Flexibility in Sub-pool Calculations: Institutions may split securitised exposures into sub-pools for separate $K_{\text{IRB}}$ calculations, provided each sub-pool meets the CRR or RTS requirements.

Key Provisions

• Servicing and Control: The servicing of securitised exposures is a key determinant of whether an institution can use the purchased receivables approach. Institutions that are not the servicer or not involved in the original agreement are deemed to have limited control and limited access to information.

• Exclusion of SEC-IRBA for Originators: If an institution is also the originator of the securitised exposures, it cannot apply the RTS and must use the general IRB rules or SEC-SA or SEC-ERBA.

• Model Approval and Changes: Institutions must apply for permission to use a tailor-made internal model for $K_{\text{IRB}}$ calculation. Any changes to the model or its range of application must be assessed in accordance with existing CRR provisions on model changes.

• Granularity Conditions: A minimum granularity condition is proposed for non-retail securitised exposures to be eligible for retail risk quantification standards.

• Risk Assessment: The overall risk posed by the institution’s securitisation investment activity is considered in the assessment of eligibility for the purchased receivables approach.

Next Steps

• The final draft RTS will be submitted to the European Commission for adoption.
• Following adoption, the RTS will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union.

Background and Rationale

• The new Basel securitisation framework, implemented in the EU through the amended CRR, introduces three approaches for calculating capital requirements on securitisation positions: SEC-IRBA, SEC-SA, and SEC-ERBA.
• SEC-IRBA is the preferred approach, and institutions may use it when they have IRB permission and sufficient information to calculate $K_{\text{IRB}}$.
• The purchased receivables approach (PuRa) is integrated into the SEC-IRBA framework, allowing the use of proxy data when sufficient data is not available.
• The amended CRR aims to reduce reliance on external ratings and facilitate the use of SEC-IRBA for non-originator institutions.

The Purchased Receivables Approach

• Definition: Purchased receivables are credit exposures that institutions purchase from third parties. They are characterized by:

  • The institution not originating the obligation.
  • The obligor not being a customer of the institution.
  • The institution relying on third parties for management and servicing.

• IRB Rules for Purchased Receivables:

  • Ensure sufficient control and due diligence.
  • Allow less stringent IRB requirements for corporate purchased receivables.
  • Enable retail risk quantification standards for eligible corporate receivables, provided it is unduly burdensome to apply corporate standards.
  • Permit decomposition of expected losses at the pool level.

• Dilution Risk: Institutions must appropriately calculate dilution risk on purchased receivables unless they can demonstrate it is immaterial.

• Top-down Approach: As per Basel standards, the top-down approach is used for retail and corporate purchased receivables, with retail standards applied when justified.

Application of PuRa to SEC-IRBA

• The purchased receivables framework is explicitly linked to the use of internal models in the context of securitisation.
• The SEC-IRBA is conditional on the IRB permissions and the availability of data.
• The RTS ensure that SEC-IRBA is not more flexible than the current IRB requirements, unless justified by operational conditions.

Conclusion

The RTS provide a balanced and coherent regulatory framework for institutions calculating $K_{\text{IRB}}$ in the context of securitisation. They ensure legal clarity, conservatism, and prudential soundness by aligning with the Basel standards and CRR provisions, while also recognizing the specific circumstances of institutions involved in securitisation.