EBA欧洲银行-Presentation-on-Top-Down-approach-for-Public-Hearing-040918_23页_2mb

EBA Draft Regulatory Technical Standards on $K_{\mathrm{IRB}}$ for Purchased Receivables Approach

Core Content

The European Banking Authority (EBA) has published draft Regulatory Technical Standards (RTS) to specify the conditions for calculating $K_{\mathrm{IRB}}$ in accordance with the purchased receivables approach (PuRa) under the Capital Requirements Regulation (CRR). These standards aim to provide clarity and consistency for institutions that hold securitised exposures and do not service them.

Main Points

1. Mandate and Scope

• The EBA is mandated to develop draft RTS to further specify the conditions for calculating $K_{\mathrm{IRB}}$ under Article 255(9) of the CRR.
• The scope applies to institutions that do not service the underlying exposures, including investors and originators/sponsors retaining securitisation positions.
• The RTS allows for the splitting of securitised exposures into sub-pools, provided each sub-pool meets the relevant CRR and draft RTS provisions.

2. Flexibility in Application

• Institutions may apply different risk quantification standards to sub-pools, depending on whether they are retail or non-retail.
• The use of proxy data is permitted when sufficient accurate or reliable data is not available, but must be used in a conservative manner.

3. Retail Treatment Eligibility

• For non-retail securitised exposures to qualify for retail treatment, the following conditions must be met:
  • The SSPE must have purchased the exposures from unrelated third parties.
  • The exposures must be generated on an arm's-length basis.
  • The SSPE must have a claim on all proceeds or a pro-rata interest.
  • The pool must be sufficiently diversified.
  • It must be unduly burdensome for the institution to use corporate risk quantification standards.
• For retail securitised exposures, the conditions are similar but with a focus on the originator and obligor relationship, and the claim on proceeds.

4. Calculation of Risk-Weighted Exposure Amounts

• Retail securitised exposures: use the retail IRB formula (Article 154 CRR) and, if applicable, Article 156(b) CRR for residual value.
• Non-retail securitised exposures: use the corporate IRB formula (Article 153 CRR) regardless of whether retail treatment is applied.

5. Data Requirements

• Institutions must use data related to the securitised exposures as the primary source for estimating loss characteristics.
• Proxy data is defined as any data of lesser quality than ideal, and must be used conservatively.
• Proxy data can be internal, external, or pooled, and must be consistent with the EBA’s guidelines on PD, LGD, and default treatment.

6. Definition of Default

• The RTS incorporates the EBA’s guidelines on the definition of default in external and proxy data.
• If the definition of default in external data differs from the institution’s internal definition, adjustments must be made. If not possible, a margin of conservatism (MoC) applies.

Key Information

7. Questions for Consultation

• Q1: Should the rating system be exclusively used for securitised exposures not serviced by the institution?
• Q2: Should exceptions be introduced for certain corporate exposures, particularly for PD and LGD estimation?
• Q3: Do synthetic securitisations meet the conditions for indirect control and ownership?
• Q4: Is a more detailed definition of proxy data necessary?
• Q5: Are the provisions workable for non-performing exposures?
• Q6: Are there any other comments or suggestions?

Conclusion

The draft RTS aim to align the PuRa with the IRB Approach while providing flexibility and clarity for institutions. They emphasize the importance of data quality, due diligence, and the use of appropriate risk quantification standards based on the nature of the exposures. The EBA seeks feedback to ensure the standards are practical and consistent with the objectives of the CRR.