Featured Product

    EBA Consults on the Standards for Calculation of KIRB Under CRR

    June 19, 2018

    EBA launched a public consultation on draft regulatory technical standards specifying the conditions to allow institutions to calculate capital requirements of the securitized exposures (KIRB), in accordance with the purchased receivables approach laid down in the amended Capital Requirements Regulation (CRR). For this purpose, retail securitized exposures shall be treated as purchased retail receivables and non-retail securitized exposures as purchased corporate receivables. The consultation runs until September 19, 2018.

    To expand the use of the Securitization Internal Ratings-Based Approach (SEC-IRBA), which now sits at the top of the hierarchy of approaches for calculating capital requirements of securitization positions, the CRR amendment accompanying the Securitization Regulation introduces the possibility of using the provisions that normally apply to purchased receivables under the general IRB credit risk framework. This way, institutions may calculate the KIRB, and the corresponding risk parameters, (probability of default and loss given default), under the provisions of the purchased receivables and then use them as input in the SEC-IRBA, along with other information on the securitization position. The main areas that the draft standards cover are the following: 

    • General approach to the relationship between the IRB rules on purchased receivables and the SEC-IRBA framework
    • Eligibility conditions to compute KIRB 
    • IRB permissions and prior experience 
    • Eligibility to use the retail risk quantification standards 
    • Use of proxy data

     

    Related Links

    Comment Due Date: September 19, 2018

    Keywords: Europe, EU, Banking, Securities, CRR, Securitization Regulation, KIRB, SEC-IRBA, Capital Requirements, EBA

    Related Articles
    News

    APRA Publishes Proposal to Increase Transparency of Banking Data

    APRA proposed to substantially increase the volume and breadth of data it makes publicly available on authorized deposit-taking institutions, including banks, credit unions, and building societies.

    December 05, 2019 WebPage Regulatory News
    News

    ESMA Consults on Guide to Internal Controls for Credit Rating Agencies

    ESMA launched a consultation on the guidelines on internal controls for credit rating agencies (CRAs).

    December 05, 2019 WebPage Regulatory News
    News

    EU Finalizes Directive and Prudential Rules for Investment Firms

    EU published, in the Official Journal of the European Union, the Directive (2019/2034) and Regulation (2019/2033) on the prudential requirements and supervision of investment firms.

    December 05, 2019 WebPage Regulatory News
    News

    OSFI Revises Guideline on Principles for Management of Liquidity Risk

    OSFI finalized Guideline B-6 on the principles for the management of liquidity risk.

    December 05, 2019 WebPage Regulatory News
    News

    PRA Consults on Framework to Manage Outsourcing and Third-Party Risk

    PRA published a consultation paper CP30/19 that sets out proposals to modernize the regulatory framework on outsourcing and third-party risk management.

    December 05, 2019 WebPage Regulatory News
    News

    BoE, PRA, and FCA Consult to Strengthen Operational Resilience

    BoE, PRA, and FCA published a shared policy summary and coordinated consultation papers on new requirements to strengthen operational resilience in the financial services sector.

    December 05, 2019 WebPage Regulatory News
    News

    EC Amends Rule on Mapping of External Credit Assessment Institutions

    EC published the implementing regulation (EU) 2019/2028, which amends Regulation 2016/1799, regarding the mapping tables specifying correspondence between the credit risk assessments of external credit assessment institutions (ECAIs) and the credit quality steps set out in the Capital Requirements Regulation.

    December 04, 2019 WebPage Regulatory News
    News

    EBA Issues Second Part of Advice on Implementation of Basel III in EU

    EBA published the second part of its advice on the implementation of Basel III in EU, which complements the report published on August 05, 2019.

    December 04, 2019 WebPage Regulatory News
    News

    EU Approves European Council Proposal on CCP Recovery and Resolution

    EU ambassadors approved the position of European Council on a proposed framework for clearing houses and their authorities to prepare for and deal with financial difficulties.

    December 04, 2019 WebPage Regulatory News
    News

    OSFI Releases Guideline on Foreign Bank Branch Deposit Requirements

    OSFI released the final version of Guideline A-10 on foreign bank branch deposit requirements, along with guideline impact analysis statement.

    December 04, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 4268