BAKGRUNN (fra kommisjonsforordningen)

(1) Pursuant to Article 258(1) of Regulation (EU) No 575/2013 juncto Article 143(1) of that Regulation, institutions may calculate their risk-weighted exposure amounts in relation to a securitisation position using the Internal Ratings Based Approach (‘SECIRBA’). Pursuant to Article 143(2) of Regulation (EU) No 575/2013, prior permission to use the Internal Ratings Based Approach (‘IRB approach'), including own estimates of Loss Given Default (‘LGD’) and conversion factors, shall be required for each exposure class and for each rating system and for each approach to estimating LGDs and conversion factors used. 

(2) Pursuant to Article 258 of Regulation (EU) No 575/2013, institutions are to apply SEC-IRBA where they are able to calculate ‘KIRB’ in accordance with Article 255, (2) to (5) of that Regulation. Where the conditions of that Article are met, institutions may calculate KIRB in relation to the securitised exposures in accordance with the provisions set out in Part Three, Title II, Chapter 3, of Regulation (EU) No 575/2013 for the calculation of capital requirements for purchased receivables. For those purposes, retail exposures are to be treated as purchased retail receivables and nonretail exposures as purchased corporate receivables. Due to the particular nature of the structure of securitisations and the exposures underlying those securitisations, it is necessary to adopt regulatory technical standards that further specify the conditions under which institutions can calculate KIRB for pools of securitised exposures. The provisions set out in Part Three, Title II, Chapter 3, of Regulation (EU) No 575/2013 should, therefore, be tailored as much as necessary to suit the determination of the risk-weighted exposure amounts of the securitised exposures. The application of some other of those IRB provisions in the context of securitisation is, however, not appropriate, either because such rules are not relevant, because they do not lead to prudent outcomes, or because they would be too burdensome for institutions in the context of securitisation. Therefore, for all such cases, alternative rules should be laid down that are appropriate in the context of securitisation. 

(3) The application of SEC-IRBA as per the approach for the purchased receivables referred to in Article 255(4) of Regulation (EU) No 575/2013 should only be available for certain qualifying securitised exposures in relation to which institutions have limited control or access to information and data, or both, and, as a result of which institutions are unable to directly apply the provisions set out in Part Three, Title II, Chapter 3, of Regulation (EU) No 575/2013 to those exposures without the necessary adjustments. It should be considered that there is limited access to information and data on the securitised exposures where the institution is not servicing all those exposures, including the situation where the institution is either an investor in securitisation positions or a sponsor or an originator retaining securitisation positions in a securitisation transaction, and does not service all of the underlying exposures of that transaction. That may also be the case where the institution calculating KIRB is the servicer of the securitisation, but was not involved in, or did not conclude, the original agreement that created the obligations or potential obligations giving rise to the securitised exposures. However, in securitisations with multiple originators, each originator retaining a securitisation position in the securitisation might be able to calculate KIRB with respect to the securitised exposures it has contributed to the securitisation, in accordance with Part Three, Title II, Chapter 3, of Regulation (EU) No 575/2013. Therefore, originators should also be able to calculate KIRB by applying that Chapter for exposures other than purchased receivables to the securitised exposures those originators service and in relation to which they were involved in the execution of the original agreement that created the obligations or potential obligations of the debtor or potential debtor giving rise to the securitised exposures. 

(4) Part Three, Title II, Chapter 3, of Regulation (EU) No 575/2013 contains terminology that applies to purchased receivables only, and not to securitised exposures. To give full effect to the empowerment laid down in Article 255(9) of Regulation (EU) No 575/2013, it is necessary to tailor the terminology used in that Chapter to the specific context of securitisation transactions. 

(5) To calculate KIRB separately for each pool, institutions calculating KIRB should be allowed to split the pools of qualifying securitised exposures into homogeneous subpools. That flexibility is necessary because the composition of the underlying exposures of a securitisation is often heterogeneous. However, each sub-pool should fully comply with those requirements laid down in Article 255(4) of Regulation (EU) No 575/2013 that apply to pools of qualifying securitised assets. 

(6) The servicing of securitised exposures by third parties and the limited access to information and data relating to the time of origination of those exposures may have a material impact on the risk drivers considered relevant for risk differentiation, and on the quantification of the risk parameters assigned to individual grades or pools. Institutions calculating KIRB in accordance with Article 255(4) of Regulation (EU) No 575/2013 should therefore use an internal model that is exclusively used to derive probability of default (‘PD’), loss given default (‘LGD’), expected loss (‘EL’), or conversion factor estimates for the specific purpose of calculating KIRB in accordance with that Article. That internal model should therefore not be used to calculate riskweighted exposure amounts for exposures, either securitised or not securitised, that the institution services and in relation to which it is the originator, as defined in Article 2, point (3)(a), of Regulation (EU) 2017/2402 of the European Parliament and of the Council, or an original lender, as defined in Article 2, point (20), of that Regulation. Such a separation between rating systems for general credit risk modelling and for internal models for calculating KIRB in relation to holdings of qualifying securitised exposures in accordance with Article 255(4) of Regulation (EU) No 575/2013 is also necessary to ensure that the IRB estimation standards achieved on the exposures that the institution services and in relation to which it is the original lender or an originator are not biased, compromised or otherwise worsened by the different management standards and data used in relation to qualifying securitised exposures. Nevertheless, in the case of non-retail securitised exposures, the institution calculating KIRB should be allowed to use for PD estimation the approved existing rating system used for its own originated exposures under whose range of application the non-retail securitised exposures would fall, provided that the institution has sufficient information to apply that rating system, which could be the case for exposures to large corporates. However, in such cases, because the recovery practices and servicing standards may differ, the institution calculating KIRB should not be allowed to rely on the LGD estimation from the approved existing rating system used for its own originated exposures when it is not the servicer. 

(7) Article 255(4) of Regulation (EU) No 575/2013 stipulates that institutions may calculate KIRB in relation to the underlying exposures of a securitisation in accordance with, inter alia, Article 143 of that Regulation. That Article requires institutions, for each rating system, to obtain the permission of the competent authority concerned to use the IRB approach, and to obtain the permission for material changes to the range of application of a rating system that the institution has received permission to use. Commission Delegated Regulation (EU) No 529/2014 lays down the conditions for assessing the materiality of extensions and changes to the IRB approach, including the modalities of the notifications of such extensions and changes. It follows that Delegated Regulation (EU) No 529/2014 also applies where changes occur to an internal model for calculating KIRB for qualifying securitised exposures. Furthermore, Article 143(2) of Regulation (EU) No 575/2013 requires prior permission from the competent authority to use the IRB approach for each rating system. However, in the context of calculating KIRB for the purposes of this Regulation, an institution would be unable to comply with that requirement in relation to the pool of qualifying securitised exposures because such exposures could never be managed homogeneously under an ordinary IRB rating system as similar exposures, either securitised or not securitised, that are serviced and originated by the institution concerned. It is therefore necessary to provide that the permission to use the SEC-IRBA in accordance with an internal model for calculating KIRB should only be subject to the condition that the institution calculating KIRB has received permission to use the IRB approach in relation to at least one rating system within the exposure class to which the qualifying securitised exposures are assigned. 

(8) Where an institution that meets the requirements of Article 258(1) of Regulation (EU) No 575/2013 applies for a permission to use an internal model for calculating KIRB in relation to qualifying securitised exposures, the requirement laid down in Article 145(1) of that Regulation that the institution shall have been using that internal model for at least 3 years prior to applying for permission should not apply for the purposes of the SEC-IRBA, because the experience the institution has gained by using at least one rating system in the relevant IRB exposure class should be considered sufficient for those purposes. 

(9) The requirements set out in Article 184 of Regulation (EU) No 575/2013 aim to ensure that, when quantifying risk parameters for purchased receivables, the purchasing institution exercises a sufficient minimum level of control over those receivables on an ongoing basis, has ongoing access to data and information related to the riskiness of the receivables, including from the seller and servicer of the receivables, and takes into account on an ongoing basis the seller’s and servicer’s characteristics and conduct that may affect the riskiness of the receivables. Those operational and due diligence requirements must be met to ensure a sufficiently prudent and accurate application of the IRB approach on the purchased receivables. To ensure that qualifying securitised exposures are subject to similar requirements, it is necessary to tailor the requirements of Article 184 of Regulation (EU) No 575/2013 to institutions calculating KIRB in relation to those exposures. Where there is a securitisation special purpose entity (‘SSPE’), the SSPE should have ownership over the securitised exposures and exercise control over the cash remittances, either directly or through a trustee or an entity that performs similar tasks on its behalf. The institution calculating KIRB should conduct a due diligence on the servicer of the securitised exposures and, where the institution itself is not the originator of the transaction, on the securitisation’s originator, as originator’s and servicer’s standards and behaviour are risk drivers in relation to the exposures underlying the securitisation transaction. It is possible that the institution calculating KIRB holds, in accordance with Articles 153 and 154 of Regulation (EU) No 575/2013, purchased receivables on its balance sheet, and that it has received a refundable purchase discount, collateral or partial guarantees that provide first-loss protection for default losses, dilution losses, or both. In that case, institutions should be allowed to treat those purchased receivables as qualifying securitised exposures and, where they apply that option, they should be required to exercise due diligence on the servicer, where applicable, and on the seller, as the servicer’s and seller’s standards and behaviour are risk drivers in relation to those qualifying securitised exposures. 

(10) In the context of securitisation transactions, the originator’s or, where applicable, the original lender’s lending standards and characteristics and the servicer’s servicing standards and characteristics are essential risk drivers in relation to the exposures underlying the securitisation. Those risk drivers should therefore always be assessed as potential risk drivers when developing an internal model for calculating KIRB in relation to qualifying securitised exposures, unless disregarding them is justified. The implications of such risk drivers could be reflected either by considering them when assigning the exposures to grades or pools, or by using different calibration segments for different originators and different servicers. Where the institution calculating KIRB in relation to qualifying securitised exposures is itself the originator or the original lender or the servicer of the securitisation, it should not be required to take its own standards and characteristics into account as an additional risk driver. 

(11) Article 259(6) of Regulation (EU) No 575/2013 allows institutions to set the exposure weighted-average LGD under the SEC-IRBA at 50% to calculate the p-parameter of the SEC-IRBA formula when the share of the largest underlying exposure in the pool is no more than 3%. To ensure consistency with that Article, institutions calculating KIRB for qualifying securitised exposures should also be allowed to set the pool’s exposure weighted-average LGD at 50% for retail securitised exposures. It is appropriate to apply a 50% LGD value in that case because retail securitised exposures typically exhibit high granularity levels. Article 161(1), points (e) and (f), of Regulation (EU) No 575/2013 specifies LGDs for senior and subordinated purchased corporate receivables where the institution is not able to estimate PDs or where those estimates do not meet certain requirements. In the context of a securitisation, those LGDs should be tailored to senior and subordinated qualifying securitised exposures, where the LGD of senior non-retail securitised exposures should not be lower than the set LGD of retail securitised exposures, considering the generally higher granularity level of pools of retail securitised exposures. 

(12) Article 153(6) of Regulation (EU) No 575/2013 enables institutions to apply to their purchased corporate receivables the risk quantification standards for retail exposures where it would be unduly burdensome for those institutions to use the risk quantification standards for corporate exposures, provided the conditions set out in Article 154(5) of that Regulation are complied with. That same treatment should also be available for qualifying securitised exposures and, for those purposes, eligibility criteria that are appropriate for those exposures should be expressly laid down. (13) According to Article 154(5) of Regulation (EU) No 575/2013, for purchased receivables to be eligible for the retail treatment laid down in paragraph 1 of that Article, it is inter alia necessary that the institution purchases those receivables from unrelated third parties, that the exposure of the institution to the obligor of the receivables does not include any exposures that are directly or indirectly originated by the institution itself, that the purchased receivables are generated on an arm's-length basis between the seller and the obligor, and that the portfolio is sufficiently diversified. Those requirements should be tailored to qualifying securitised exposures. It is therefore appropriate to require that institutions calculating KIRB verify that the securitised exposures are purchased from unrelated third parties, are not directly or indirectly originated by the institution calculating KIRB, and are generated on an arm’slength basis. (14) As the risk quantification standards for retail exposures are less burdensome than for non-retail risk quantification standards, Article 154(5) of Regulation (EU) No 575/2013 prevents institutions from applying those less burdensome retail risk quantification standards to non-retail exposures that they have originated in the context of purchased receivables unless they fulfil a set of conditions. However, in the context of retail qualifying securitised exposures, the institution calculating KIRB would be unable to meet Article 154(5), point (a), of Regulation (EU) No 575/2013, which requires that the exposures are not originated by the institution itself, thus preventing the originator from applying the retail risk quantification standards to securitised exposures that it does not service but has originated itself and classified as retail exposures in accordance with the credit risk framework of Regulation (EU) No 575/2013. It is therefore necessary to lay down eligibility criteria that enable an originator institution calculating KIRB to apply the retail risk quantification standards to retail securitised exposures it does not service but has originated itself and classified as retail exposures in accordance with the credit risk framework of Regulation (EU) No 575/2013. To that end, those exposures should only be required to meet the conditions set out in Article 154(5), points (b) to (d), and Article 184 of Regulation (EU) No 575/2013, tailored as appropriate to the specific features of qualifying securitised exposures. By contrast, where the conditions of Article 184 of Regulation (EU) No 575/2013, tailored to the peculiarities of securitised exposures, are met but the retail securitised exposures are not eligible for the retail risk quantification standards, the institution calculating KIRB should be required to calculate risk-weighted exposure amounts in the manner specified for corporate exposures in Article 153 of Regulation (EU) No 575/2013. (15) For non-retail qualifying securitised exposures that are eligible for the retail treatment, institutions calculating KIRB should be required to verify and calculate the outstanding exposure values to a group of connected clients to comply with the requirement on pool diversification. Such a verification and calculation may, however, be difficult due to the lack of relevant data. The institution calculating KIRB should, therefore, only be required to undertake such verification and calculation to the best of its knowledge, such as on the basis of information about the debtors that was obtained from the originator, the seller, or the original lender, at the time of the origination of the exposures, or information obtained from the servicer either when servicing the exposures or in the course of its risk-management procedure. (16) For the accuracy of the quantification of the risk parameters to be associated with exposures underlying a securitisation, the population of exposures represented in the data used for estimation and the lending standards that generated those data should be comparable with the pool of qualifying securitised exposures and the lending standards that applied in the origination of those exposures. The comparability of the data used for estimation and the lending standards applied at origination should only be assessed against the exposures and standards of the institution calculating KIRB where that institution was involved in, or has concluded, the original agreement that gave rise to the exposures underlying the securitisation, but is not the servicer of those exposures. 

(17) Article 180(2), point (c), of Regulation (EU) No 575/2013 requires that, for retail exposures, institutions regard internal data for assigning exposures to grades or pools as the primary source of information for estimating loss characteristics. However, where the institution calculating KIRB was not involved in, or did not conclude, the original agreement that gave rise to the qualifying securitised exposures, and is not the servicer of those exposures, the internal data of the institution calculating KIRB should not be considered the best available data for the comparison with the qualifying securitised exposures to quantify risk parameters. Accordingly, external data related to the qualifying securitised exposures should instead be considered as the primary source of information for those purposes. 

(18) Article 255(9), point (b), of Regulation (EU) No 575/2013 allows for the use of proxy data where sufficient accurate or reliable data on the pool of underlying exposures are not available. Proxy data for those purposes should be understood as any data that do not directly refer to the securitised exposures, or to the portfolio underwritten on the basis of similar underwriting standards of the originator or original lender from which they have been extracted. Furthermore, Part Three, Title II, Chapter 3, of Regulation (EU) No 575/2013 provides that internal, external and pooled data may be used for the calculation of capital requirements for purchased receivables under the credit risk approach. Those data should therefore also be allowed as proxy data for the calculation of KIRB of qualifying securitised exposures. 

(19) Pursuant to Article 171(2) of Regulation (EU) No 575/2013, the less information an institution has, the more conservative its assignment of exposures to obligor and facility grades or pools needs to be. The assignment of securitised exposures to grades or pools is thus of particular concern when using proxy data. That is even more relevant where there is a difference between the definition of default used by the institution calculating KIRB in its internal model for calculating KIRB and the definition of default used in the external data corresponding to the securitised exposures, to the portfolio underwritten on the basis of similar underwriting standards of the originator or original lender from which they have been extracted, or to the proxy data. It is therefore necessary to lay down rules about the adjustments to be made in the data, and about the margin of conservatism to be adopted when estimating the risk parameters in the context of calculating KIRB for qualifying securitised exposures. 

(20) This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Banking Authority (EBA). 

(21) The EBA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council,