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Text applicable on 7 Oct 2026Consolidated version of 26 Jun 2026In forceUpcoming changefrom 1 Jan 2027Unofficial text · authentic on EUR-Lex (opens in a new tab)

CRR Article 258 — as applicable on 7 Oct 2026 (version of 26 Jun 2026)

Article 258

Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)

Amendment details· last amended 1 Jan 2019
Versions of this provision:28 Jun 20131 Jan 2019

Last amended 1 Jan 2019 by Regulation (EU) 2017/2401 of 12 December 2017 and/or Regulation (EU) 2019/876 of 20 May 2019.

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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.