2014_1179 Scaling factor for IRBA securitisations with 1250% risk weight under the Ratings Based Method

Question ID:

2014_1179

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Securitisation and Covered Bonds

Article:

261

Paragraph:

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Not applicable

Article/Paragraph:

Disclose name of institution / entity:

Yes

Name of institution / submitter:

Deutsche Kreditwirtschaft

Country of incorporation / residence:

Germany

Type of submitter:

Credit institution

Subject Matter:

Scaling factor for IRBA securitisations with 1250% risk weight under the Ratings Based Method

Question:

Does an institution have to multiply the risk-weighted exposure amount of a banking book IRBA securitisation with a 1250% risk weight under the Ratings Based Method with the scaling factor of 1.06?

Background on the question:

Article 261(1) of Regulation (EU) No 575/2013 (CRR) prescribes that the risk-weighted exposure amount of an IRBA securitisation treated under the Ratings Based Method must be multiplied by 1.06.

Date of submission:

12/05/2014

Published as Final Q&A:

27/03/2015

Final Answer:

According to Article 261 of Regulation (EU) No 575/2013 (CRR), under the Ratings Based Approach the institution shall always multiply by 1.06 the amount obtained by applying the relevant risk weight to the exposure value including when the applicable risk weight is 1250%.

DISCLAIMER

This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General Financial Stability, Financial Services and Capital Markets Union) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the European Commission because it is a matter of interpretation of Union law.

Note to Q&A:

Update 26.03.2021: This Q&A has not yet been reviewed by the European Commission in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).