Shall the rating based approach’s IRBA securitizations scaling factor 1.06 also be applied in the cases of 1.250 % risk weight securitizations’ capital deduction?
For 1.250 % risk weight IRBA securitizations the capital adequacy regulation provides two options: The capital deduction or the determination of the risk weighted exposure value. If the capital deduction would not include the use of the scaling factor the capital deduction would appear advantageous compared to the determination of the risk weighted exposure value. Example: Exposure value = 1.000: Deduction (without factor, current procedure) = 1.000 < Capital requirement in the case of the risk weighted exposure value = 1.000 * 12,5 * 1,06 * 0,08 = 1.060.
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