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.

Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.

If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.

For further information please refer to the press release and the updated Q&A page.