Question ID
2025_7368
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Securitisation and Covered Bonds
Article
255
Paragraph
3
Subparagraph
(a)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Type of submitter
Individual
Subject matter
Calculation of Kirb
Question

According to Article 255(2)(3), Kirb seems to be defined as (EL+UL)*8%/exposure value of the underlying pool.

However, considering the fact that, for unexpected loss, banks hold an amount of regulatory capital by UL*8%, but for expected loss not covered by provisions, banks have to deduct it from Tier 1 capital, 

As Kirb stands for the averaged capital requirement of the underlying exposures(including expected loss), it should be calculated as (UL*8%+EL)/exposure value of the underlying pool instead.

Background on the question

The reasoning above could be verified by Article 267(3), where the look-through risk weight includes a portion as "EL*1250%/the exposure value of the underlying exposures".

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question