Single Rulebook Q&A

Question ID: 2014_1179
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic : Securitisation and Covered Bonds
Article: 261
Paragraph: 1
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
Article/Paragraph : -
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
EBA 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
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