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Version date: 27 March 2020 - onwards
Version 2 of 2

CRE44 Securitisation: Internal-ratings-based approach (paras. 44.1-44.29) (effective as of 1 January 2023)

This chapter describes how to calculate capital requirements for securitisation exposures under the SEC-IRBA.

Version effective as of 01 Jan 2023

References have been updated and the 1.06 scaling factor has been removed to reflect its removal in the December 2017 publication of Basel III. Chapter reflects the revised implementation date announced on 27 March 2020.

Internal ratings-based approach (SEC-IRBA)

44.1 To calculate capital requirements for a securitisation exposure to an internal ratings-based (IRB) pool, a bank must use the securitisation internal ratings-based approach (SEC-IRBA) and the following bank-supplied inputs: the IRB capital charge had the underlying exposures not been securitised (KIRB), the tranche attachment point (A), the tranche detachment point (D) and the supervisory parameter p, as defined below. Where the only difference between exposures to a transaction is related to maturity, A and D will be the same.

Definition of KIRB

44.2 KIRB is the ratio of the following measures, expressed in decimal form (eg a capital charge equal to 15% of the pool would be expressed as 0.15):

(1) the IRB capital requirement (including the expected loss portion and, where applicable, dilution risk as discussed in CRE44.11 to CRE44.13) for the underlying exposures in the pool; to