On 19 June 2018, the European Banking Authority (EBA) issued a consultation paper on draft regulatory technical standards (RTS) specifying the conditions to allow institutions to calculate capital requirements of the securitised exposures (Kirb) in accordance with the purchased receivables approach laid down in the amended Capital Requirements Regulation.

The RTS specify the conditions to allow institutions to calculate Kirb for the underlying pools of securitisation in accordance with article 255(4) of the CRR, in particular with regard to:

  • internal credit policy and models for calculating Kirb for securitisations;
  • use of different risk factors relating to the underlying pool and, where sufficient accurate or reliable data on the underlying pool is not available, of proxy data to estimate probability of default (PD) and loss given default (LGD); and
  • due diligence requirements to monitor the actions and policies of sellers of receivables or other originators.

The deadline for comments on the consultation paper is 19 September 2018. Following the conclusion of the consultation period, the draft RTS will be finalised and submitted to the European Commission for adoption.