Version in force , Modified +1,270 −650§
Amended by Regulation (EU) 2017/2401 32017R2401 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex)
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Found in the text, but not every source lists it — the text comparison found this change; the EU's own amendment metadata does not list it. The source that does not name it is the EU's own amendment metadata. Both are shown; neither is overruled.
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The article's heading and entire substance changed from a provision on reducing risk-weighted exposure amounts through deduction from Common Equity Tier 1 capital to a provision setting out conditions for using the SEC-IRBA to calculate risk-weighted exposure amounts for securitisation positions.
The prior text described an alternative deduction mechanism referencing Articles 36(1)(k), 257 and 252, whereas the new text instead lists conditions under paragraph 1 for use of the SEC-IRBA, including pool composition and information sufficiency requirements, and gives competent authorities a case-by-case power under paragraph 2 to preclude its use where securitisations have highly complex or risky features.
Cited: Art. 258, v1 (external, EUR-Lex) · Art. 258, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
texts differ too much for an inline diff; shown separately
Previous version, in force 1 January 2018 02013R0575-20180101
Article 258 Reduction in risk-weighted exposure amounts Where a securitisation position is assigned a 1250 % risk weight, institutions may in accordance with Article 36(1)(k), as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from Common Equity Tier 1 capital the exposure value of the position. For these purposes, the calculation of the exposure value may reflect eligible funded credit protection in a manner consistent with Article 257. Where an originator institution makes use of this alternative, it may subtract 12,5 times the amount deducted in accordance with Article 36(1)(k) from the amount specified in Article 252 as the risk-weighted exposure amount which would currently be calculated for the securitised exposures had they not been securitised.
this version, in force 1 January 2019 02013R0575-20190101
Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA) 1. Institutions shall use the SEC-IRBA to calculate risk-weighted exposure amounts in relation to a securitisation position where the following conditions are met: (a) the position is backed by an IRB pool or a mixed pool, provided that, in the latter case, the institution is able to calculate KIRB in accordance with Section 3 on a minimum of 95 % of the underlying exposure amount; (b) there is sufficient information available in relation to the underlying exposures of the securitisation for the institution to be able to calculate KIRB; and (c) the institution has not been precluded from using the SEC-IRBA in relation to a specified securitisation position in accordance with paragraph 2. 2. Competent authorities may on a case-by-case basis preclude the use of the SEC-IRBA where securitisations have highly complex or risky features. For these purposes, the following may be regarded as highly complex or risky features: (a) credit enhancement that can be eroded for reasons other than portfolio losses; (b) pools of underlying exposures with a high degree of internal correlation as a result of concentrated exposures to single sectors or geographical areas; (c) transactions where the repayment of the securitisation positions is highly dependent on risk drivers not reflected in KIRB; or (d) highly complex loss allocations between tranches.