Regulatory Alerts2024-03-13
Added · Updated
Commission Delegated Regulation (EU) 2024/1780 on KIRB calculation for securitisation underlying exposures
The European Commission adopted Delegated Regulation (EU) 2024/1780 to specify regulatory technical standards for institutions calculating KIRB for underlying exposures of securitisation transactions. The regulation permits institutions to split pools into homogeneous sub-pools and mandates the use of exclusive internal models for PD, LGD, and EL estimates, while prohibiting the use of existing rating systems for LGD estimation when the institution is not the servicer. It establishes eligibility criteria for applying retail risk quantification standards to qualifying securitised exposures and requires due diligence on servicers and originators to ensure prudent risk parameter quantification.
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