Art. 249

02013R0575-20201228 → 02013R0575-20210629

Article 249 Recognition of credit risk mitigation for securitisation positions 1. An institution may recognise funded or unfunded credit protection with respect to a securitisation position where the requirements for credit risk mitigation laid down in this Chapter and in Chapter 4 are met. 2. Eligible funded credit protection shall be limited to financial collateral which is eligible for the calculation of risk-weighted exposure amounts under Chapter 2 as laid down under Chapter 4 and recognition of credit risk mitigation shall be subject to compliance with the relevant requirements as laid down under Chapter 4. Eligible unfunded credit protection and unfunded credit protection providers shall be limited to those which are eligible in accordance with Chapter 4 and recognition of credit risk mitigation shall be subject to compliance with the relevant requirements as laid down under Chapter 4. 3. By way of derogation from paragraph 2, 2 of this Article, the eligible providers of unfunded credit protection listed in points (a) to (h) point (g) of Article 201(1) 201(1), shall have been assigned a credit assessment by a recognised ECAI which is was credit quality step 2 or above at the time the credit protection was first recognised and is currently credit quality step 3 or above thereafter. The requirement set out in this subparagraph shall not apply to qualifying central counterparties. above. Institutions which are allowed to apply the IRB Approach to a direct exposure to the protection provider may assess eligibility in accordance with the first subparagraph based on the equivalence of the PD for the protection provider to the PD … 571 unchanged words … 3; or (ii) the risk weight of the original securitisation position under the SEC-ERBA. 10. The derived position with the lower seniority shall be treated as a non-senior securitisation position even if the original securitisation position prior to protection qualifies as senior.