Version in force , Modified +55 −143§
Amended by Regulation (EU) 2019/2033 32019R2033 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2021/558 32021R0558 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2020/873 32020R0873 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
The scope of eligible unfunded credit protection providers subject to the credit-quality-step derogation is narrowed from those listed in points (a) to (h) of Article 201(1) to only those listed in point (g) of Article 201(1).
The wording on the credit assessment timing is rephrased, now stating the assessment was credit quality step 2 or above when first recognised and is currently credit quality step 3 or above, dropping the earlier phrase about the requirement not applying to qualifying central counterparties.
Cited: Art. 249, v1 (external, EUR-Lex) · Art. 249, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 28 December 2020 02013R0575-20201228 → this version, in force 28 June 2021 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.