Version in force , Modified +572 −328§
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
Paragraph 1 now opens with a new requirement that an institution use a credit risk mitigation technique in calculating an exposure where it has used that same technique to calculate credit risk capital requirements under Title II of Part Three, subject to the conditions set out in the Article, before restating the guarantee definition with a reordered cross-reference to Chapter 4 of Title II of Part Three.
Paragraph 3 no longer refers to an institution relying on Article 401(2) or to excluding certain collateral under Article 199(5) to (7) unless permitted under Article 402; instead it now states that credit risk mitigation techniques available only to institutions using an IRB approach shall not be used to reduce exposure values for large exposure purposes, except for exposures secured by immovable properties in accordance with Article 402.
Cited: Art. 399, v2 (external, EUR-Lex) · Art. 399, v1 (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 399
Eligible credit mitigation techniques
1. An institution shall use a credit risk mitigation technique in the calculation of an exposure where it has used that technique to calculate capital requirements for credit risk in accordance with Title II of Part Three, provided that the credit risk mitigation technique meets the conditions set out in this Article.
For the purposes of Articles 400 to 403 403, the term guarantee shall include credit derivatives recognised under Part Three, Title II, Chapter 4 of Title II of Part Three other than credit linked notes.
2. Subject to paragraph 3 of this Article, where, under Articles 400 to 403 the recognition of funded or unfunded credit protection is permitted, this shall be subject to compliance with the eligibility requirements and other requirements set out in Part Three, Title II, Chapter 4.
3. Where an institution relies upon Article 401(2), Credit risk mitigation techniques which are available only to institutions using one of the recognition of funded credit protection shall be subject to the relevant requirements under Part Three, Title II, Chapter 3. For the purposes of this Part, an institution IRB approaches shall not take into account the collateral referred be used to reduce exposure values for large exposure purposes, except for exposures secured by immovable properties in Article 199(5) to (7), unless permitted under accordance with Article 402.
4. Institutions shall analyse, to the extent possible, their exposures to collateral issuers, providers of unfunded credit protection and underlying assets pursuant to Article 390(7) for possible concentrations and where appropriate take action and report any significant findings to their competent authority.