AI Summary of Article 249 Recognition of credit risk mitigation for securitisation positions
This document outlines the criteria for recognising both funded and unfunded credit protection concerning securitisation positions. Key provisions state that the credit protection must meet requirements established in relevant chapters, with funded protection limited to eligible financial collateral.
Moreover, specific stipulations allow for some flexible recognition of unfunded credit protection, contingent upon certain credit quality assessments. Institutions using various approaches to risk assessment must also adhere to defined methodologies for calculating risk-weighted exposure amounts, ensuring that both providers and purchasers of credit protection are treated consistently in terms of regulatory compliance.
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.