Credit Risk Mitigation
Authorised Firmobtains credit protection on a securitisation Exposure, the calculation of Credit RWAamounts must be in accordance with the Rulesin Credit Riskmitigation in PIB section 4.13.
Authorised Firmprovides credit protection to a securitisation Exposureit must calculate a Capital Requirementas if it were an investor in the securitisation in line with PIB section 4.13.
Authorised Firmmust not recognise any SPE which is an Issuerof securitisation Exposures, as an eligible credit protection provider. Guarantees provided must meet the requirements of PIB section 4.13.
For the purpose of setting regulatory capital against a maturity mismatch, the
Capital Requirementmust be determined in accordance with PIB section 4.13. When Exposuresbeing hedged have different maturities, the longest maturity must be used. Maturity of credit protection must be calculated in accordance with PIB section 4.13.