§ 217.45. Recognition of credit risk mitigants for securitization exposures.
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/us/cfr/t12/s§ 217.45·A research copy — for the controlling text, always check the official state or federal source. Not legal advice.
(a)General.
(1)An originating Board-regulated institution that has obtained a credit risk mitigant to hedge its exposure to a synthetic or traditional securitization that satisfies the operational criteria provided in § 217.41 may recognize the credit risk mitigant under §§ 217.36 or 217.37, but only as provided in this section.
(2)An investing Board-regulated institution that has obtained a credit risk mitigant to hedge a securitization exposure may recognize the credit risk mitigant under §§ 217.36 or 217.37, but only as provided in this section.
(b)Mismatches. A Board-regulated institution must make any applicable adjustment to the protection amount of an eligible guarantee or credit derivative as required in § 217.36(d), (e), and
(f)for any hedged securitization exposure. In the context of a synthetic securitization, when an eligible guarantee or eligible credit derivative covers multiple hedged exposures that have different residual maturities, the Board-regulated institution must use the longest residual maturity of any of the hedged exposures as the residual maturity of all hedged exposures.