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Electronic Code of Federal Regulations

e-CFR data is current as of February 18, 2020

Title 12Chapter IISubchapter APart 217Subpart D → §217.45


Title 12: Banks and Banking
PART 217—CAPITAL ADEQUACY OF BANK HOLDING COMPANIES, SAVINGS AND LOAN HOLDING COMPANIES, AND STATE MEMBER BANKS (REGULATION Q)
Subpart D—Risk-Weighted Assets—Standardized Approach


§217.45   Recognition of credit risk mitigants for securitization exposures.

(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.

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