(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 section 217.41 may recognize the credit risk
mitigant under sections 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 sections 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 section 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.
