Article 4, Paragraph 5. · Commission Delegated Regulation (EU) 2024/920

Contents

5.The parties to the credit protection agreement shall clearly set out in the transaction documentation the criteria for assigning exposures to credit risk buckets.For the purposes of the first subparagraph, the parties to the credit protection agreement shall determine, in the credit protection agreement, the differentiation between individual credit risk buckets based on the following:

(a)the grades referred to in Article 170(1), point (b), of Regulation (EU) No 575/2013, where the originator applies the IRB Approach in accordance with Part Three, Title II, Chapter 3 of that Regulation to determine the own funds requirements for credit risk for securitised exposures to corporates, with the exception of specialised lending exposures referred to under point (b), institutions and central governments and central banks;

(b)the grades referred to in Article 170(2) of Regulation (EU) No 575/2013, where the originator applies the IRB Approach in accordance with Part Three, Title II, Chapter 3 of that Regulation to determine the own funds requirements for credit risk for securitised exposures that are treated as specialised lending exposures to which the methods set out in Article 153(5) of that Regulation apply;

(c)the grades or pools referred to in Article 170(3), point (b), of Regulation (EU) No 575/2013 where the originator applies the IRB Approach in accordance with Part Three, Title II, Chapter 3 of that Regulation to determine the own funds requirements for credit risk for securitised exposures that are treated as retail exposures;

(d)in all other cases, in accordance with the applicable accounting framework applied by the originator in its financial statements.