Article 57 | Delegated Regulation 2022/439

Article 57 - Eligibility of guarantors and guarantees

Article 57

Eligibility of guarantors and guarantees

When assessing compliance with the requirements for assessing the effect of guarantees and credit derivatives on risk parameters as referred to in Article 183 of Regulation (EU) No 575/2013, competent authorities shall verify that:

(a)	the institution has clearly specified criteria for identifying situations where PD estimates or LGD estimates are to be adjusted in order to incorporate mitigating effects of guarantees, and that those criteria are used consistently over time;

(b)	where the PD of the protection provider is to be used for the purpose of adjusting the risk-weighted exposure amounts in accordance with Article 153(3) of Regulation (EU) No 575/2013, the mitigating effects of guarantees are not included in the estimates of LGD or PD of the obligor;

(c)	the institution has clearly specified criteria for recognising guarantors and guarantees for the calculation of risk-weighted exposure amounts, in particular through own estimates of LGD or PD;

(d)	the institution documents the criteria for adjusting own estimates of LGD or PD to reflect the effects of guarantees;

(e)

in its own estimates of LGD or PD the institution recognises only the guarantees that meet the following criteria:

(i)	where the guarantor is internally rated by the institution with a rating system that has already been approved by the competent authorities for the purpose of the IRB Approach, the guarantee meets the requirements laid down in Article 183(1)(c) of Regulation (EU) No 575/2013;

(ii)

where the institution has received permission to use the Standardised Approach pursuant to Articles 148 and 150 of Regulation (EU) No 575/2013 for exposures to entities such as the guarantor both of the following are met:

—	the guarantor is assigned to an exposure class in accordance with Article 147 of Regulation (EU) No 575/2013 as an institution, a central government, a central bank or a corporate entity that has been given a credit assessment by an ECAI,

—	the guarantee meets the requirements set out in Articles 213 to 216 of Regulation (EU) No 575/2013.

(f)	the institution meets the requirements of points (a) and (e) also for the single-name credit derivatives.

Recitals

CHAPTER 1 - GENERAL PROVISIONS ON THE ASSESSMENT METHODOLOGY (Article 1-5)

CHAPTER 2 - ASSESSMENT METHODOLOGY FOR SEQUENTIAL IMPLEMENTATION PLANS AND PERMANENT PARTIAL USE OF THE STANDARDISED APPROACH (Article 6-8)

CHAPTER 3 - ASSESSMENT METHODOLOGY FOR THE FUNCTION OF VALIDATION OF INTERNAL ESTIMATES AND OF THE INTERNAL GOVERNANCE AND OVERSIGHT OF AN INSTITUTION (Article 9-17)

CHAPTER 4 - ASSESSMENT METHODOLOGY FOR USE TEST AND EXPERIENCE TEST (Article 18-22)

CHAPTER 5 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO GRADES OR POOLS (Article 23-25)

CHAPTER 6 - ASSESSMENT METHODOLOGY FOR IDENTIFICATION OF DEFAULTS (Article 26-29)

CHAPTER 7 - ASSESSMENT METHODOLOGY FOR RATING SYSTEMS DESIGN, OPERATIONAL DETAILS AND DOCUMENTATION (Article 30-40)

CHAPTER 8 - ASSESSMENT METHODOLOGY FOR RISK QUANTIFICATION (Article 41-58)

SECTION 1 - General (Article 41)

SECTION 2 - Methodology for assessing overall requirements for quantification of risk parameters (Article 42-44)

SECTION 3 - Methodology for assessing requirements specific for PD estimation (Article 45-46)

SECTION 4 - Methodology for assessing requirements specific to own-LGD estimates (Article 47-52)

SECTION 5 - Methodology for assessing requirements specific to own- conversion factor estimates (Article 53-56)

SECTION 6 - Methodology for assessing the effect of guarantees and credit derivatives (Article 57)Article 57 - Eligibility of guarantors and guarantees

SECTION 7 - Methodology for assessing the requirements for purchased receivables (Article 58)

CHAPTER 9 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES (Article 59-62)

CHAPTER 10 - ASSESSMENT METHODOLOGY FOR STRESS TEST USED IN ASSESSMENT OF CAPITAL ADEQUACY (Article 63-66)

CHAPTER 11 - ASSESSMENT METHODOLOGY FOR THE CALCULATION OF OWN FUNDS REQUIREMENTS (Article 67-71)

CHAPTER 12 - ASSESSMENT METHODOLOGY FOR DATA MAINTENANCE (Article 72-75)

CHAPTER 13 - ASSESSMENT METHODOLOGY OF INTERNAL MODELS FOR EQUITY EXPOSURES (Article 76-82)

CHAPTER 14 - ASSESSMENT METHODOLOGY FOR MANAGEMENT OF CHANGES TO RATING SYSTEMS (Article 83-84)

CHAPTER 15 - FINAL PROVISION (Article 85)

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Article 57 - Eligibility of guarantors and guarantees

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