7.1 This chapter is relevant to any firm that is intending to treat an arrangement as a guarantee or credit derivative qualifying as unfunded credit protection under the Credit Risk Mitigation (CRR) Part. It is also relevant to any firm subject to other parts of the PRA Rulebook, the CRR [The onshored and amended UK version of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms, referred to as the ‘CRR’ in this SS.] and other legislation that cross-refers to relevant provisions in the Credit Risk Mitigation (CRR) Part. This includes, for example, the Large Exposures (CRR) Part of the PRA Rulebook and Chapter 5 of Part 3 Title II of the CRR (Securitisation).

7.2 The requirements for guarantees and credit derivatives are set out in the Credit Risk Mitigation (CRR) Part. ‘Guarantee’ is not defined in that Part or in the CRR. While guarantees can take many forms and be governed by different laws, only those that meet the criteria set out in the Credit Risk Mitigation (CRR) Part are eligible as unfunded credit protection.