There are traditional securitisation transactions where one of the tranches benefits from a guarantee provided by a supranational institution. The EIF guarantee is provided to the securitisation vehicle and is activated in case of a failure to pay interest or principal on the guaranteed tranche. Upon activation, the supranational institution injects cash into the securitisation vehicle for the unpaid amount, which is directly passed through to the bondholders. From a rating perspective, the guaranteed tranche benefits from an upgrade (e.g. from AA pre‑guarantee to AAA post‑guarantee).

Under the CRR, securitisation positions must have their risk weights determined using the securitisation approaches (SEC‑IRBA, SEC‑SA or SEC‑ERBA). Unlike standard credit risk exposures, the substitution approach commonly used for credit risk mitigation (where the risk weight of the exposure may be replaced by that of the guarantor) does not explicitly apply to securitisation positions. While Article 249 CRR appears, in principle, to allow the recognition of guarantees on securitisation positions (subject to the fulfilment of all applicable conditions), the Regulation does not specify how such a guarantee should be reflected quantitatively in the calculation of risk‑weighted exposure amounts under the securitisation framework.