The reference to "Market Value Hedging Transactions" is not a defined term in the context of Regulation (EU) No 575/2013 (CRR). However, where an institution acts as a derivative or hedge counterparty to a securitisation transaction, the hedge shall be deemed to become a securitisation position when it is subject to the transaction's waterfall and hence exposed to the credit risk of the securitised exposures or the securitisation positions (particular cases of exposure to the credit risk of a securitisation position).
For the purposes of using inferred ratings, the provisions set out in Article 259(2) of the CRR requires that all of the following conditions are satisfied:
a) The reference positions shall be subordinate in all respects to the unrated securitisation position;
b) The maturity of the reference positions shall be equal to or longer than that of the unrated position in question;
c) On an ongoing basis, any inferred rating shall be updated to reflect any changes in the credit assessment of the reference positions.