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Status: You are viewing the version of the handbook as on 2011-04-29.

securitisation position

    45(in accordance with Article 4(40) (Definitions) and Article 96 (Securitisation) of the Banking Consolidation Directive) an exposure to a securitisation within the meaning of paragraph (2) of the definition of securitisation; and so that:

      1. (a) where there is an exposure to different tranches in a securitisation, the exposure to each tranche must be considered as a separate securitisation position;
      1. (b) the providers of credit protection to securitisation positions must be considered to hold positions in the securitisation; and
      1. (c) securitisation positions include exposures to a securitisation arising from interest rate or currency derivative contracts.