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.