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securitisation position

      1. 120
        1. (1) (in GENPRU, MIPRU132 and BIPRU) (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.
        1. (2) (in IFPRU) has the meaning in article 4(1)(62) of the EU CRR.