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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

mezzanine securitisation positions

    69for the purposes of BIPRU 9.3.7 R, BIPRU 9.4.11 R and BIPRU 9.5.1 R (6), securitisation positions to which a risk weight lower than 1250% applies and which are more junior than the most senior position in the relevant securitisation and more junior than any securitisation position in the relevant securitisation to which:

      1. (a) in the case of a securitisation position subject to the standardised approach to securitisation set out in BIPRU 9.11.1 R and BIPRU 9.11.2 R, a credit quality step 1 is assigned; or
      1. (b) in the case of a securitisation position subject to the IRB approach to securitisation set out in BIPRU 9.12.10 R and BIPRU 9.12.11 R, a credit quality step 1 or 2 is assigned under BIPRU 9.7.2 R , BIPRU 9.8.2 R to BIPRU 9.8.7 R and regulation 23 of the Capital Requirements Regulations 2006.

    [Note: BCD, Annex IX, Part 2, Point 1, paragraph 1b]