Content Options

View Options

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]