Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed) (c. 48)

ANNEX IX U.K. SECURITISATION

PART 4 U.K. Calculation

2. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACH U.K.

2.3. Treatment of securitisation positions in a second loss tranche or better in an ABCP programme U.K.

12. For the treatment set out in point 11 to be available, the securitisation position shall be: U.K.

(a)

in a tranche which is economically in a second loss position or better in the securitisation and the first loss tranche must provide meaningful credit enhancement to the second loss tranche;

(b)

of a quality the equivalent of investment grade or better; and

(c)

held by a credit institution which does not hold a position in the first loss tranche.