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2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed) (c. 48)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

3. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE INTERNAL RATINGS BASED APPROACH U.K.

3.4. Supervisory Formula Method U.K.

54. Credit risk mitigation on securitisation positions may be recognised in accordance with points 60, 61 and 63 to 67. U.K.