BANK 4.6.4 Securitisation exposures

A securitisation exposure of a banking business firm is a risk position (whether on-balance-sheet or off-balance-sheet) held by the firm arising from a securitisation.

Examples of sources

•    investments in a securitisation
•    asset-backed securities (including mortgage-backed securities)
•    credit enhancements and liquidity facilities
•    interest rate swaps and currency swaps
•    credit derivatives
•    corporate bonds, equity securities and private equity investments
•    reserve accounts (such as cash collateral accounts) recorded as assets by a firm that is, or that acts in the capacity of, an originator.
Inserted by QFCRA RM/2017-2 (as from 1st April 2017).