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).|