(61)

'securitisation' means a transaction or scheme, whereby the credit risk associated with an exposure or pool of exposures is tranched, having both of the following characteristics: payments in the transaction or scheme are dependent upon the performance of the exposure or pool of exposures; the subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme;

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.