Enumeration | Definition |
---|---|
A | A is applied to the most senior tranche of a securitisation. |
B | B is applied where the effective number of exposures securitised is greater than six. |
C | C is applied where the effective number of exposures securitised is less than six. |
D | D is applied for re-securitisation positions in the most senior tranche of the resecuritisation and none of the underlying exposures were themselves resecuritisation exposures. |
E | E is applied for all other resecuritisation positions. |