ANNEX IX U.K. SECURITISATION

PART 4 U.K. Calculation

2. CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACH U.K.

2.6. Recognition of credit risk mitigation on securitisation positions U.K.

34. Where credit protection is obtained on a securitisation position, the calculation of risk-weighted exposure amounts may be modified in accordance with Annex VIII. U.K.