‘securitisation instrument’ means a financial instrument or other assets resulting from a securitisation transaction or scheme whereby the credit risk associated with an exposure or pool of exposures is tranched, having the following characteristics:

1. i

   payments in the transaction or scheme are dependent upon the performance of the exposure or pool of exposures;

2. ii

   the subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme; and

3. iii

   the transaction or scheme does not create exposures which possess all of the characteristics listed in Article 147(8) of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012;