PRU 4.14.36

Past version: effective from 21/10/2015 - 20/10/2015
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In accordance with the tables under Rule 4.14.31, all unrated securitisation positions must be deducted or risk weighted at 1000% with the following exceptions:

(a) most senior Exposure in a securitisation;
(b) Exposures that are in a second loss position or better of an ABCP and meet the requirements of Rule 4.14.41; and
(c) eligible liquidity positions.