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+Article 325 6. |
Article 325 6.Securitisation positions and nth-to-default credit derivatives that meet all the following criteria shall be included in the ACTP:
(a)
the positions are neither re-securitisation positions, nor options on a securitisation tranche, nor any other derivatives of securitisation exposures that do not provide a pro-rata share in the proceeds of a securitisation tranche;
(b)
all their underlying instruments are:
(i)
single-name instruments, including single-name credit derivatives, for which a liquid two-way market exists;
(ii)
commonly-traded indices based on the instruments referred to in point (i). A two-way market is considered to exist where there are independent bona fide offers to buy and sell, so that a price that is reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within one day and settled at that price within a relatively short time conforming to trade custom. 1. Übersicht
1.1 Referenzen1.2 Identifizierte Anforderungen1.3 Zugehörige Standards2. Identifizierte Anforderungen
3. Zugehörige Standards
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