credit-enhancing interest-only strip
Defined in Article 242, Capital Requirements Regulation (CRR)
Definitions over time (1)
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01/01/2019 – today applies on 10/11/2026 Article 242, Capital Requirements Regulation (CRR) Scope: Part III Title II Chapter 5
For the purposes of this Chapter, the following definitions apply:
‘credit-enhancing interest-only strip’ means an on-balance sheet asset that represents a valuation of cash flows related to future margin income and is a subordinated tranche in the securitisation;