This document outlines the calculation of exposure values for securitisation positions, distinguishing between on-balance and off-balance sheet items, and detailing the relevant adjustments for credit risk. It specifies that institutions may deduct specific credit risk adjustments and non-refundable purchase price discounts from the exposure values, particularly for positions with elevated risk weights.

The text also addresses overlapping positions in securitisation, permitting institutions to recognise only one in their risk-weighted exposure calculations while allowing for certain liquidity facilities in ABCP programmes, subject to proper notifications to competent authorities.