(1)

‘most senior protected tranche’ in a securitisation means the least subordinated tranche in terms of distribution of losses that benefits from eligible credit protection under the credit protection agreement;

(2)

‘credit risk bucket’ means a segment of the underlying portfolio to which the exposures from that portfolio are assigned in accordance with Article 4(5) and that entails a degree of credit risk as measured on the basis of credit risk-related criteria, where each mutually exclusive segment entails a credit risk that is greater than or less than another segment;

(3)

‘back-loaded loss distribution scenario’ means a scenario in which two-thirds of the absolute amount of losses expected to occur over the entire maturity of the transaction at its closing date take place in the last third part of its expected maturity.