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Article 1(19) of the Commission Delegated Regulation (EU) 2015/35  indicates that “‘securitisation position’ means an exposure to a securitisation within the meaning of Article 4(1)(61) of Regulation (EU) No 575/2013 [CRR]”. CRR at the article 4(1)(61) provides the necessary conditions for a transaction to be considered as a securitisation operation : “the credit risk associated with an exposure or pool of exposures is tranched, having both of the following characteristics:(a) payments in the transaction or scheme are dependent upon the performance of the exposure or pool of exposures;(b) the subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme;”Article 4(1)(67) of CRR indicates that a tranche means “a contractually established segment of the credit risk associated with an exposure or a number of exposures, where a position in the segment entails a risk of credit loss greater than or less than a position of the same amount in each other such segment, without taking account of credit protection provided by third parties directly to the holders of positions in the segment or in other segments”Besides, it should be noted that REGULATION (EU) 2017/2402 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 12 December 2017 lays down a general framework for securitisation and defines securitisation. Its article 2(1) indicates the same elements as article 4(1)(61) but provides a fall back condition “(c) the transaction or scheme does not create exposures which possess all of the characteristics listed in Article 147(8) of Regulation (EU) No 575/2013.”Should any transaction be considered as a securitisation for the purpose of the Solvency II delegated act, the aforementioned conditions must all be fulfilled.