Estadísticas › Valoración › Five per cent skin
Europe requires a securitisation originator to keep five per cent of the risk, in one of five ways, and the label that halves the capital floor carries no concentration limit
| Way of holding the retention | Cifra | Provision |
|---|---|---|
| Vertical slice of each tranche | 5 per cent | Art 6(3)(a) |
| Seller's share of each exposure | 5 per cent | Art 6(3)(b) |
| Random selection | 5 per cent, requiring not less than 100 potentially securitised exposures at origination | Art 6(3)(c) |
| First loss tranche | 5 per cent | Art 6(3)(d) |
| First loss exposure on every exposure | 5 per cent | Art 6(3)(e) |
| Not to be split among retainer types | Art 6(1) | |
| Not subject to credit risk mitigation or hedging | Art 6(1) and Delegated Regulation Art 12 | |
| Liquidity facility in the delegated rules | 100 per cent | Delegated Regulation Art 4(d)(i) |
| Contribution test | more than 50 per cent | Delegated Regulation Art 2(4)(b) |
| Obligation to top the retention back up to 5 per cent if it falls | ninguno | Delegated Regulation Art 10(2) |
Regulation (EU) 2017/2402 Article 6 and Commission Delegated Regulation (EU) 2023/2175. Note the last row: the five per cent is tested at the outset and need not be restored if it erodes.
The simple transparent and standardised criteria contain no granularity limit as a percentage of the pool and no exposure value limit. The two per cent single obligor test that everyone attributes to them sits in the capital rules instead.
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