Stats › Valorisation › 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 | Figure | 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 | aucun | 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.
Réservé aux membres
La suite de cette page est réservée aux membres
Below this point there are 7 sections, 1 table and 7 named sources, roughly 800 words of it. Every figure carries the source it came from and the date the data is from.
Vous pouvez continuer à parcourir gratuitement toutes les statistiques de la bibliothèque. L'introduction et le résumé sont toujours accessibles.