Regulatory and Legal
Definition

Risikoselbstbehalt (5 %-Regel)

Anforderung nach Artikel 6 der EU-Verbriefungsverordnung / UK-Verbriefungsverordnung: Originator, Sponsor oder ursprünglicher Kreditgeber müssen ein wesentliches wirtschaftliches Nettointeresse von mindestens 5 % behalten. Zulässige Formen: (a) vertikale Tranche; (b) Zufallsstichprobe; (c) First-Loss-Tranche; (d) First-Loss in jeder Tranche; (e) Verkäuferinteresse bei revolvierenden Strukturen.

Deep Dives

Securitisation Fundamentals

Related Terms

STS (Simple, Transparent, Standardised)

EU designation under SR Articles 19–26 for traditional securitisations meeting specified quality criteria, conferring preferential capital treatment. Must be notified to ESMA via portal (traditional) or email STSnotifications@esma.europa.eu (synthetic).

Originator

The entity that originated the assets transferred into the securitisation. Under EU SR Article 6, the originator must retain a ≥5% material net economic interest.

First-Loss Tranche

The most junior tranche; absorbs losses first. Banks typically retain 0.5–1.5% of portfolio as first-loss in EU SRT. Risk retention requirement (5%) often satisfied by this piece.

ESMA Securitisation Repositories

ESMA-registered repositories (EuroDW and SecRep B.V.) where securitisation loan-level and investor reports must be filed. Issuers must file with one; ESMA DESK portal provides investor access.

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