Risk Retention (5% Rule)

EU SR Article 6 / UK SR requirement: originator, sponsor, or original lender must retain ≥5% material net economic interest. Can be: (a) vertical slice; (b) random sample; (c) first-loss tranche; (d) first-loss in each tranche; (e) seller's interest in revolving structures.

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.

p-factor

Multiplier in the SEC-SA method for retained securitisation positions. p=1.0 for non-STS; p=0.5 for STS. Lower p-factor halves the capital charge — key incentive to obtain STS designation.

Securitisation

The process of pooling financial assets (loans, leases, receivables) into a special purpose vehicle, which issues tranched securities backed by the cash flows from those assets. EU definition (SR 2017/2402 Article 2): a transaction where the credit risk associated with an exposure is tranched.