Risk retention requirements relating to the originators, sponsors or original lenders

1. For the purposes of Article 135(2)(a) of Directive 2009/138/EC, the originator, sponsor or original lender shall retain, on an ongoing basis a material net economic interest which in any event shall not be less than 5 %, as specified in paragraph 2 of this Article, and shall explicitly disclose that commitment to the insurance or reinsurance undertaking in the documentation governing the investment.

2. Only the following retentions shall qualify as retentions of a material net economic interest of not less than 5 %:

(a) the retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to investors;

(b) in the case of securitisations of revolving exposures within the meaning of Article 242(12) of Regulation (EU) No 575/2013, the retention of the originator's interest of no less than 5 % of the nominal value of the securitised exposures;

(c) the retention of randomly selected exposures, equivalent to no less than 5 % of the nominal value of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is not less than 100 at origination;

(d) the retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures;

(e) the retention of a first loss exposure of not less than 5 % of every securitised exposure in the securitisation.

3. The net economic interest shall be measured at the origination. The net economic interest shall not be subject to any credit risk mitigation or any short positions or any other form of hedging and shall not be sold. The net economic interest shall be determined by the notional value for off-balance sheet items.

4. The retained material net economic interest referred to in paragraph 1 shall not be split amongst different types of retainer.

5. The requirement provided for in paragraph 1 to retain a material net economic interest shall be fulfilled in full by any of the following:

(a) the originator or multiple originators;

(b) the sponsor or multiple sponsors;

(c) the original lender or multiple original lenders.

6. Where the securitised exposures are created by multiple originators, the retention requirement shall be fulfilled by each originator, in relation to the proportion of the total securitised exposures for which it is the originator.

7. Where the securitised exposures are created by multiple original lenders, the retention requirement shall be fulfilled by each original lender, in relation to the proportion of the total securitised exposures for which it is the original lender.

8. By way of derogation from paragraphs 6 and 7, where the securitised exposures are created by multiple originators or multiple original lenders, the retention requirement may be fulfilled in full by a single originator or original lender provided that either of the following conditions are met:

(a) the originator or original lender has established and is managing the programme or securitisation scheme;

(b) the originator or original lender has established the programme or securitisation scheme and has contributed over 50 % of the total securitised exposures.

9. Where the securitised exposures have been sponsored by multiple sponsors, the retention requirement shall be fulfilled by either:

(a) the sponsor whose economic interest is most appropriately aligned with investors as agreed by the multiple sponsors on the basis of objective criteria including the fee structures, the involvement in the establishment and management of the programme or securitisation scheme and exposure to credit risk of the securitisations;

(b) by each sponsor proportionately in relation to the number of sponsors.