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ID 952. Securitisation (Internal reference 406)
Significant risk transfer Back

Relevant provisions

Annex IX , Section 2 , version 2009/83/EG of Directive 2006/48/EC


a) When do you have to comply with the requirement to hold a "maximum of 50% of the risk-weighted mezzanine securitisation positions" ?
At the start of the transaction or on an ongoing basis ?

b) In case compliance is required on an ongoing basis, how is the calculation affected by rating-changes ?
Example: when compliance was in place at the start of a transaction, e.g. by selling the FLP and the BB-rated mezzanine tranche (425%) to investors, and by retaining the other mezzanine tranches: what happens in case of a downgrade of the BB-rated tranche lateron to a single-B rating (1250%) ? Is the consequence that the previously BB-rated (mezzanine) tranche is no longer a mezzanine tranche and therefore has to be excluded from the denominator in the calculation ?

c) Which values have to used for calculating the "maximum of 50% of the risk-weighted mezzanine securitisation positions" ?
Nominal values of the tranches or book resp. exposure values ? At the start of a transaction the two values will be the same. However, during the course of a transaction the retained tranches will be revalued internally and will result in a (typically) lower book resp. exposure value.

d) Regarding Multi-Originator transactions:
- Has the compliance to be calculated for each originator individually or only in total over all originators ?
- In case each originator has to comply individually: do you put the retained mezzanine securitisation positions (at originator X) in relation to the combined overall mezzanine securitisation positions/tranches of the whole transaction or do you put it in relation to originator's X pro-rata (securitised asset volume) share of the combined overall mezzanine securitisation positions/tranches.


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Submitted on 06/09/2010

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