EU Publishes RTS On Risk Retention
The European Union (EU) has finalized its regulatory technical standards (RTS) for risk retention. The RTS specifies requirements for investors, sponsors, original lenders, and originator institutions relating to exposures to transferred credit risk under Articles 404-410 of the Capital Requirements Regulation.

Some of the key changes made in the final RTS include:

Article 14 has been amended to clarify exactly who can hold the risk retention slice on a consolidated basis;

Article 10 spells out that calculation of the retained portion shall be based on nominal values of the securitized exposures and the acquisition price of the assets shall not be taken into account; and

Article 12 clarifies that hedging which does not hedge credit risk of the retained securitization positions/retained exposures shall not be considered a hedge for the purposes of the hedging prohibition.

SFIG will be reviewing these data points with regulators as well as our Risk Retention Task Force. Please contact for more information.
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