retention_type

As defined in the Securitisations Framework Regulation Article 6

vertical_nominal

Vertical slice (securitisation positions): “retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors”

vertical_risk

Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures;

revolving

Revolving exposures: “in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures”;

on_bs

On-balance sheet: “retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination”;

first_loss

First loss: “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 any 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”;

exempted

Exempted: This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402;

Securitisations exempt from retention rate are those where,

...transactions [are] based on a clear, transparent and accessible index, where the underlying reference entities are identical to those that make up an index of entities that is widely traded, or are other tradable securities other than securitisation positions.