1. The retention of the first loss tranche referred to in Article 6(3), point (d), of Regulation (EU) 2017/2402 shall be fulfilled by any of the following methods:
holding either on-balance sheet or off-balance sheet positions;
holding an exposure by means of a provision of a contingent form of retention or of a liquidity facility in the context of an ABCP programme, which fulfils all of the following criteria:(i)the exposure covers at least 5 % of the nominal value of the securitised exposures;(ii)the exposure constitutes a first loss position in relation to the securitisation;(iii)the exposure covers the credit risk for the entire duration of the retention commitment;(iv)the exposure is provided by the retainer;(v)the investors have been given access within the initial disclosure to all information necessary to verify that points (i) to (iv) are complied with;
the exposure covers at least 5 % of the nominal value of the securitised exposures;
the exposure constitutes a first loss position in relation to the securitisation;
the exposure covers the credit risk for the entire duration of the retention commitment;
the exposure is provided by the retainer;
the investors have been given access within the initial disclosure to all information necessary to verify that points (i) to (iv) are complied with;
overcollateralisation, as defined in Article 242, point (9), of Regulation (EU) No 575/2013, if that overcollateralisation operates as a ‘first loss’ position of not less than 5 % of the nominal value of the securitised exposures.
2. Where the first loss tranche exceeds 5 % of the nominal value of the securitised exposures, the retainer may choose to retain a pro-rata portion of such first loss tranche only, provided that that portion is equivalent to at least 5 % of the nominal value of the securitised exposures.