SECN 5.17 Retention requirement on resecuritisations

1Subject to (2), in the context of resecuritisation as far as enabled in accordance with SECN 7.2 and SECN 7.3, a retainer must retain the material net economic interest in relation to each of the respective transaction levels.

The originator of a resecuritisation is not obliged to retain a material net economic interest at the transaction level of the resecuritisations where all of the following conditions are met:

1. (a)

   the originator of the resecuritisation is also the originator and the retainer of the underlying securitisations;

2. (b)

   the resecuritisation is backed by a pool of exposures comprising solely exposures or positions which were retained by the originator in the underlying securitisation in excess of the required minimum net economic interest prior to the date of origination of the resecuritisation; and

3. (c)

   there is no maturity mismatch between the underlying securitisation positions or exposures and the resecuritisation.

A fully supported ABCP programme, which meets the requirements of SECN 7.3 is not a resecuritisation for the purposes of SECN 5.17.

The retranching by the securitisation’s originator of an issued tranche into contiguous tranches shall not constitute a resecuritisation.