SECN 5.4 Fulfilment of the retention requirement through a synthetic form of retention or contingent form or retention

1The fulfilment of the retention requirement in a manner equivalent to one of the options set out in SECN 5.2.8R through a synthetic or contingent form of retention shall meet all of the following conditions:

1. (a)

   the amount retained is at least equal to the amount required under the option which the synthetic or contingent form of retention corresponds to; and

2. (b)

   the retainer has explicitly disclosed in the final offering document, prospectus, transaction summary or overview of the main features of the securitisation that it will retain a material net economic interest in the securitisation through a synthetic or contingent form of retention on an ongoing basis.

For the purposes of SECN 5.4.1R(1)(b) the retainer shall disclose in the final offering document, prospectus transaction summary or overview of the main features of the securitisation, all the details on the applicable synthetic form of retention or contingent form of retention, including, the methodology used in its determination of the material net interest retained and an explanation on which of the options in in SECN 5.2.8R the retention is equivalent to.

Where an entity other than a CRR firm or a UK Solvency II Firm retains an economic interest through a synthetic form of retention or contingent form of retention, that interest retained on a synthetic or contingent basis must be fully collateralised in cash and held on a segregated basis as client money as referred to in CASS 7.12.1R.