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EU Risk Retention Requirement: A Workable Solution For US CLO Collateral Managers? 

January 27, 2014
Joseph F. Beach, Bruce C. Bloomingdale, Shlomo Boehm, Robert Cannon, Stephen Day, Angus Duncan, Stuart N. Goldstein, Gregg S. Jubin, Y. Jeffrey Rotblat, Richard M. Schetman, Nick Shiren, Gary T. Silverstein, Robert L. Ughetta, Jeremiah M. Wagner and Neil J. Weidn, Mondaq

Article 405 of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (the "Capital Requirements Regulation") imposes on European Economic Area ("EEA") credit institutions and investment firms investing in securitisations issued on or after 1 January 2011, or in securitisations issued prior to that date where new assets are added or substituted after 31 December 2014, the requirement that each such institution:

... other than when acting as an originator, a sponsor or original lender, shall be exposed to the credit risk of a securitisation position in its trading book or non-trading book only if the originator, sponsor or original lender has explicitly disclosed to the institution that it will retain, on an ongoing basis, a material net economic interest which, in any event, shall not be less than 5%.

Read more: Mondaq


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