Prudential Regulation Authority Rulebook

1

The pool of at least 100 potentially securitised exposures from which retained non-securitised and securitised exposures are to be randomly selected, as referred to in point (c) of Article 6(3) of Chapter 2, shall be sufficiently diverse to avoid an excessive concentration of the retained interest.

2

When selecting the exposures referred to in paragraph 1, retainers shall take into account quantitative and qualitative factors that are appropriate for the type of securitised exposures to ensure that the distinction between retained non-securitised and securitised exposures is random. For that purpose, and where relevant, retainers shall take into consideration the following factors when selecting exposures:

1. (a) the time of the origination of the loan (vintage);
2. (b) the type of securitised exposures;
3. (c) the geographical location;
4. (d) the origination date;
5. (e) the maturity date;
6. (f) the loan to value ratio;
7. (g) the collateral type;
8. (h) the industry sector;
9. (i) the outstanding loan balance; and
10. (j) any other factor deemed relevant by the retainer.

3

Retainers shall not select different individual exposures at different points in time, except where that may be necessary to fulfil the retention requirement in relation to a securitisation in which the securitised exposures fluctuate over time, either due to new exposures being added to the securitisation or to changes in the level of the individual securitised exposures.

4

Where the retainer is the securitisation’s servicer, the selection conducted in accordance with this Article shall not lead to a deterioration in the servicing standards applied by the retainer on the transferred exposures relative to the retained exposures.