NETHERLANDS Law and Practice Contributed by: Mandeep Lotay and Dámaris Engelschman, Freshfields LLP
rial net economic interest in the securitisation of not less than 5%, measured at the origination and determined by the notional value for off- balance-sheet items. Embedding certain mech - anisms into the transaction structure that effec - tively reduce the material net economic interest is not permitted. Furthermore, it is not possible to split the material net economic interest among different types of retainers, and the risk retainer cannot undertake any credit-risk mitigation or hedging in relation to the material net economic interest that is to be retained. There are different ways to retain a material net economic interest of not less than 5% within the meaning of Article 6 of the EU Securitisation Regulation, as follows: • the risk retainer holds not less than 5% of the nominal value of each of the tranches sold or transferred to investors; • with revolving securitisations or securitisa - tions of revolving exposures, the risk retainer retains an interest of not less than 5% of the nominal value of each of the securitised exposures; • the risk retainer retains randomly selected exposures equivalent to not less than 5% of the nominal value of the securitised expo - sures, where such non-securitised exposures would otherwise have been securitised, provided that the number of potentially securitised exposures is not less than 100 at origination; • the risk retainer holds the first loss tranche, and where the retention does not amount to 5% of the nominal value of the securi - tised exposures, if necessary, with the other tranches having the same or a more severe risk profile than those transferred or sold to investors, and not maturing any earlier than those transferred or sold to investors, so that
the retention equals in total not less than 5% of the nominal value of the securitised expo - sures; or • the risk retainer retains a first loss exposure of not less than 5% of every securitised expo -
sure in the securitisation. 4.4 Periodic Reporting
Article 7 of the EU Securitisation Regulation sets out transparency requirements according to which periodic reporting is required. The origina - tor, sponsor and SPV must designate one entity among themselves, called the designated entity, to fulfil the information requirements set out in Article 7 (1) of the Securitisation Regulation. The designated entity must periodically make the following information available to holders of a securitisation position, the competent authori - ties and, upon request, potential investors: • information on underlying exposures on a quarterly basis, or, in the case of asset- backed commercial paper (ABCP), informa - tion on the underlying receivables or credit claims on a monthly basis; and • quarterly investor reports, or in the case of ABCP, monthly investor reports, containing the following: (a) all materially relevant data on the credit quality and performance of underlying exposures; (b) information on events that trigger changes in the priority of payments or the replacement of any counterparties, and, in the case of a securitisation which is not an ABCP transaction, data on the cash flows generated by underlying exposures and by the liabilities of the securitisation; and (c) information concerning the risk retained, including on which of the modalities pro - vided for in Article 6 (3) of the EU Secu -
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