237 Table 6.1: Brief description of all variables. 245 TABLE 6.1: BRIEF DESCRIPTION OF ALL VARIABLES Variable Description Source Spread S s e p c r u e r a i d t i z a a t t i o n t h t e r a n d c a h t e e , n o o f t e i d s s u i n a n b c e a s i s o f p o t i h n e t s r a e b s o p v e e c t i i v t e s benchmark. Bloomberg Rating Discrepancy Nn uomt c ehreisc a lddi fi ff feerreennccee i tnhcarte dri et srua ltti sn g forfoMmo ocdayl c’ su, lSa&t iPn,gF i ttchhe, DraBtiRnSgsa. nd KBRA, in case the tranche received multiple Own calculations Risk Retention Methods Tinhteermesett, hwohdicthoindceltuedrmesintheethe 5% material net economic VES, OBS, FLT or FLE method. Bloomberg Subordination Level Ls eecvuerl i t yo fw iitnhtienr na asle c currei tdi izta t ieonnh, amn ec ea ms uerne td assutphpeorrat ti ni og o ft ha lel tt rhaentcoht ea sl fsaucbeovradliunea toef dt ht oe tsheec ut rrai tni zc ahtei oi nn .q u e s t i o n d i v i d e d b y Own calculations No. of Tranches Tseoctuarlintyumisbpearrtofotf.ranches in the securitization of which the Bloomberg Log Tranche Value Tmheeasnuarteudrainl Elougraor.ithm of the tranche value at issuance, Bloomberg Log Transaction Value Tishsueannacteu,rmaleloasguarreitdhmin oEfutrhoe. transaction value of the deal at Bloomberg Benchmark Rate Tishsue amncaerk(ei.te.w, EidUeRbIBeOncRh3m-maroknttyhpse). used for the security at Bloomberg Frequent Originator At h de utmo pm1y 0t %h a tl aerqgueas lts o1r ii fg itnhaet torrasn, cmh ee a’ ss ou rr iegdi nbayt onr ui smabme ro nogf ti sr saunecdh ei ns tchoenEt rUi b(u2t0e1d1 -t2o0 2t h1 e) , at no tda 0l ontuhme rbwe ri s eo. f s e c u r i t i e s Own calculations STS Compliant Aw idt hu mt hmey St hTaSt ce rqiut earl si a 1 aitf tthhee s teicmuer i t oi zfa tiisosnu ai sn cceo, mapnldi a n0t otherwise. Bloomberg Single Originator Ao r di gui nmamt oyr , i nadnidc a t0i n gi f 1t hi fe t hdee adle ai sl i so roi gr ii gniantaetde dbby y ma uslitni pg ll ee originators. Bloomberg GDP Growth Rate Twhhei cahn tnhuea rl ips ekrscoe fnttha eg es egcr uo rwi ttihz ar taitoenoaf rGeDePx pi no st he de ct oo .u n t r y t o European Central Bank Credit Rating AK vBeRrAa gceo ncvr ee rdtiet dr iant ti on ga no uf mMeoroi cdayl ’ sv ,a lSu&e Pb, yFsi et ct thi ,n gD 1B Rf oSr, Aa anad, 2 for Aa1, 3 for Aa2, and so on. Bloomberg Security Type Ionf dwi cha itcehs tthhee t ys pe ce uorfi tuyn di se rpl ya irnt ,g raasns eg ti ns go f ftrhoems eAc Bu rSi, t iRz aMt iBoSn, CMBS, to CLOs. Bloomberg Year Date at which the security is issued. Bloomberg Country of Risk Trihskescaoruenetrxypotosewdhtioc.h the (majority of the) securitization’s Bloomberg Chapter 6 - Risk Retention in the European Securitization Market
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