253 This table reports t-tests of the risk retention methods and the security design factors. ‘Risk Retention Methods’ is a categorical variable indicating the form in which the 5% material net economic interest is obtained, which includes the ‘VES’, ‘OBS’, ‘FLT’ or ‘FLE’ method. ‘No. of Tranches’ is the total number of tranches in the securitization of which the security is part of. ‘Log Tranche Value’ is the natural logarithm of the tranche value at issuance, measured in Euro. ‘Log Transaction Value’ is the natural logarithm of the transaction value of the deal at issuance, measured in Euro. ‘Subordination Level’ represents the level of internal credit enhancement supporting the security within a securitization, measured as the ratio of all tranches subordinated to the tranche in question divided by the total value of the securitization. Table 6.4: T-tests of risk retention methods and security design factors (tranche-level analysis). Chapter 6 - Risk Retention in the European Securitization Market
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