Significant Risk Transfer (SRT)

A securitisation or synthetic structure where a bank transfers a material portion of credit risk of a reference portfolio, satisfying regulatory tests that allow reduction of regulatory capital. EU test: quantitative (RWA ratio) or qualitative; EBA Guidelines (July 2023) govern assessment.

Excess Spread

The difference between interest received on the asset pool and interest paid on issued notes plus fees. The first line of defence absorbing losses; captured in the spread account before OC tests apply.

First-Loss Tranche

The most junior tranche; absorbs losses first. Banks typically retain 0.5–1.5% of portfolio as first-loss in EU SRT. Risk retention requirement (5%) often satisfied by this piece.

CRR3

EU regulation (2024/1623) implementing Basel IV in the EU, effective January 1, 2025. Introduces output floor phasing to 72.5% of standardised RWAs by January 2027. Materially affects SRT economics and bank capital models.