SRT and Capital Relief
Definition
Punto de Anclaje (Attachment Point)
El nivel de pérdidas en la cartera de referencia a partir del cual el vendedor de protección (inversor) comienza a soportar pérdidas. En el tramo mezzanine de un SRT de la UE: típicamente ~1–3 % de punto de anclaje.
Deep Dives
Related Terms
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.
Detachment Point
The loss level at which the investor's tranche is fully exhausted. EU SRT mezzanine: typically ~7–9% detachment point; losses above fall to the bank's retained position.
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.