SRT and Capital Relief
Definition
Nota Vinculada al Crédito (CLN)
Derivado de crédito con financiación: el inversor paga efectivo por adelantado; el emisor paga un cupón; ante un evento de crédito, el inversor pierde principal. Estructura financiada frente a un CDS sin financiación; los CLN dominan las emisiones SRT (~85–90 %).
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.
Attachment Point
The loss level in the reference portfolio at which the protection seller (investor) begins to bear losses. EU SRT mezzanine: typically ~1–3% attachment point.
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.