SRT and Capital Relief
Definition

Transferencia Significativa de Riesgo (SRT)

Estructura de titulización o sintética mediante la cual un banco transfiere una parte material del riesgo de crédito de una cartera de referencia, cumpliendo los requisitos regulatorios que permiten reducir el capital regulatorio. Prueba UE: cuantitativa (ratio de APR) o cualitativa; las directrices de la ABE (julio de 2023) rigen la evaluación.

Deep Dives

Synthetic Risk Transfer (SRT)

Related Terms

Credit-Linked Note (CLN)

A funded credit derivative: investor pays cash upfront; issuer pays a coupon; in a credit event, the investor loses principal. Funded structure vs unfunded CDS; CLNs dominate SRT issuance (~85–90%).

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.

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.

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