Core ABF Structures
Definition

Titulización Sintética / TSR

Estructura de alivio de capital mediante la cual un banco transfiere el riesgo de crédito de una cartera de referencia a través de instrumentos de protección (CLN o CDS) sin vender los activos. Los activos permanecen en el balance del banco; solo se transfiere el riesgo de crédito; regulado en la UE por los artículos 26a–26e del Reglamento de Titulización.

Deep Dives

Synthetic Risk Transfer (SRT)

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.

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%).

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.

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.

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