SRT and Capital Relief
Definition
Titre lié au crédit (CLN)
Dérivé de crédit financé : l'investisseur verse des fonds en amont ; l'émetteur verse un coupon ; en cas d'événement de crédit, l'investisseur perd du principal. Structure financée vs CDS non financé ; les CLN dominent les émissions 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.