SRT and Capital Relief
Definition
Point de détachement (Detachment Point)
Le niveau de pertes auquel la tranche de l'investisseur est entièrement épuisée. Pour la tranche mezzanine SRT UE : typiquement ~7–9 % de point de détachement ; les pertes au-delà incombent à la position conservée par la banque.
Deep Dives
Related Terms
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.
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.
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.