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.

Risk Retention (5% Rule)

EU SR Article 6 / UK SR requirement: originator, sponsor, or original lender must retain ≥5% material net economic interest. Can be: (a) vertical slice; (b) random sample; (c) first-loss tranche; (d) first-loss in each tranche; (e) seller's interest in revolving structures.

Over-Collateralisation (OC)

The excess of asset principal over the face value of issued notes; expressed as OC ratio = asset balance / note balance. Example: $110M assets backing $100M notes = 110% OC ratio = 10% OC amount.