Core ABF Structures
Definition

Titrisation synthétique / TSR

Structure de libération de fonds propres par laquelle une banque transfère le risque de crédit d'un portefeuille de référence via des instruments de protection (CLN ou CDS) sans céder les actifs. Les actifs restent au bilan de la banque ; seul le risque de crédit est transféré ; réglementé dans l'UE par les articles 26a–26e du Règlement titrisation.

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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