Output Floor

The CRR3/Basel IV requirement that IRB model-derived RWAs cannot fall below 72.5% of standardised RWAs (phasing 2025–2027). Limits capital relief achievable via internal model-based SRT.

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.

p-factor

Multiplier in the SEC-SA method for retained securitisation positions. p=1.0 for non-STS; p=0.5 for STS. Lower p-factor halves the capital charge — key incentive to obtain STS designation.

STS (Simple, Transparent, Standardised)

EU designation under SR Articles 19–26 for traditional securitisations meeting specified quality criteria, conferring preferential capital treatment. Must be notified to ESMA via portal (traditional) or email STSnotifications@esma.europa.eu (synthetic).