Significant Risk Transfer (SRT) Chronicles 2024

The bank balance sheet securitisation market has enjoyed significant growth over the past five years and looks set to continue apace on the back of clearer regulation, an increasing number of banks having acquired the technology and economic incentives for banks to free up risk-weighted assets (‘RWA’) rather than raising capital. In this article, we will use significant risk transfer (‘SRT’) – which is the EU regulatory terminology – to denote these securitisations, which are also referred to as balance sheet CLOs, bank risk-sharing transactions or ‘reg cap’ trades.