srt_type

Indicates whether a significant transfer has been achieved and, if so, under which CRR article. The achievement of SRT will determine the appropriate solvency treatment by the originator.

See: Articles 244-245 of the CRR on Significant Risk Transfer

art_244_1b

Applying a 1 250 % RW or deducting retained positions in accordance with Article 244(1), point (b):

the originator institution applies a 1 250 % risk weight to all securitisation positions it holds in the securitisation or deducts these securitisation positions from Common Equity Tier 1 items in accordance with point (k) of Article 36(1).

art_244_2a

Achieved SRT under Article 244(2), point (a):

the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator institution in the securitisation do not exceed 50 % of the risk-weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;

art_244_2b

Achieved SRT under Article 244(2), point (b):

the originator institution does not hold more than 20 % of the exposure value of the first loss tranche in the securitisation, provided that both of the following conditions are met:

art_244_3a

Achieved SRT under Article 244(3), point (a):

the institution has adequate internal risk management policies and methodologies to assess the transfer of credit risk;

art_245_1b

Applying a 1 250 % RW or deducting retained positions in accordance with Article 245(1) point(b):

the originator institution applies a 1 250 % risk weight to all securitisation positions that it retains in the securitisation or deducts these securitisation positions from Common Equity Tier 1 items in accordance with point (k) of Article 36(1).

art_245_2a

Achieved SRT under Article 245(2), point (a):

the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator institution in the securitisation do not exceed 50 % of the risk-weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;

art_245_2b

Achieved SRT under Article Article 245(2), point (b):

the originator institution does not hold more than 20 % of the exposure value of the first loss tranche in the securitisation, provided that both of the following conditions are met:

art_245_3a

Achieved SRT under Article 245(3), point (a):

the institution has adequate internal risk-management policies and methodologies to assess the transfer of risk;