EU securitisation rethink to boost mortgage-bearing SRTs?
Insurer participation and a lower risk weight could help make capital savings attractive to banks
A revamp of Europe’s securitisation market could entice banks into including residential mortgages in synthetic risk transfer trades – SRTs – by shifting minimum capital requirements for securitisations from fixed to variable levels.
“It would be much more efficient than it is now to securitise low-risk-weighted assets,” says Robert Bradbury, head of structured credit at consultancy firm Alvarez
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