Intelligence Guide
A complete reference for how SRT Intelligence works — from regulatory concepts to scoring logic to data sources. Use the contents panel to jump to any section.
What is an SRT Transaction?
The regulatory context and economic rationale behind Significant Risk Transfer
A Significant Risk Transfer (SRT) is a synthetic securitisation where a bank transfers the credit risk of a loan portfolio to external investors without selling the underlying loans. The bank keeps the loans on its balance sheet — it only moves the risk (and the corresponding capital requirement) off its books.
Banks operate under Basel III/IV capital regulations, which require them to hold a minimum amount of Common Equity Tier 1 (CET1) capital relative to their Risk-Weighted Assets (RWA). The regulatory floor is 8% CET1, but banks typically target 12%+ to maintain a buffer above stress test thresholds and to satisfy rating agencies. When a bank grows its loan book rapidly, or when regulators increase risk weights (as Basel IV is doing), the capital requirement grows — potentially squeezing the CET1 ratio below comfortable levels.
What is CET1?
CET1 Ratio = CET1 Capital ÷ Risk-Weighted Assets. CET1 Capital is the highest-quality capital: ordinary shares, retained earnings, disclosed reserves. Risk-Weighted Assets are total loans and exposures adjusted by their riskiness — a $1B government bond might carry 0% risk weight ($0 RWA) while a $1B corporate loan might carry 100% risk weight ($1B RWA). A bank with $12B CET1 and $100B RWA has a CET1 ratio of 12%.
How an SRT transaction works
credit risk only
funds position
SRT is not a bail-out or a sign of weakness — it is a sophisticated capital management tool used by the world's most sophisticated banks (HSBC, BNP Paribas, Santander, Deutsche Bank) to optimise their capital stack. The investor, not the bank, bears the first-loss risk.
Data Sources
Where the bank metrics come from and how they are ingested
The FDIC (Federal Deposit Insurance Corporation) requires every insured US depository institution to file a quarterly “Call Report” (FFIEC 031/041) within 30 days of quarter-end. These reports contain hundreds of balance sheet fields.
The FDIC exposes this data via a free public API at banks.data.fdic.gov/api. We fetch 8 quarters of history for each bank on the daily cron run, transforming raw field codes into the metrics our scoring engine consumes.
| FDIC Field | What it measures | SRT relevance |
|---|---|---|
| RBCT1J | CET1 Capital ($M) | Numerator of CET1 ratio — primary capital adequacy measure |
| RBCRWAJ | Risk-Weighted Assets ($M) | Denominator of CET1 ratio and proxy for potential deal size |
| LNLSNET | Net Loans & Leases ($M) | Total loan book size; used to calculate YoY loan growth |
| LNCRCD | CRE Loans ($M) | Commercial real estate concentration — key SRT asset class |
| LNCONRD | Consumer Loans ($M) | Consumer concentration signal |
| LNCI | C&I Loans ($M) | Commercial & industrial / SME concentration signal |
| RBCT2 | Tier 2 Capital ($M) | Secondary capital layer; used to compute leverage ratio |
| ASSET | Total Assets ($M) | Bank size classification for size-adjustment penalty/bonus |
Under Basel III, banks must publish Pillar 3 disclosures — detailed capital and risk reports that include CET1 ratios, RWA breakdowns, and loan portfolio composition. European banks publish these semi-annually (many quarterly).
The ECB (Single Supervisory Mechanism) oversees significant Eurozone institutions; the EBA sets harmonised templates across all 27 EU states. UK banks report under PRA guidance.
European banks dominate the global SRT market at 60–70% of annual issuance. Key reasons: the ECB actively endorses SRT as a capital tool, Basel IV's output floor is creating fresh RWA pressure, and European investors have decades of SRT experience.
Data ingestion method
European bank metrics are seeded from manually curated Pillar 3 data. The scoring engine processes them identically to FDIC data. When discrepancies arise between Pillar 3 fields and FDIC field definitions, we apply conservative adjustments documented in the ingestion route.
Why Europe first? The SRT market was pioneered by European banks in the early 2000s. Santander, BNP Paribas, BBVA, and ING have each done 20+ transactions. US banks are newer entrants — JPMorgan and BofA began doing SRT only after the Fed's 2023 capital proposal raised the prospect of Basel IV-style RWA increases.
The Scoring Model
A composite 0–100 SRT likelihood score built from four weighted signal categories plus adjustments
Score composition
Adjustments include: size penalty/bonus (−15 / +10 / −5 based on total assets), CET1 >14% penalty (−10), and Europe regional bonus (+5). Score is hard-capped at 100.
The most heavily weighted signal. Capital pressure measures how urgently a bank needs to reduce its risk-weighted assets.
Below 9%: 15 pts · Below 10%: 11 pts · Below 11%: 7 pts · Below 12%: 4 pts · 12%+: 0 pts
Linear scale. CET1 at 8% (regulatory minimum) = 10 pts. CET1 at 12% = 0 pts. Formula: ((12 − CET1) ÷ 4) × 10
2+ consecutive quarterly declines: 15 pts · 1 quarter decline: 7 pts · Stable or improving: 0 pts. Trend detection requires 3 quarters of data.
Worked example
A bank with CET1 at 10.5% (declining for two quarters): Level = 7 pts, Distance = 3.75 pts, Trend = 15 pts → Capital Pressure = 25.75 pts
Size Adjustment
Asset size is used as a proxy for capital urgency. Very large banks have deep capital buffers and multiple RWA management levers beyond SRT. Very small banks typically cannot access the SRT market at all — investor appetite requires deal sizes of at least $300–500M. Mid-size banks in the $50B–$500B total assets range are the sweet spot.
Massive capital buffers. Multiple capital tools available. SRT less urgent.
Ideal SRT candidate band. Loan portfolios large enough for economical deals.
Portfolios typically too small for the fixed costs of an SRT transaction.
Implementation note: Size is estimated from rwa_total using a 2.5× multiplier (RWA ≈ 40% of total assets for a typical bank). Thresholds: RWA > $200B = large; RWA $20B–$200B = mid; RWA < $20B = small.
Interactive Score Simulator
Adjust the sliders to see how CET1 ratio and loan growth affect the partial score estimate. This simulator covers Capital Pressure and Loan Book Growth signals — Historical SRT, RWA growth, concentration, and trend signals are not included.
Excludes: CET1 trend, RWA QoQ growth, concentration, historical SRT, and size adjustments. Real bank scores include all signals.
Key Terms Glossary
Plain-English definitions for every term used in the SRT Intelligence platform
Common Equity Tier 1 capital divided by Risk-Weighted Assets. The most stringent measure of a bank's capital adequacy — CET1 capital is common shares, retained earnings, and disclosed reserves. Regulators require a minimum of 4.5% (Basel III) but banks typically target 12%+ to maintain a buffer above stress test thresholds.
Why it matters for SRT: The primary SRT trigger. When CET1 falls below 12% or is declining, the bank faces pressure to improve capital ratios. SRT reduces RWA (the denominator), directly improving CET1 without raising new equity.
Total assets adjusted by risk weight. A $1B corporate loan might carry 100% risk weight ($1B RWA), while a $1B mortgage might carry 35% risk weight ($350M RWA). Banks with higher-risk loan books have higher RWA relative to total assets.
Why it matters for SRT: SRT transactions reduce the bank's reported RWA for the transferred portfolio by shifting the credit risk to an external investor. Lower RWA improves the CET1 ratio without raising capital.
The third edition of the Basel Accords, finalized after the 2008 financial crisis. It raised minimum CET1 requirements to 4.5%, introduced a capital conservation buffer (2.5%), a leverage ratio requirement, and liquidity coverage ratios (LCR, NSFR).
Why it matters for SRT: Basel III's stricter capital requirements created the modern SRT market. Banks needed capital relief tools that didn't require selling loans, and SRT — transferring risk without transferring assets — fit perfectly.
The final phase of Basel III reforms (often called Basel IV despite the official name). Key changes include the output floor (banks using internal models must calculate RWA at least 72.5% of standardized approach), revised credit risk framework, and operational risk changes. Full implementation in the EU by 2025–2030.
Why it matters for SRT: Basel IV's output floor is a major SRT catalyst for European banks that use internal models. As the floor phases in, their reported RWA will increase, worsening CET1 ratios and creating fresh demand for SRT transactions.
One of the three pillars of the Basel framework. Pillar 1 sets minimum capital requirements; Pillar 2 covers supervisory review; Pillar 3 requires banks to publicly disclose capital structure, risk exposures, and risk management practices to promote market discipline.
Why it matters for SRT: Pillar 3 reports are how we source European bank data. They are published semi-annually and contain CET1 ratios, RWA breakdowns, and loan portfolio composition — exactly the fields needed for SRT scoring.
A regulatory concept describing a synthetic securitisation where the bank transfers a sufficient portion of the credit risk of a loan portfolio to external investors that the bank is no longer required to hold capital against that risk. The EBA and national regulators assess whether "significant" risk has been transferred.
Why it matters for SRT: The core instrument this platform is designed to source. An SRT transaction is confirmed (and capital relief granted) when the regulator verifies that the investor's first-loss position is large enough to absorb expected and unexpected losses.
An informal synonym for an SRT transaction. Emphasises the bank's motivation: obtaining regulatory capital relief rather than funding or liquidity. The bank retains the loans on its balance sheet; only the credit risk (and capital obligation) is transferred.
Why it matters for SRT: "Capital relief trade" and "SRT" are used interchangeably in the market. When you see either term in news headlines, the scoring news monitor flags it for the deal database.
The subordinate tranche of an SRT structure that absorbs the first portion of credit losses from the reference portfolio. Typically sized at 5–15% of the portfolio notional. The investor in this tranche takes the highest risk and earns the highest return.
Why it matters for SRT: The investor (e.g., Magnetar) typically takes the first-loss piece. If losses exceed this attachment point, they are absorbed by the senior tranche (which the bank usually retains). The size of the first-loss piece determines whether the SRT test is passed.
The most senior, lowest-risk tranche in an SRT structure. It only absorbs losses after the first-loss tranche is exhausted. Banks typically retain the senior tranche on their balance sheet. Because it sits above the first-loss piece, its capital treatment is significantly lighter.
Why it matters for SRT: The bank retaining the senior tranche is standard in SRT — the retained note still benefits from regulatory capital relief because the first-loss investor absorbs most of the expected losses.
A bilateral financial contract where the protection buyer pays a periodic premium to the protection seller, who agrees to compensate the buyer if a specified credit event (default, restructuring) occurs on a reference obligation. Used extensively in synthetic SRT structures.
Why it matters for SRT: SRT transactions can be structured as either (1) CLN (credit-linked notes) — where the investor funds the position upfront — or (2) unfunded CDS — where the bank buys protection via a swap. CLN structures are more common because they fully collateralise the first-loss exposure.
Tier 1 capital divided by total exposure (total assets plus off-balance-sheet items). A non-risk-sensitive measure that acts as a backstop to RWA-based ratios. Basel III requires a minimum 3% leverage ratio for all banks; G-SIBs face higher requirements.
Why it matters for SRT: Unlike CET1, the leverage ratio is NOT improved by SRT transactions (since the loans stay on the balance sheet). Banks constrained by leverage ratio rather than CET1 are less likely SRT candidates.
A risk metric used for secured lending, primarily mortgages and CRE. Calculated as loan amount ÷ collateral value. High LTV (>80%) means the loan is lightly secured; low LTV (<60%) means substantial collateral coverage.
Why it matters for SRT: High-LTV CRE or mortgage portfolios attract higher RWA risk weights under Basel standards. Banks with high-LTV CRE concentrations often explore SRT to reduce the capital burden of that specific book.
Dodd-Frank Act Stress Test. Annual exercise conducted by the Federal Reserve requiring large US bank holding companies (assets >$100B) to demonstrate they can withstand a "severely adverse" economic scenario. Results affect regulatory capital planning.
Why it matters for SRT: Banks that perform poorly in DFAST or anticipate difficult results sometimes pre-emptively do SRT transactions to improve their stressed CET1 ratio before results are published. Upcoming DFAST cycles can be a timing signal.
European Central Bank. The central bank for the Eurozone, responsible for monetary policy and (via the Single Supervisory Mechanism, SSM) the prudential supervision of significant European banks.
Why it matters for SRT: The ECB approves SRT transactions for Eurozone banks it supervises. The ECB has been broadly supportive of SRT as a capital management tool, contributing to Europe's dominance of the global SRT market.
European Banking Authority. An independent EU agency that sets regulatory standards, guidelines, and stress tests for the entire EU banking system (including non-Eurozone countries). The EBA's SRT guidelines define what constitutes "significant" risk transfer.
Why it matters for SRT: The EBA's 2021 SRT guidelines and subsequent Q&A provide the detailed framework that European banks must follow to obtain capital relief. Their clarity on first-loss sizing and risk retention has standardised the European SRT market.
Federal Deposit Insurance Corporation. The US federal agency that insures bank deposits, supervises state-chartered banks not in the Federal Reserve system, and manages failed bank resolutions. The FDIC collects quarterly Call Reports from all insured depository institutions.
Why it matters for SRT: The FDIC Call Reports API is our primary data source for the 24 US banks in the universe. The data is free, public, and updated quarterly — providing a consistent view of capital ratios, RWA, and loan composition.
The FFIEC 031/041 report that every FDIC-insured bank must file quarterly (within 30 days of quarter-end). It contains hundreds of balance sheet and income statement fields. The FDIC makes this data available via a public API.
Why it matters for SRT: Call Reports are the backbone of US bank monitoring on this platform. They are filed quarterly, which means our scoring data has a built-in 1–2 month lag between quarter-end and data availability.
A leveraged loan with fewer or no financial maintenance covenants (e.g., no leverage ratio test). Covenant-lite loans require less active monitoring and give borrowers more flexibility, but provide less early warning of deterioration.
Why it matters for SRT: Covenant-lite leveraged loan portfolios are a common SRT asset class. Without covenants triggering events of default, the bank cannot reprice or exit early — making capital relief via SRT more attractive than waiting for organic portfolio rundown.
In securitisation, the priority ordering of cash flows and loss allocation among different tranches. Interest and principal flow down the waterfall to senior holders first; losses are allocated upward from the most junior (first-loss) tranche.
Why it matters for SRT: Understanding the waterfall is essential for sizing SRT deals. The attachment point (where the first-loss tranche ends) and detachment point (where it begins) determine how much capital relief the bank receives and what yield the investor earns.
The additional yield an investor demands for holding an asset that cannot be easily sold or traded, relative to a liquid benchmark. SRT notes are highly illiquid — there is no secondary market — so investors demand a substantial premium over equivalent-risk liquid instruments.
Why it matters for SRT: The illiquidity premium is a key attraction of SRT for alternative credit investors like Magnetar. SRT first-loss notes typically yield 15–25%+ IRR — far above liquid alternatives — precisely because they are bespoke, unrated, and non-tradeable.
How to Use This Tool
A step-by-step workflow from dashboard to outreach
Start at the Dashboard
The dashboard shows all 52 banks ranked by SRT likelihood score. Stat cards at the top show how many banks are flagged as high-priority (score ≥70), the average score, and average CET1. The latest deals feed on the right shows recent SRT announcements.
If scores all show "—", click "Run Scoring" on the candidates table. The scoring engine needs to be run once after ingestion before scores appear.
Filter by Europe for Highest Activity
Toggle the region filter to "Europe" on the candidates table. European banks account for 60–70% of annual SRT issuance. Filtering to Europe first gives you the highest-density universe of active issuers. BBVA, BNP Paribas, Santander, ING, and Deutsche Bank are historically the most frequent issuers.
Toggle back to "All" to see US banks alongside European ones — useful for identifying cross-regional patterns or for US-specific mandates.
Sort by Score Descending
Click the "SRT Score" column header to sort highest-first. Banks scoring above 50 are worth examining; above 70 are active candidates. The score reflects capital pressure, loan growth, SRT history, and macro context — it is a signal of urgency, not a prediction of execution.
Also look at the CET1 Trend column. A declining CET1 trend (↓ arrow) alongside a high score is a strong confirmation signal — the bank is under active pressure.
Click a High-Scoring Bank
Click the arrow icon on any bank row to open its full profile page. The profile shows 8 quarters of CET1 trend, RWA growth history, loan book composition, and the full score breakdown panel explaining exactly why the bank scored as it did.
Pay particular attention to the "Score Breakdown" panel on the right. It shows which signals are driving the score — a bank driven by CET1 trend signals is more urgent than one driven only by concentration.
Generate the AI Investment Memo
At the bottom of the bank profile page, click "Generate Analysis". Llama 3.3 70B will call four data tools (bank metrics, deal comps, regulatory context, score breakdown), then stream a structured investment memo covering: SRT thesis, most likely asset class, estimated deal size range, recommended outreach timing, and key risks.
Generation takes 10–30 seconds. The memo is not saved — copy it before navigating away. Click "Regenerate" to get a fresh analysis if the first run misses something.
Use the Memo to Inform Outreach
The AI memo gives you: the asset class most likely to be transferred (target your pitch to that book), an estimated deal size range (helps right-size investor capacity requirements), recommended timing (quarter when capital pressure peaks), and key risks (questions to investigate before the first call).
Cross-reference the memo with the Deals page — if this bank has done SRT before, the deal comps will show structure, size, and asset class from prior transactions. Prior deals in the same asset class are the strongest confirmation.