Constant Maturity Credit Default Swaps

The European Significant Risk Transfer Securitisation Market

“…SRT was introduced into the EU regulatory framework in 2006 2 following the Basel II agreement. The global SRT market is in fact predominantly European, with some analysts putting the share as high as 85% of the total (see Renault, 2021). This has been supported by the introduction of harmonised supervision in Europe, with the creation of the SSM in 2014 to supervise significant European banks and the clarification of criteria by the European Banking Authority (EBA) on what constitutes "significant risk transfer" (see EBA Discussion Paper on SRT EBA, 2017 and the EBA Report on SRT, 2020).…”