Basel Committee warns of rollover risks in SRT markets
Investors’ appetite for synthetic risk transfers could lessen during downturns, organisation says
Excessive reliance on synthetic risk transfers (SRTs) could induce rollover risk in times of stress, the Basel Committee on Banking Supervision has said.
The Basel Committee today (February 17) published a report on SRT markets across member jurisdictions as part of its efforts to investigate the links between banks and non-banks.
SRT transactions involve banks transferring the credit risk of a pool of assets to a counterparty – typically a non-bank – while the bank retains ownership of the
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