Glossary

ABCP — Asset-Backed Commercial Paper. Short-term debt instruments (maximum tenor one year) issued by an SSPE in an ABCP programme, backed by trade receivables, leasing receivables, car loans, credit-card receivables or similar short-dated exposures, and typically supported by a sponsor bank liquidity line.

ABS — Asset-Backed Securities. The debt instruments issued by an SSPE in a securitisation, repayment of which is linked to the cash flows of a defined pool of exposures.

ARD — Anticipated Repayment Date. The date by which a securitised loan or note is expected, but not legally required, to be repaid; after it, step-up margins and cash sweeps push the borrower to refinance. Common in data-centre ABS. See CMBS · Data centres.

Article 244 CRR — The provision governing Significant Risk Transfer (SRT) in a traditional (true-sale) securitisation.

Article 245 CRR — The provision governing SRT in a synthetic securitisation.

Article 246 CRR — Additional operational requirements for securitisations of revolving exposures (e.g. credit-card receivables), reflecting the possibility that risk may revert to the originator.

Article 252 CRR — The no-worse-than capital floor: a securitisation cannot produce a lower capital requirement for the originator than applies to the underlying exposures absent the securitisation.

Article 270 CRR — Preferential risk-weight treatment for the retained senior tranche of STS securitisations (including balance-sheet synthetic STS under Articles 26a–26e of the Securitisation Regulation).

Back leverage — Debt on debt. A non-bank lender (typically a CRE debt fund) borrows from a bank or another non-bank on the security of the real-estate loans it has itself originated. Principal structures are loan-on-loan (LMA-style) and GMRA-based repo. See Back Leverage.

Basel 3.1 (“Endgame”) — The final phase of the Basel III reforms agreed after the 2007–08 crisis. Implemented as CRR3 / CRD VI in the EU (in force 1 January 2025, with FRTB and output-floor transitions); as PS1/26 in the UK (applying from 1 January 2027); not yet finalised in the US. See Regulatory.

CFO — Collateralised Fund Obligation. A securitisation of LP interests in one or more private funds, issuing tranched, rated notes to institutional investors. Cousin of the CLO but on fund stakes rather than loans. See CFO.

CLN — Credit-Linked Note. A funded credit-protection instrument used in synthetic securitisations: the investor pays cash up-front, receives protection premiums, and bears loss through a reduction in the principal repayable at maturity on the occurrence of specified credit events.

CMBS — Commercial Mortgage-Backed Securities. Cash securitisation in which one or more commercial real-estate loans are transferred into an SSPE that issues rated, tranched notes. See CMBS.

Collateralisation agreement — The Securitisation Regulation's term for the credit-protection agreement in a synthetic securitisation under which the originator pays a protection premium and the protection provider undertakes to make a compensation payment on specified credit events.

Collins Amendment — Section 171 of the Dodd-Frank Act (12 U.S.C. § 5371), the enabling provision for the US bank capital rules. See SRT under US bank capital rules.

Compensation payment — The payment made by the protection provider to the originator in a synthetic securitisation on the occurrence of a specified credit event.

CRR / CRR3 — Capital Requirements Regulation (Regulation (EU) 575/2013); CRR3 is the amendment package enacted as Regulation (EU) 2024/1623 (OJ 19 June 2024).

CRD VI — Capital Requirements Directive VI, the companion directive to CRR3.

Debt yield — Net operating income divided by the outstanding loan amount. Unlike LTV it does not depend on a valuation, which makes it the preferred refinancing-risk metric in CMBS surveillance. See CMBS · Refinancing.

DNSH — Do No Significant Harm. The taxonomy criterion requiring that an activity does not significantly harm any of the other environmental objectives.

EBA — European Banking Authority. Author of the EBA Guidelines on SRT assessment (final, 2024, effective 2025) and numerous Level 2 / Level 3 measures under the Securitisation Regulation.

ECB / SSM — European Central Bank / Single Supervisory Mechanism. The supervisor for significant institutions in the euro area and the source of much of the current practice on SRT assessment.

EIOPA — European Insurance and Occupational Pensions Authority.

ESMA — European Securities and Markets Authority. Maintains the STS register and authorises securitisation repositories under the Securitisation Regulation.

FRTB — Fundamental Review of the Trading Book. The market-risk component of the Basel 3.1 package; in the EU postponed to 1 January 2027.

Fund finance — Secured credit facilities extended to private-markets funds themselves. Principal variants are subscription (capital-call) lines, NAV facilities and hybrids. See Fund Finance.

GMRA — Global Master Repurchase Agreement. The standard ICMA / SIFMA master agreement for repo transactions; in CRE structured credit used as a title-transfer alternative to loan-on-loan back leverage.

GRT — Genuine Risk Transfer. Supervisory shorthand (ECB SSM) for the commensurate-transfer assessment under Article 244(2) / 245(2) CRR and the EBA Guidelines. See SRT tests.

Homogeneity — The requirement that the underlying exposures in an STS securitisation fall within a single asset category and are serviced by fixed periodic cash flows. Specified by RTS under Article 20(14) Securitisation Regulation.

IFRS 9 — International Financial Reporting Standard 9 on financial instruments. Its derecognition test must align with the regulatory SRT analysis in traditional securitisations; the SPPI test drives the classification of the retained positions.

Implicit support — Any originator support to a securitisation that goes beyond the contractual obligation. Prohibited under Article 250 CRR; its presence vitiates any SRT recognition and triggers originator-wide supervisory review.

IRB — Internal Ratings-Based approach to credit risk capital under CRR. The Basel 3.1 output floor caps IRB RWAs at 72.5% of the standardised calculation.

KrZwMG — Kreditzweitmarktförderungsgesetz. German statute in force since 30 December 2023 implementing the Credit Servicers Directive (Directive (EU) 2021/2167). Catches true-sale NPL transfers, not synthetic ones; loans originated by credit funds fall outside it. See Other bespoke structures.

Level 2B HQLA — The lowest tier of high-quality liquid assets recognised in the liquidity coverage ratio. Under the CRR amendments in trilogue, securitisation positions of credit quality steps 1 to 7 are to become eligible, with the haircut falling from 35% to 25%.

Loan-on-loan — The dominant back-leverage structure: a term or revolving loan secured over eligible underlying receivables via an assignment-by-way-of-security and (where required) an English-law deed-of-charge.

LTV — Loan-to-Value. The ratio of outstanding debt to the market value of the underlying real estate (or, in a back-leverage context, to the market value of the underlying receivables on a look-through basis).

MtM — Mark-to-Market. Valuation at prevailing market prices. The “V” in LTV in GMRA-based back leverage and the reference point for MtM triggers in synthetic securitisations.

NAV facility — Fund-level credit facility secured against the net asset value of the fund's portfolio rather than against uncalled LP commitments. See Fund Finance · NAV.

NPE securitisation — Non-Performing Exposure securitisation. A traditional securitisation backed by a pool of non-performing exposures (defined by reference to Article 178 CRR and the applicable accounting framework). Subject to a modified risk-retention calculation based on net (rather than nominal) value.

Operating advisor / controlling class — Post-closing control and diligence mechanics in a CMBS that allocate consent rights over servicing actions to the holder of the junior-most tranche not subject to an appraisal reduction.

Originator — Under the Securitisation Regulation, the entity that sells or transfers the exposures to the SSPE (in a traditional securitisation) or retains them while transferring credit risk (in a synthetic securitisation). One of four entities eligible to hold the 5% risk retention.

Output floor — The CRR3 mechanism that caps IRB RWAs at 72.5% of the standardised calculation. In the EU the transitional path runs to 2032. A primary driver of the Basel-era re-engineering of CRE balance sheets.

p-factor — The supervisory add-on factor in the SEC-SA and SEC-IRBA capital formulae. Proposed values are 0.3 and 0.5 for STS positions and 0.6 and 1 for non-STS — some of them above the transitional treatment of Article 465(13) CRR.

Pillar Two — The OECD global minimum tax, implemented in Germany by the Mindeststeuergesetz. Applies from EUR 750 m consolidated turnover at a 15% minimum rate and computes on consolidated accounting income — which is how a securitisation SPV can be drawn in. See Pillar Two.

PRA — Prudential Regulation Authority. The UK bank and insurance prudential regulator; author of PS1/26 on Basel 3.1 implementation.

Protection buyer / Protection seller — The originator and the SSPE (or direct counter-party), respectively, in a synthetic securitisation.

PS1/26 — PRA Policy Statement 1/26 on the implementation of Basel 3.1 in the UK. Final rules; main capital regime applies from 1 January 2027, with transitional provisions to end-2029.

Reference asset / Reference portfolio — In a synthetic securitisation, the exposure (or pool of exposures) whose credit risk is transferred via the credit-protection agreement. The exposure itself remains on the originator's balance sheet.

Regulation Q — The Federal Reserve’s capital rules, 12 CFR Part 217; the US counterpart to the CRR. See SRT under US bank capital rules.

Repo — Repurchase transaction. A title-transfer-based financing under a GMRA; in CRE back leverage used as an alternative to a loan-on-loan structure, with cheaper bank RWA treatment but full MtM and margin-call mechanics.

Re-securitisation — A securitisation in which at least one of the underlying exposures is itself a securitisation position. Prohibited under Article 8 of the Securitisation Regulation save for narrowly defined restructuring contexts.

Reservation of authority — The power of a US supervisor to treat an otherwise recognised structure differently in an individual case. The Federal Reserve’s interpretation of 28 September 2023 on directly issued credit-linked notes was given subject to it.

Resilient securitisation — A category proposed below STS, with its own capital and liquidity treatment and a 2% concentration limit. Its granularity requirements largely exclude CLOs and leveraged-loan transactions. Parliament has proposed deleting it.

Retention / Risk retention — The 5% material net economic interest that the originator, sponsor, original lender or (in NPE transactions) servicer must hold in a securitisation on an ongoing basis under Article 6 of the Securitisation Regulation. Permitted forms include vertical, horizontal, random-selection and first-loss retention.

Securitisation position — The exposure to a securitisation (for an investor) or to a retained tranche (for the originator). The risk-weighted exposure amount for SRT purposes is determined by reference to the retained securitisation position, not to the underlying exposures.

Securitisation Regulation — Regulation (EU) 2017/2402, laying down a general framework for securitisation and creating the STS regime. In force since 1 January 2019; amended by the Capital Markets Recovery Package (February 2021) to include balance-sheet synthetic STS and NPE securitisation.

SFDR — Sustainable Finance Disclosure Regulation (Regulation (EU) 2019/2088). Relevant for CRE structured credit where investor mandates require Article 8 / Article 9 classification or other sustainability disclosure.

SPPI test — Solely Payments of Principal and Interest. The IFRS 9 classification test for debt instruments; relevant for the accounting treatment of retained senior tranches.

SRT — Significant Risk Transfer. The regulatory outcome under Articles 244 and 245 CRR by which the originator of a securitisation (traditional or synthetic) may cease to hold regulatory capital against the underlying reference portfolio, holding capital instead against its retained securitisation position. SRT is an outcome, not a product; it is often used in market shorthand as a synonym for synthetic securitisation, but the two concepts should be kept distinct.

SSPE — Securitisation Special Purpose Entity. The insolvency-remote vehicle used in a traditional securitisation to separate the acquired exposures from the originator's assets.

STS — Simple, Transparent and Standardised. The Securitisation Regulation's quality label (Articles 19–26e). Unlocks the Article 243 CRR preferential risk-weight treatment under Articles 260, 262 and 264 CRR for compliant traditional securitisations and the Article 270 CRR treatment for compliant balance-sheet synthetic securitisations.

Subscription / capital-call facility — A fund-level revolver secured on the right to call uncalled LP commitments. The traditional form of fund finance.

Synthetic excess spread — A feature available in balance-sheet synthetic securitisations under Article 26e Securitisation Regulation: a fixed percentage of the outstanding balance committed by the originator at the start of each payment period to absorb credit losses, with unused amounts refunded to the originator.

Synthetic securitisation — A securitisation in which credit risk is transferred via a collateralisation (credit-protection) agreement without transfer of the underlying exposures. The product by which SRT is most commonly pursued in European CRE. See Synthetic Securitisation.

Taxonomy Regulation — Regulation (EU) 2020/852, as supplemented by Commission Delegated Regulation (EU) 2021/2139. Determines when a real-estate activity is taxonomy-eligible and taxonomy-aligned.

Third-party verifier (TPV) — A supervised third party whose verification an investor may rely on in repeat transactions; to be placed under continuing supervision under Article 28(1) of the amended Securitisation Regulation.

Traditional securitisation — A securitisation in which the originator transfers the exposures to an SSPE through a legally effective and insolvency-proof sale (true sale). The main CRE example is CMBS.

Tranche — A contractually defined segment of the credit risk associated with an exposure or pool of exposures. Ranking between tranches determines the sequence of losses.

True sale — The legally effective, insolvency-proof transfer of exposures from the originator to the SSPE in a traditional securitisation. Confirmed by an external legal opinion under Article 244(5)(c) CRR.

UCITS single-issuer limit — The concentration cap on a UCITS fund’s exposure to a single issuer, currently 10%. Figures between 15% and 70% have been proposed for securitisation positions; the numbers in circulation do not yet reconcile.

Unfunded credit protection — Protection given without cash collateral, in practice by insurers or highly rated counterparties. The eligibility threshold agreed in the trilogue of 13 July 2026 moved from EUR 15 bn to EUR 10 bn of protection-seller assets.

WANM — Weighted-Average Note Margin. The margin over SONIA or Euribor across all notes of a CMBS, weighted by tranche size; the standard pricing yardstick for comparing transactions. See CMBS · Market snapshot.

Warehouse facility — A revolving facility used by a sponsor to accumulate assets (typically CRE loans) for subsequent securitisation or distribution. Increasingly used with an embedded SRT layer — see Other Structures.

Last reviewed: 2 October 2026. Based in part on T. Prüm, Die europäische Verbriefungsverordnung, WM 2024, 1739–1749. For primary sources, see Resources.