Barclays

We can confirm that the proposals would not impact SRT achievement for our existing trades as the junior tranches are of sufficient thickness to meet the new proposed tests.

However, we would like to reiterate the AFME/IACPM joint Associations’ response on this matter that the SRT test should consider the total amount of losses transferred to investors through first loss and mezzanine tranches rather than being fixated on specific thickness of each tranche. This is because, as illustrated in the Joint Associations’ response, the proposed tests would result in different SRT outcomes for transactions having different sizes of first loss and/or mezzanine tranches, even if the same amount of risk is transferred in total to the investors through sale of these tranches. This is a deficiency in the current rules as well as the new proposed SRT tests.
Samad Sayyed
B