Syndicate Portfolio Structuring
CRR / BASEL IV
Market Presets
Portfolio Notional (USD)
$2,500,000,000
Mezzanine Tranche Sold (%)
8.0%
Underlying Pool Risk Weight (RW %)
75%
Investor Coupon Spread (bps)
650 bps (6.50%)
Baseline Default Probability (bps)
180 bps (1.80%)
Macroeconomic Stress Multiplier
1.4x Stress
Simulates sovereign debt strain, corporate rating downgrades, and elevated recovery haircuts on the underlying asset pool.
CET1 Capital Relief (USD)
$187,500,000
Net Regulatory Capital Released
Annual Protection Cost
$13,000,000
Coupon paid to private debt funds
CET1 Ratio Improvement
+34.5 bps
Bank solvency enhancement
Stressed Expected Pool Loss
$63,000,000
Mezzanine absorbs: $13.0M
Synthetic Tranche Structure & Risk Retention (D3.js)
First Loss / Mezzanine / Senior
Tranche Loss Absorption Across Macro Shocks (1.0x to 3.0x)
Investor Principal Exposure