回收风险：综合风险转移

Recycling Risk: SyntheticRisk Transfers Fabio Cortes, Gonzalo Fernandez Dionis, Yiran Li,Silvia L. Ramirez, and Xiaoxiao Zhang WP/25/200 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025OCT IMF Working Paper Monetary and Capital Markets Recycling Risk: Synthetic Risk TransfersPrepared byFabio Cortes, Gonzalo Fernandez Dionis, Yiran Li, Silvia L. Ramirez, and Xiaoxiao Zhang Authorized for distribution byJason WuOctober 2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT This paper analyzes the rapid growth and evolving landscape of synthetic risk transfers (SRTs), a securitizationtool increasingly used by banks to manage credit risk and optimize capital. Since 2016, over $1 trillion in assetshave been synthetically securitized, with recent expansion driven by U.S. banks alongside established Europeanissuers. SRTs enable banks to transfer credit risk on diverse loan pools to investors, facilitating capital relief andsupporting additional lending. The paper reviews market trends, common SRT structures, and regulatoryframeworks across major jurisdictions. We find that SRTs offer benefits such as enhanced risk management andcapital efficiency, and that strengthened prudential requirements and a relatively small SRT market have, fornow, contained financial stability risks. However, the rapid growth of SRTs and certain transaction complexitiescan increase vulnerabilities, including higher leverage in the financial system and exposure to rollover risks. Theentry of risk-tolerant investors seeking compelling returns may also weaken credit standards or increaseleverage. The paper highlights the importance of close supervisory monitoring, robust reporting, and disclosureto ensure risks are effectively transferred, financial system leverage is contained, and market discipline ismaintained as the SRT market continues to expand. RECOMMENDED CITATION:Fabio Cortes, Gonzalo Fernandez Dionis, Yiran Li, Silvia L. Ramirez, andXiaoxiao Zhang(2025) “Recycling Risk: Synthetic Risk Transfers.” IMF Working Papers WP/25/200 Recycling Risk: Synthetic RiskTransfers Prepared byFabio Cortes, Gonzalo Fernandez Dionis, Yiran Li, Silvia L.Ramirez, and Xiaoxiao Zhang1 Contents ABBREVIATIONS_________________________________________________________________________________3 I.SYNTHETIC CREDIT RISK TRANSFERS: MARKET TRENDS AND STRUCTURES____________6Market Trends_________________________________________________________________6Structures_____________________________________________________________________8 II.REGULATORY FRAMEWORK AND CAPITAL RELIEF_______________________________________14Regulatory Requirements________________________________________________________14Estimating Capital Relief and Loss Buffer Benefits from SRT Structures___________________15 III.BENEFITS AND RISKS OF SRTS_____________________________________________________________17Benefits of SRTs______________________________________________________________17Vulnerabilities and Risks________________________________________________________17 IV.MEASURES TO MITIGATE POTENTIAL RISKS______________________________________________22 APPENDIX2:REGULATORY TREATMENT OF SRTSACROSS JURISDICTIONS_______________25 APPENDIX 3. SRTS AND HEDGE FUNDS VULNERABILITIES__________________________________27 REFERENCES_____________________________________________________________________________________29 Figure 1.SRT Activity Has Been Strong Over the Past Years__________________________________________________________6Figure 2. Activity in North America is Reaching European Levels_______________________________________________________7Figure 3. Most Used SRT Structures________________________________________________________________________________8Figure 1.1.1. Hypothetical Example of SRT Process for a Bank________________________________________________________11Figure 1.2.1 SRT vs. CLO BB-rated_______________________________________________________________________________12Figure 4. Hedge Fund Interconnectedness_________________________________________________________________________19Figure 5. Characteristics of Underlying Loans_______________________________________________________________________21Figure A.1. Europe vs. North America SRT in 2023__________________________________________________________________24Figure A.3. Hedge Fund Leverage and Liquidity Mismatches__________________________________________________________27 TABLES Table 1. Economics of different SRT Issuances___________