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Category: Capital Relief Trades ABS

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SRT issuers mull dropping synthetic excess spread

The requirement to fully capitalise synthetic excess spread is expected to result in SRT issuers dropping the feature from their transactions. This CRT Premium Content article weighs the relative benefits of synthetic securitisations versus those of full-stack cash deals, in which originators can use excess spread.

The EBA and the European Commission’s decision last year to fully capitalise synthetic excess spread will likely force banks to drop the feature from significant risk transfer transactions going forward (SCI

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