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Capital Relief Trades

Capital relief trades are deals put together by banks to sell on to investors to reduce the bank's regulatory capital requirements. Such deals can take many forms, but SCI focuses on those where synthetic or securitisation structures are utilised. Those deals can be broken down into the following broad categories (deals can be combinations of these categories): CDS - credit default swaps: in the capital relief trade context, this denotes deals that utilise such instruments to transfer credit risk. CLN - credit-linked note: in the capital relief trade context, this denotes the deal is structured as a note with an embedded credit derivative. Fin gtee - Financial guarantee: a means of structuring a capital relief trade, whereby the investors benefit from a guarantee that all the issuer's obligations will be met. Funded: where a capital relief trade is understood to have been structured using a credit derivative (CDS, CLN, synthetic CDO etc) with the protection seller making an initial payment. Unfunded: where a capital relief trade is understood to have been structured without an initial payment being made under the credit derivative (CDS, CLN, synthetic CDO etc). True sale: a capital relief trade based on a cash securitisation structure rather than a synthetic securitisation structure.


  • SCI Start the Week - 10 August

    A review of securitisation activity over the past seven days

    Last week's stories Asset-backed attenuation Stricter underwriting in auto, credit card and home...

    News    10 August 2020
  • Freddie STACRs them up

    New STACR deal was upsized and printed at the tight end across the capital structure

    Freddie Mac has confirmed that the B1 and B2 tranches of its $835m STACR REMIC 2020-HQA3 deal, print...

    News    4 August 2020
  • SCI Start the Week - 3 August

    A review of securitisation activity over the past seven days

    Last week's stories Blockchain boost DLT opportunity for ABS market CMBS concerns Tailored B...

    News    3 August 2020
  • CRT conveyor belt

    The second CRT deal from JPM marks a quickening of pace in the bank market

     JPM’s second CRT deal in the last nine months, priced two weeks ago, is expected...

    News Analysis    31 July 2020
  • Risk transfer round-up - 31 July

    CRT sector developments and deal news

    Caixabank is rumoured to be readying a capital relief trade backed by consumer loans for 2H20. The l...

    News    31 July 2020
  • Recovery vehicle

    European securitisation 'fixes' on the cards?

    The securitisation-related measures included in the European Commission’s capital markets...

    News Analysis    31 July 2020
  • STACR surge

    Freddie Mac galvanizes CRT re-opening with another STACR transaction

    Freddie Mac has printed its second post-lockdown STACR deal, three weeks after re-opening the CRT de...

    News    29 July 2020
  • SRT boost

    BMO launches capital relief trade

    Bank of Montreal (BMO) has completed a five-year financial guarantee that references US and Canadian...

    News    29 July 2020
  • SCI Start the Week - 27 July

    A review of securitisation activity over the past seven days

    Last week's stories Carrots and sticks 'Wide-ranging and ambitious' recommendations welcomed ...

    News    27 July 2020
  • 'Quick fix' for NPE, synthetic securitisation

    Sector developments and company hires

    ‘Quick fix’ for NPE, synthetic securitisation The European Commission has adopt...

    Market moves    24 July 2020
  • Issuance boost

    Full-stack SRTs unlocked

    BBVA and Santander have reopened the full-stack significant risk transfer market with the issuance o...

    News Analysis    24 July 2020
  • Qualitative approach?

    Covid complicating CRT analytical processes

    The Covid-19 fallout has complicated further the analytical process in connection with capital relie...

    News Analysis    24 July 2020
  • Second CLN references WaMu loans

    Sector developments and company hires

    Second CLN references WaMu loans JPMorgan is in the market with its second public synthetic RMBS, C...

    Market moves    21 July 2020
  • Carrots and sticks

    'Wide-ranging and ambitious' recommendations welcomed

    The recommendations put forward by the High Level Forum on Capital Markets Union (CMU) last month ha...

    News Analysis    21 July 2020
  • SCI Start the Week - 20 July

    A review of securitisation activity over the past seven days

    FREE - CRT modelling panel The next in SCI's series of capital relief trades virtual debates is bei...

    News    20 July 2020
  • Risk transfer round up - 15 July

    CRT sector developments and deal news

    Credit Agricole is rumoured to be readying a corporate capital relief trade that is expected to clos...

    News    15 July 2020
  • Risk transfer return

    Intesa debuts post-Covid Italian SRT

    Intesa Sanpaolo has returned to the synthetic securitisation market with a new transaction from its...

    News Analysis    15 July 2020
  • Fannie takes a step back

    As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules

    Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Fed...

    News Analysis    14 July 2020
  • ACIS activated

    Freddie Mac brings first ACIS CRT deal since March

    Following its recent re-opening of the CRT bond market with a $1.1bn STACR deal, Freddie Mac last Fr...

    News    13 July 2020
  • SCI Start the Week - 13 July

    A review of securitisation activity over the past seven days

    Last week's stories Arch restarts MILNs Relaunched Bellemeade Re 2020-1 priced Collection boo...

    News    13 July 2020
  • Risk transfer round up - 10 July

    CRT sector developments and deal news

    Commerzbank is rumoured to be readying a corporate capital relief trade that is expected to close in...

    News    10 July 2020