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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.


  • Capital trouble

    GSEs stare down the barrel of reduced capital relief for CRT deals

    The re-proposed capital rules for the GSEs before they exit conservatorship, released by the Federal...

    Capital Relief Trades    5 June 2020
  • First steps

    STS synthetics paper receives qualified welcome

    The EBA’s final framework for STS synthetic securitisations has received an overall positi...

    News Analysis    5 June 2020
  • Risk transfer round-up - 5 June

    CRT sector developments and deal news

    Sabadell is rumoured to be readying an SME significant risk transfer deal for the second half of the...

    News    5 June 2020
  • Repricing of risk?

    Funded, unfunded investor collaboration to rise

    The outlook for the significant risk transfer market appears to be positive, at least in the short t...

    News Analysis    5 June 2020
  • Conduit CMBS on watch

    Sector developments and company hires

    Conduit CMBS on watch S&P has placed its ratings of 96 classes from 30 US conduit CMBS on...

    Market moves    4 June 2020
  • SCI Start the Week - 1 June

    A review of securitisation activity over the past seven days

    Last week's stories Accessing guarantees CBILS securitisation warehouses mulled Forbe...

    News    1 June 2020
  • Renewables JV inked

    Sector developments and company hires

    Renewables JV inked By way of a joint venture, illimity Bank and VEI Green II have set up a securit...

    Market moves    29 May 2020
  • Risk transfer round-up - 29 May

    CRT sector developments and deal news

    ABN AMRO is rumoured to be readying a corporate capital relief trade that is expected to close in 3Q...

    News    29 May 2020
  • Pan-European guarantee fund launched

    Sector developments and company hires

    Pan-European guarantee fund launched The EIB board has approved a €25bn Pan-European Guara...

    Market moves    27 May 2020
  • Lift off

    Francesco Di Costanzo, head of structured credit at Hoist Finance, answers SCI's questions

    Q: How and when did you become involved with securitisation? A: We are a licensed credit market in...

    The Structured Credit Interview    27 May 2020
  • Risk transfer round-up - 22 May

    CRT sector developments and deal news

    Santander is rumoured to be readying its fourth SME significant risk transfer deal from the Magdalen...

    News    22 May 2020
  • Moratoria mulled

    Payment holidays set to test CRT provisions

    Portfolios referencing loans subject to payment holidays may create a new sub-asset class within the...

    News Analysis    21 May 2020
  • SRTs eyed

    Pension funds target risk transfer

    Pension funds are targeting capital relief trade opportunities as the coronavirus crisis renders pri...

    News Analysis    21 May 2020
  • TALF subscription date announced

    Sector developments and company hires

    TALF subscription date announced The New York Fed has scheduled the first TALF ABS loan...

    Market moves    20 May 2020
  • SME CLO, SRT PD adjustments mooted

    Sector developments and company hires

    SME CLO, SRT PD adjustments mooted DBRS Morningstar is considering additional adjustments to refl...

    Market moves    18 May 2020
  • SCI Start the Week - 18 May

    A review of securitisation activity over the past seven days

    Last week's stories Auto ABS boost European ABS market update Drafting issues The potential...

    News    18 May 2020
  • Conflict of interest charge settled

    Sector developments and company hires

    Conflict of interest charge settled The US SEC has charged Morningstar Credit Ratings for violating...

    Market moves    15 May 2020
  • Unknown unknowns

    Covid-19 modelling challenges persist

    Banks are running simulations in an effort to address the credit risk modelling challenges of the co...

    News Analysis    15 May 2020
  • SRTs unlocked

    BMO launches capital relief trade

    Bank of Montreal has finalised a US$132m five-year financial guarantee dubbed Manitoulin Muskoka Ser...

    News    15 May 2020
  • TALF CLO rules clarified

    Sector developments and company hires

    TALF CLO rules clarified The US Federal Reserve has clarified its CLO eligibility rules for TALF. I...

    Market moves    13 May 2020
  • Risk transfer round-up - 13 May

    CRT sector developments and deal news

    Bank of Montreal is rumoured to be prepping a corporate loan capital relief trade for 3Q20. The lend...

    News    13 May 2020