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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.


  • Closing the gap

    Audentia Global investor relations head Sophia Vanco and chief of staff Nick Makin answer SCI's ques...

    Q: How and when did Audentia Global become involved in the capital relief trades market? NM: Aude...

    The Structured Credit Interview    26 March 2020
  • Call for TALF expansion

    Sector developments and company hires

    BlackRock hired The New York Fed has retained BlackRock Financial Markets Advisory as a third-party...

    Market moves    25 March 2020
  • CRT deals disclosed

    Intesa publishes capital management strategy

    Intesa Sanpaolo has released details of its capital management strategy, following the release of it...

    News    23 March 2020
  • SCI Start the Week - 23 March

    A review of securitisation activity over the past seven days

    SCI NPL Securitisation Awards 2020 - new deadline SCI NPL Securitisation Awards 2020 - new de...

    News    23 March 2020
  • Economically efficient

    Study supports reduction of PD estimates

    A new study undertaken by Open Source Investor Services (OSIS) suggests that capital relief trades a...

    News Analysis    20 March 2020
  • Credit event definitions

    UTP category brings less uniformity

    The EBA’s guidelines on default definitions have brought less uniformity to credit event d...

    News Analysis    20 March 2020
  • Close relationship

    CRT documentation should evidence intentions

    When structuring a capital relief trade, the documentation should evidence the intentions of the par...

    News    20 March 2020
  • Short-term volatility

    SRTs on hold, although 2H20 rebound expected

    Capital relief trade issuance has been postponed until the second half of the year due to the corona...

    News Analysis    19 March 2020
  • EIB mulls SME ABS purchase plan

    Sector developments and company hires

    Dealer credit facility launched The US Fed has established a Primary Dealer Credit Facility (PDCF)...

    Market moves    18 March 2020
  • Pandemic response

    DNB lowers bank buffers amid outbreak

    Dutch central bank DNB has lowered the capital buffers for Dutch banks and postponed the introductio...

    News    18 March 2020
  • SCI Start the Week - 16 March

    A review of securitisation activity over the past seven days

    SCI NPL Securitisation Awards 2020 As a result of COVID-19, the SCI NPL Securitisation semina...

    News    16 March 2020
  • Multi-tranching?

    Investor diversification raises triple-tranche prospects

    Seer Capital sees a future for triple tranche structures in significant risk transfer transactions....

    News Analysis    13 March 2020
  • Definition debate

    Call for coalescence around ESG standards

    Impact is still being defined in the capital markets, both at a conceptual level and in terms of gen...

    News Analysis    12 March 2020
  • Regulatory events

    Standard Chartered amends Gongga SRT terms

    Standard Chartered has amended the regulatory event definitions for the class A notes of a corporate...

    News    12 March 2020
  • SCI Start the Week - 9 March

    A review of securitisation activity over the past seven days

    Transaction of the week AmTrust International has completed its inaugural capital relief trade, whi...

    News    9 March 2020
  • Opaqueness premium

    Regulatory RWA variability highlighted

    In its latest Working Paper, the BIS unveils a new measure of risk-weighted asset variability &n...

    News    4 March 2020
  • Bulgarian micro loan guarantees inked

    Sector developments and company hires

    Bulgarian guarantees The EIF has signed new guarantee agreements with Unicredit Bulbank, United Bul...

    Market moves    4 March 2020
  • Green light

    OCC gives regulatory approval to JPM CRT

    JP Morgan Chase has won favourable regulatory treatment from the Office of the Comptroller of the Cu...

    News Analysis    3 March 2020
  • Provisioning hedge

    Landmark Italian SRT inked

    AmTrust International has completed its inaugural capital relief trade, which references a &euro...

    News    2 March 2020
  • SCI Start the Week - 2 March

    A review of securitisation activity over the past seven days

    New MRT report SCI has published a new Special Report on the US Mortgage Risk Transfer sector &...

    News    2 March 2020
  • Risk transfer round-up - 28 February

    CRT sector developments and deal news

    Banca Monte dei Paschi di Siena is rumoured to be readying an SME SRT for next month, with the count...

    News    28 February 2020