IFRS 9 benefit welcomed

Category: Capital Relief Trades ABS

Previous Story       Next Story

The first-time adoption of IFRS 9 has had a muted impact on bank capital ratios and this has been reflected in existing capital relief trades through P&L gains (SCI 14 May). Indeed, the benefit can be acquired whether the first-loss tranche is sold or retained.

According to a structurer at a large European bank: “The silver lining in SRT deals is that if you sell the first-loss tranche and it’s properly structured, you may be able to offset provisions booked against the assets with an equal and opposite benefit for the SRT deal.”

Already registered?

Not yet registered? Join today to access SCI Content.