Capital Relief Trades Virtual Panels 2021

SCI plans to step in again this year to bring the market together – online.

SCI will host CRT discussion panels online to provide a much needed information platform as we wait for live events to return later in the year.

Join us as we offer these exciting panels over the next several months to keep the discussion going.

Regulatory update 
— The EBA’s final SRT report treats synthetic excess spread as a first loss tranche. How controversial is this decision?
— What are the unanswered questions from the final trilogue agreement on STS synthetics?
— How much of a concern is IFRS 9 provisioning for banks in a post-Covid world and are provisioning hedges worth the effort from a cost of capital perspective?

Prospects for the US CRT market 
— How much bigger will the market get in 2021? We’ve heard a lot about the CRT market taking off in the USA, this is the year but in fact there is still only limited issuance. What is holding US borrowers back?
— If Covid-related delinquencies turn out to be not too bad (figures for loan default are much better than we thought in April 2020) does this mean that the US CRT market goes away again?
— Are there any regulatory and capital developments that are likely to make CRT more attractive to US issuers?

Mortgage risk transfer 
— What do the reaffirmed capital rules mean for the GSEs? Less MRT or more? Treatment of MRT is not as friendly as in previous iterations.
— Looking at wider market beyond GSEs and including white label issuers, does record origination in the US mean more extensive use of MRT? Are there any new structures being considered?
— The mortgage risk insurance market seems to have come back quite well. What do prospects and pricing look like at the moment?

Standardised bank SRT
— What are the best practices standardised banks should follow when considering/preparing an SRT transaction?
— What is the role of the EIF and other supranational organisations in facilitating standardised bank issuance?
— How have recent regulatory changes affected the structuring and execution of standardised bank SRT deals?

New asset classes 
— Last year the market witnessed an issuance boost in several asset classes such as residential mortgages and capital call facilities. Besides capital relief, what other motivations are there for executing these trades?
— Another asset class that continued to gain traction last year was ESG SRTs such as Intesa’s Green capital relief trade. Nevertheless, the number of such transactions remain very few. What is the potential investor base for such trades and is both investor and issuer interest in such transactions growing?

Impact SRT 
— What role can SRT play in catalysing positive impact finance in bank portfolio management?
— Which processes and infrastructure are involved in originating impact SRT transactions?
— What progress is being made towards standardising the definition, measurement and reporting of ESG factors in the context of SRT?

 

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