When does a risk transfer really transfer risk?
Significant risk transfer deals are written on ever more concentrated pools. We measure where the capital relief comes from and whether it survives a full simulation.
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Full libraryCapital Cliffs and EU Securitisation Regulations
This report (written jointly by a Risk Control Director and co-authors from leading industry organisations) assesses cliff effects in European securitisation capital rules. Capital cliffs create distortions and exacerbate instability in financial stress…
Full text · figuresRisk Control presents at Italian securitisation workshop
Risk Control Director William Perraudin gave a talk to a large audience of Italian bankers and policymakers in Rome. The talk drew on our recent report on Making the Bank Securitisation Capital Rules Work for Europe. The presentation slides can be downloaded…
Full text · figuresMaking the Bank Securitisation Capital Rules Work for Europe
This report assesses the European Commission’s 17th June 2025 proposals for reforming bank securitisations capital rules. While we welcome the intended goal of unlocking bank issuance and investments in securitisation, and the direction of the proposed rule…
Full text · figuresHow to Calibrate Securitisation Capital Rules
Regulatory authorities in Europe may wish to reconsider the capital that banks and insurers hold against their securitisation exposures. Such a review is justified by the need for Europe to finance climate and digital transitions. Boosting investment will only…
Full text · figuresData Template for MDB Loans
Multilateral Development Banks (MDBs) are mandated by their shareholder to help Emerging Market and Developing Economies (EMDEs) achieve the 2030 Sustainable Development Goals (SDGs) adopted by United Nations member states in 2015. Recently there have been…
Full text · figuresRegulatory Data Requirements for Securitisation Investors
Read the paper. The ambitious lending targets set by the shareholders of Multilateral Development Banks’ (MDBs) which aim to achieve the 2015 United Nations Sustainable Development Goals, require a significant expansion of the MDB lending capacity. If MDBs…
Full text · figuresAnalysis of SDR-Based Hybrid Capital for MDBs
Read the full paper. The African Development Bank (AfDB) and the Inter-American Development Bank (IDB) have co-developed proposals to boost the lending capacity of Multilateral Development Banks (MDBs) using Special Drawing Rights (SDRs) to create MDB hybrid…
Full text · figuresMDB Risk Transfer - Business Models and Data
Read the full paper. Multilateral Development Banks (MDBs) are exploring scalable risk transfer strategies to expand their lending capacity and meet the 'billions to trillions agenda' adopted in 2015. This report outlines a roadmap for MDBs to implement…
Full text · figuresRisk Transfer Efficiency for MDBs
Read the full paper. Multilateral Development Banks (MDBs) can significantly enhance their risk management through strategic risk transfers, as revealed by this efficiency analysis. The study employs a Benefit-to-Cost ratio, comparing percentage capital…
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