威达信：2024扩展投资组合管理工具包：北美银行信用风险转移(CRT)指南（英文版）（22页）.pdf

1、Expanding the portfolio management toolkitA primer on Credit Risk Transfer(CRT)solutions for North American banks 2EXECUTIVE SUMMARYUS and Canadian bank balance sheets are facing growing pressures from both cyclical and structural headwinds.Credit Risk Transfer(CRT)solutions are emerging as a vital

2、component of banks credit portfolio management toolkit.CRT solutions are a mechanism to pass a banks credit risk to third-party investors or insurers.We define CRT solutions as including Non-Payment Insurance(NPI),Funded CRTs(i.e.,Credit-Linked Notes),and Unfunded CRTs.The impact of these trades is

3、a reduction in credit risk,lower limit utilization(e.g.,concentration limits),and varying degrees of capital benefit depending on the product and jurisdiction(US vs.Canada).Banks,insurers,and private capital managers each play a role in facilitating these transactions.This collaboration enhances the

4、 banks ability to manage their credit portfolios,expand credit capacity,and create investment opportunities for third-party investors.The European Significant Risk Transfer(SRT)market has grown dramatically since 2012,reaching 165 billion in 2022 across more than 25 institutions.While North American

5、 banks adoption of CRT solutions is still nascent,the North American CRT market is gaining momentum.Maturing CRT operating models and increasing regulatory clarity have enabled this shift,while the implementation of Basel III Endgame may accelerate it even further.Marsh McLennan,with the combined ca

6、pabilities of Marsh,Guy Carpenter,and Oliver Wyman,has a proven track record of helping the largest banks in North America and Europe execute NPI and CRT/SRT transactions.We provide support to banks in establishing CRT programs,structuring and distributing CRT solutions,and assessing their impact on