Capital Efficiency & Risk Transfer Assessment

Two structured entry engagements designed to validate whether captive reinsurance and Significant Risk Transfer (SRT) strategies can unlock regulatory capital—and define the execution roadmap.

Typically relevant for financial institutions managing RWA constraints or aiming to optimise Return on Risk-Adjusted Capital (RAROC).

How these assessments are used

These are paid, time-bounded advisory assignments designed for Bank Treasurers, CFOs, Heads of Portfolio Management, and CROs who need decision clarity before committing to a complex securitisation or captive transaction.

We work alongside your internal capital management teams, legal counsel, and fronting partners—without disintermediating any party. We operate on a pure fee basis, independent of placement economics or commissions.

If an assessment indicates a structure is not legally viable or economically accretive, we specify why. If it indicates viability, we document the regulatory logic and define a clean scope for execution.

Assessment 01

Portfolio RWA & Capital Relief Diagnostic

A structured review of your asset portfolios (Trade Finance, Leasing, Corporate Loans) to identify where captive-backed credit protection offers the highest arbitrage between regulatory capital costs and insurance pricing.

What it covers
  • RWA density mapping: identify high-density assets under Standardised or Foundation-IRB suitable for UFCP.
  • Regulatory friction analysis: assess the impact of Basel 3.1 output floors and LGD floors (e.g., 45%) on your portfolios.
  • Economic arbitrage calculation: compare the cost of retaining risk on balance sheet vs transferring risk via a fronting insurer to a captive or third party.
  • Captive role definition: evaluate whether the captive should retain first loss or mezzanine tranches to maximise group-level economics.
Timeline
2–4 weeks
Deliverable
Executive capital efficiency memo
Outcome
Prioritised transaction candidates

Designed to move beyond theoretical savings and establish a concrete list of portfolios ready for a feasibility sprint—or immediate risk transfer execution.

Assessment 02

Transaction Structuring & Regulatory Feasibility Sprint

A fast, decision-grade feasibility engagement for a specific transaction—identifying the optimal structure (SRT vs UFCP), the reinsurance mechanics, and the compliance validity.

What you get
  • Structuring options: pure captive vs protected cell (PCC) vs SPV for the specific trade.
  • CRM eligibility check: validate policy wording against Basel CRM criteria—direct, explicit, irrevocable, unconditional.
  • Reinsurance & fronting architecture: flow of funds design, including collateral requirements (funds withheld / trusts) to secure the fronting carrier.
  • Governance & substance: protocols to mitigate rollover risk and support Significant Risk Transfer recognition where applicable.
Timeline
3–6 weeks
Deliverable
Transaction decision pack
Outcome
Go / no-go path

Designed to define execution scope clearly—so legal counsel, fronting insurers, and regulators can be engaged with a validated structure.

Fit

A clean first step.

Designed for institutions where capital constraints are strategically material. If a structure is not viable, we will tell you quickly—and why.

Typically a fit when
  • RWA density is constraining growth or portfolio strategy
  • Basel 3.1 / output floor effects are reducing ROE
  • A credible UFCP or SRT pathway is being evaluated
  • Fronting / collateral constraints require a structured solution

Want a decision-grade view on capital relief?

We can recommend the right first step and scope an assessment that validates CRM eligibility, economics, and execution readiness.

Contact