Barclays ups capital relief game

04 Jan 2012

Barclays Bank has structured a capital relief deal on a €5.7bn book of large corporate loans called Papillon 2011-5. The bank has sold part of the 5% first loss piece, retaining the rest of the risk in the form of three credit default swaps between Barclays entities.

Details of the risk that Barclays has sold have not yet emerged, but the bank’s lowest rated retained piece, the €600m tranche ‘C’, is rated Baa3 from Moody’s, and attaches between 5% and 15% of losses. The €300m ‘B’ tranche and €4.8bn ‘A’ tranche are both rated Aaa. ...

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