GCD's Mission is to help banks understand and model credit risks. The comprehensive data pools are collected over a decade and distributed back to members for their own research and modelling.


Learn More

GCD is a unique data consortium that owns banks internal data for both PD and LGD. GCD’s data pools support the key parameters of banks’ credit risk modelling: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD).

Learn More

GCD’s library gives access to wide variety of publications on risk related topics. Global Credit Data members work together to analyse the data and discuss methodology issues. GCD has published numerous papers and is actively promoting academic research on the data collected.

Access the Library 

Members not only benefit from exclusive rights and access to credit databases and analytics, but also from knowledge and research facilitation possible via the unique industry association.

Through a variety of forums such as workshops, webinars and surveys, GCD is an active industry participant facilitating the discussion in key strategic areas.

Learn More

Global Credit Data collects raw data from its members and distributes it back to them for use in their own analysis and modelling. GCD supports its members by providing a flexible high-end tool on the data pool: the GCD Visual Analyzer. Member banks can create dynamic Reference Data Sets and generate instant views on the data.

Learn More

-> menu code <-

How Can We Help?

Search for answers or browse our knowledge base.

< All Topics

Effective Use of Capital Relief Transactions


Research report by OSIS in cooperation with IACPM and GCD


The Credit Risk Transfer market is currently a small and private market numbering around 54 
transactions in 2018 with a dozen investors and a dozen banks mainly in Europe and Canada. 
There is therefore limited publicly available information. Another challenge is that new 
regulation is unclear and has certainly not been tested with real transactions. This creates a lot 
of uncertainty for existing players and even more so for newcomers like standardized banks 
and supervisors. 

The report constructed 17 loan portfolios from France, the UK, Belgium, the Netherlands and Sweden 
and across asset classes such as SME’s, Large Corporate, Commercial Real Estate, Residential 
Mortgages, Aircraft Finance, Shipping Finance, Trade & Commodity Finance and Project 
Finance based on real portfolio data.
For the latter 4 categories, historical data from 
Global Credit Data
has been used to calibrate specific stress test models. 

For each of the 17 portfolios, the report shows 6 different scenarios accommodating current and future 
regulations (Basel III and Basel IV IRBA, Basel IV with Output Floor, IFRS 9 and STS) and 
different macro scenarios (European Banking Authority (EBA) Baseline and EBA Adverse), 
resulting in 102 hypothetical CRT transactions. These 6 scenarios are based on real stress test 
models and real macro scenarios derived from the EBA stress testing and transparency 
exercises. Except in scenario 3, we kept the expected IRR (return after loan losses) for the 
equity investor constant at 7%. 

The report classifies CRT transactions economically interesting if the Cost of Relieved Capital (CoRC) 
is below 15% (an ROE before tax). 70% of all CRT transactions meet this objective
and, if we 
exclude the residential mortgages, a considerable 80% of transactions add value for the bank. 
Even in an adverse scenario where the investor was fully compensated for higher losses, 7 out 
of 17 CRT transactions have a CoRC of below 15%. 

This research was conducted by the consultant company OSIS and in cooperation with The International Association of Credit Portfolio Managers (IACPM)

The extended version of the report with details about the 
methodology, assumed transaction structures and analysis of main dynamics is available upon