Capital Relief Trades
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Into the blue
Alpha Bank's latest SRT unveiled
Further details have emerged regarding Alpha Bank’s synthetic securitisation that it executed in Q4 last year. The significant risk transfer trade – called Project Blue – references a €1.6bn portfolio of Greek corporate and SME loans.
The financial guarantee on the mezzanine tranche was executed with a diversified pool of investors, going against the norm of bilateral transactions usually experienced in .......
SRT Market Update 23 February 2024
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Getting ahead
SRT Market Update
Investors continue to highlight the notable pipeline of European corporate mandates in the SRT market as a clear trend. Meanwhile, across the pond, what to expect from the US market in terms of volume and growth for this year remains unclear.
Asked if, as reported last week, the significant number of European corporate SRT trades currently in .......
SRT Market Update 23 February 2024
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Rates and regionals
Greater AOCI pressures will bring US regional banks to SRT market
The pipeline in the burgeoning US SRT market is in the hands of the Federal Reserve, according to a leading asset manager.
If rates remain relatively elevated, the value of fixed income asset portfolios diminishes and banks suffer AOCI losses. At the same time, they are paying out more on cash balances. This squeeze makes preservation of capital particularly important.
The 10-year Treasury .......
News 22 February 2024
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CLO 'stress indicator' launched
Market updates and sector developments
KopenTech has launched a multifactor measure designed to enhance the monitoring of secondary CLO market conditions. Called the K-Indicator, the tool combines five key factors: the did-not-trade (DNT) rate; colour rate; same-day BWIC rate; triple-A average traded price level; and triple-A average price talk deviation from colour (PTDC). Derived from analysing CLO BWIC volumes and granular CUSIP-level pricing data, .......
Market Moves 21 February 2024
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US SRT: First waves - video
Seer Capital's Terry Lanson speaks to SCI about the outlook for SRT in 2024
Terry Lanson, md and portfolio manager at Seer Capital, speaks to SCI's Simon Boughey about the outlook for SRT in 2024. Lanson discusses how SRT can help banks compete amid the ongoing expansion of private credit, whether the US market is finally ready for lift-off, and what Seer looks for in an SRT partnership.
....... News Analysis 21 February 2024
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Challenger firm
Having recently joined law firm Dentons, partner Toby Gray a...
Q: Tell us about your recent move to Dentons and your targets within this new practice?
Provider Profile 20 February 2024
TG: I joined Dentons in October 2023 (SCI 6 October 2023). After nearly 28 years at Linklaters, I was ready for a new challenge. Dentons was an attractive option for me, as it is what I like to refer to as a ‘challenger’ .......
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Record breakers
SRT benefiting from 'greater public awareness'
SRT issuance volumes reached another record last year, as new funded investors entered the market and bank interest in synthetic securitisation increased. At the same time, the sector continues to benefit from support by regulatory bodies, which bodes well for the future.
Robert Bradbury, head of structured credit execution and advisory at Alvarez & Marsal, identifies four key themes .......
News Analysis 19 February 2024
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Corporate flow
SRT Market Update
As the halfway mark in Q1 approaches, a backlog of European corporate mandates appears to be building in the SRT market.
“From the main banks active in the SRT market, I’m mostly seeing a corporate flow right now,” confirms one SRT investor.
He continues: “It seems that a lot of the European banks that were not in the .......
News 16 February 2024
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Romanian SME boost
EIB Group and Deutsche Leasing Romania close synthetic securitisation
The EIB Group and Deutsche Leasing Romania (DLRO), part of the Deutsche Leasing Group, have executed a €335m synthetic securitisation.
In terms of structure, the transaction follows the pattern previously set by the EIB Group. Specifically, the EIF is providing protection on a mezzanine tranche of €54m (which is in turn counter-guaranteed by the EIB), and protection on a .......
News 9 February 2024
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Capital velocity
SRT market update
With February now well underway, SRT investors repeatedly report a busy start to the year. Describing a context in which increasing volumes are mostly driven by growth and repeat issuance, participants already expect 2024 to be another record year for the SRT market.
“I think that everyone at the moment is driven by capital velocity,” notes one SRT investor. .......
News 9 February 2024
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Economic risk underestimated?
RWA density study shows downward convergence
A new Deutsche Bundesbank discussion paper points to a downward convergence of banks’ RWA densities over time after switching to the IRB approach for calculating capital requirements for credit risk. The paper demonstrates that such a convergence cannot be entirely explained by differences in bank size, loss levels, country risk or time of IRB implementation and therefore could underestimate .......
News 6 February 2024
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Latest SRTx fixings released
Index values indicate tightening in spreads in line with ove...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Spread indexes have tightened compared with January’s fixings (SCI 8 January), mirroring trends seen elsewhere in global risk markets. There have been improvements in both the volatility and liquidity indexes reflecting a more accommodative market and high deal volumes.
After last month’s widening .......
News 5 February 2024
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Job swaps weekly: M&G lures new cio from Allianz GI
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees M&G Investments snap up a new private markets cio from Allianz Global Investors. Elsewhere, a London-based partner at Allen & Overy leaves the firm after 28 years, while Canopius bids to enhance its SRT business by appointing a new head of structured credit.
M&G Investments has appointed Allianz Global Investors' .......
Market Moves 2 February 2024
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PRA urged to fix non-neutrality issue
Market updates and sector developments
PCS has submitted its response to the UK PRA in connection with the consultation on the introduction of the output floor pursuant to Basel 3.1, as it relates to securitisation (SCI 1 November 2023). While welcoming the PRA’s suggestions, the organisation points out that “all the obvious difficulties that flow from a rigid application of the proposed Basel .......
Market Moves 1 February 2024
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B note bonanza
GSE CRT benefitting from 'bullish technical'
The GSE credit risk transfer market posted one of the highest daily trading volumes on record last Thursday (25 January) at US$910m, exceeding the prior daily trading record of US$895m reached in March 2020. While the latter was driven primarily by the unwinding of levered positions, the former followed Fannie Mae’s strong CAS 24-R01 print (SCI 26 January).
News 29 January 2024
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Risk transfer round-up - 25 January
The week's SRT developments and deal news
Market news
BofA Global Research analysts believe that there is potential for 2021-2022 GSE credit risk transfer transactions to be upgraded, as their credit enhancement levels and mark-to-market LTVs continue to improve and delinquencies remain low. Rating agencies upgraded 292 CRT bonds in 2023, 35 of which were upgraded from non-investment grade to investment grade.In particular, bonds rated .......
News 25 January 2024
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Pilot transaction
IDB expands focus and lending capacity to the private sector
The Inter-American Development Bank (IDB), the main source of development financing for Latin America and the Caribbean, recently completed a risk-transfer transaction using credit-insurance protection with private insurance companies to optimise the use of resources and unlock capital for additional lending to the region. This is the IDB's first such transaction with the private sector.
Previously, the IDB .......
The Structured Credit Interview 25 January 2024
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The way back
SRT gives US banks chance to regain market share
Greater use of synthetic securitization will allow US banks to compete more effectively with the burgeoning private credit market, according to a detailed research piece from Seer Capital Management, the experienced SRT investor based in New York.
Private credit, as .......
News Analysis 24 January 2024
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Back in the game
Citi sells SRT, more in the works, say sources
Citi is said to have sold a SRT transaction referencing corporate loans before the end of last year, and ArrowMark is rumoured to have been the buyer.
ArrowMark has declined to comment.
The deal is believed to have referenced a US$4bn pool of corporate loans. A 0% - 13% first loss tranche is said to have been sold for a spread of just .......
News 19 January 2024
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Job swaps weekly: Permira Credit promotes pair to lead expansion
People moves and key promotions in securitisation
This week’s round-up of securitisation job swaps sees Permira Credit appoint two new co-heads to lead the firm’s expansion. Elsewhere, Hildene Capital Management has snapped up a Jefferies executive as head of capital markets, while Axonic Capital has promoted its head of credit to the newly created role of co-cio.
David Hirschmann and Ariadna Stefanescu have been appointed .......
Market Moves 19 January 2024
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Gathering momentum
SRT market update
Following a measured start to the year, SRT investors are expecting a pick-up in issuance to materialise soon. Meanwhile, activity in the US market is clearly gathering momentum.
While at the end of last year it had been reported that a few transactions had been pushed into Q1 of this year, one SRT investor cites the increased .......
News 19 January 2024