Capital Relief Trades

  • 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

  • IFC, SG team up on sustainable finance

    Market updates and sector developments

    Societe Generale and IFC have signed a Collaboration Framework Agreement to accelerate efforts on sustainable finance in developing countries, as part of both institutions' shared ambition to contribute to the UN Sustainable Development Goals (SDGs) and a strong commitment to the environmental transition and sustainability.

    As part of this agreement, the two institutions aim to further develop wide-ranging .......

    Market Moves 19 January 2024

  • Fed checks banks' homework

    CLN submission path is clearer, but Fed approval far from automatic

    While it is seen as a positive development for the US SRT market that Federal Reserve has approved four CLNs from Morgan Stanley, US Bancorp, Santander USA and Huntingdon Banchares for capital relief in recent months, the process of seeking this approval is time-consuming and demanding, cautions Matt Bisanz, a .......

    News Analysis 17 January 2024

  • Radical reform?

    ESMA disclosure consultation could pave the way for material improvements

    ESMA’s launch of its long-awaited consultation on potential revisions to the European Commission’s securitisation disclosure templates in late December (SCI 21 December 2023) may have negatively impacted interest in submitting responses. Nevertheless, the move could potentially open the door to radical reforms.

    ESMA is seeking feedback on four very different possible options (A through D) for .......

    News 16 January 2024

  • IACPM 'stands ready' to work with US regulators on SRT

    Market updates and sector developments

    The IACPM says it stands ready to share data and experience on synthetic securitisation with US federal regulators, in order for US banks to share risk in an effective, safe and transparent manner with specialised long-term partners. The move follows recent positions taken in the press or in letters sent to the US agencies, notably by Sheila Bair and .......

    Market Moves 16 January 2024

  • Big buyers

    Five names said to take large bites of JPM SRT whopper

    Five investors are said to absorbed large slugs of the estimated US$20bn synthetic securitisation of multinational corporate revolvers from JP Morgan currently in the market, according to sources.

    The buyers are said to be Blackstone, DE Shaw, Ares, PGGM .......

    News 12 January 2024

  • Risk transfer round-up - 12 January

    The week's SRT developments and deal news

    Deal news
    Europejski Fundusz Leasingowy (EFL), owned by Crédit Agricole, has completed a synthetic securitisation with the EIB Group. The transaction is backed by a PLN2bn portfolio of Polish leasing receivables.

    The EIF guarantee on the PLN250m mezzanine tranche covers a reference portfolio of PLN2bn, while a counter-guarantee from the EIB mirrors the EIF’s obligation, whereby the EIB covers the .......

    News 12 January 2024

  • Project finance SRT finalised

    BBVA closes bilateral trade

    BBVA has closed a synthetic securitisation with PGGM referencing a project finance portfolio valued at €750m. The bilateral transaction allows BBVA to release up to 88% of the portfolio's capital. 

    Of the projects in the securitised portfolio, 60% are classified as sustainable, with renewable energy, digital infrastructure and transportation infrastructure the leading sectors. In terms of geography, the portfolio is .......

    News 11 January 2024

  • Fed smiles on SRT

    Huntingdon and Santander USA get the green light

    The Federal Reserve last month approved CLNs for regulatory capital relief purposes for both Huntingdon Bancshares and Santander USA.

    In a letter dated December 9, the deputy associate secretary of the board said that Huntingon may calculate its risk-weighted asset .......

    News 10 January 2024

  • First-mover advantage

    SCI recently asked Georgi Stoev, head of Northern Europe &am...

    The EIF invested over €3bn in the securitisation market last year, of which €2.8bn was executed in a synthetic format. In terms of jurisdictions, the fund continues to strengthen its engagement across Central and Eastern Europe (CEE), with Romania (accounting for over €700m of investments), Bulgaria (close to €500m) and Poland (€450m) topping the investment list.

    Q: Is .......

    The Structured Credit Interview 10 January 2024

  • Latest SRTx fixings released

    Index values indicate gradual tightening in spreads and impr...

    The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Spread indexes have moved higher compared with December’s fixings (SCI 4 December), particularly in the large corporate space, owing to typical year-end volatility.

    After two months of tightening in SRTx Spread Indexes, this month’s survey responses show a widening of both the large .......

    News 8 January 2024

  • Accretive process

    Wasif Kazi, structurer at UniCredit, forecasts continued gro...

    Q: Given that 2022 was widely viewed as a breakthrough year in terms of CEE capital relief trade issuance, is the Polish market still a trend to monitor, or is it becoming an established jurisdiction for SRT transactions?
    A: I would say it's somewhere in between the two. We see more transactions each year coming out of Poland. We see .......

    The Structured Credit Interview 5 January 2024

  • Winds of change

    Bumper 2023 GSE CRT returns set to diminish

    The outstanding returns offered by GSE CRT product last year are unlikely to be repeated in 2024 as the tailwinds which boosted the sector dissipate and may even become headwinds, according to Mark Fontanilla, the founder and chief executive of the market-leading data and information company which bears his name.

    Benchmark GSE CRT bonds yielded a record total annual return of 17.69% .......

    News 2 January 2024

  • ESMA launches RTS and ITS consultation

    Market updates and sector developments

    The European Securities and Markets Authority (ESMA) has launched a consultation on revisions to the securitisation disclosure framework. The process is due to run until 15 March and aims to collect stakeholders’ views on proposed changes to the disclosure regulatory technical standards (RTS) and implementing technical standards (ITS).

    In particular the consultation will focus on the four proposed options. These include “putting .......

    Market Moves 21 December 2023

  • Risk transfer round-up - 21 December

    The week's CRT developments and deal news

    Deal news
    The EIB Group has provided a €163m unfunded guarantee to Santander’s latest synthetic securitisation, supporting energy efficiency and climate action projects in the Spanish residential property market. The transaction will facilitate new green and sustainable mortgages, enabling individuals to invest in building renovations or new construction with high energy-efficiency standards, in compliance with the eligibility conditions defined by .......

    News 21 December 2023

  • Performance-related triggers RTS adopted

    Market updates and sector developments

    The European Commission has released a Commission Delegated Regulation supplementing the Securitisation Regulation with regard to regulatory technical standards (RTS) specifying performance-related triggers and the criteria for the calibration of those triggers in STS synthetic securitisations. The RTS specify the two mandatory triggers under point (a) of Article 26c(5) of the Securitisation Regulation, set out the additional mandatory backward-looking .......

    Market Moves 18 December 2023

  • PRA publishes first Basel policy statement

    Market updates and sector developments

    The PRA has published the first of two near-final policy statements covering the implementation of the Basel 3.1 standards for market risk, credit valuation adjustment risk, counterparty credit risk and operational risk. The near-final policy statement takes into account feedback received to the PRA’s consultation paper (CP) on the Basel 3.1 standards published in November 2022.

    The PRA .......

    Market Moves 15 December 2023

  • CRT Market Update

    Closing days

    As the final week before the Christmas break rolls around, the remainder of the Q4 SRT pipeline is making its way across the line.

    While earlier in the week it had been reported that Bank Millennium and Santander (in the US) had finalised transactions, news has additionally emerged that both Eurobank and BNP Paribas have recently closed .......

    News 15 December 2023

  • Basel 3 'roadmap', reporting ITS published

    Market updates and sector developments

    The EBA has published its roadmap on the so-called Banking Package, which implements the final Basel 3 reforms in the EU. The roadmap aims to strengthen the prudential framework, as well as ensure an international level playing field. It also seeks to provide clarity on how it will develop the mandates implementing the legislation and finalise the most significant .......

    Market Moves 14 December 2023

  • Basel 4 series: A swinging pendulum - video

    Market participants share their insights into whether Basel 4 is in line with industry expectations

    In the final instalment of SCI’s Basel 4 video series, ex-issuer Frank Benhamou provides a brief outline of what’s new in Basel 4 and SCI’s Kenny Wastell asks market participants about the extent to which Basel 4 is in line with expectations.

    .......

    News Analysis 14 December 2023

  • LTEL issue

    SES highlights competitiveness concerns

    The EBA’s final RTS on synthetic excess spread (SES) generally sparked optimism across the CRT market (SCI 6 May). Nevertheless, divergences around increased calibration and SES on certain portfolios highlight a broader issue of governance and competitiveness within the European regulatory apparatus.  

    Recently, investors have been reporting of a potential structural shift, leading to a significant .......

    News Analysis 14 December 2023
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