Capital Relief Trades

  • 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

  • Arch enemy

    Wider ILN new issue spreads foreseen post-Bellemeade calls

    The negative repercussions of Arch’s cancellation of eight Bellemeade insurance-linked notes (ILNs) will be felt in the market for the foreseeable future, say well-placed sources.

    The decision to call these bonds on November 21 has soured the market and .......

    News Analysis 13 December 2023

  • Polish SRT finalised

    Bank Millennium closes largest synthetic to date

    Bank Millennium has completed a synthetic securitisation referencing a portfolio of Polish unsecured non-mortgage loans with a total value of PLN7.2bn. This latest trade represents Bank Millennium’s largest-ever SRT deal.

    The Polish bank transferred a significant part of the credit risk of the securitised portfolio to a single investor. As part of the transaction, Bank Millennium issued on 11 .......

    News 12 December 2023

  • Unusual structure debuts

    Santander out with auto CLN

    Santander Bank Auto Credit-Linked Notes Series 2023-B (SBCLN 2023-B) has hit the market, representing Santander’s second CLN transaction this year to reference a pool of US auto loans. The deal is unusual in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of A2 or .......

    News 12 December 2023

  • CRT Market Update

    Looking ahead

    With only a couple of weeks left before the Christmas break, market participants’ focus already appears to be geared towards the new year.

    Regarding the past and current SRT pipeline, one investor does not expect any new deals to price between now and the end of the year, noting that “pretty much everybody has closed their books.”

    Previously  News 8 December 2023

  • Job swaps weekly: EU finance ministers choose Calviño for EIB

    People moves and key promotions in securitisation

    This week’s roundup of securitisation job swaps sees Nadia Calviño chosen to become head of the European Investment Bank (EIB). Elsewhere, the Structured Finance Association welcomes seven industry leaders to its new board of directors, while a Mayer Brown partner and structured finance specialist has joined Jones Day as partner in its London office.

    Spain’s deputy prime minister .......

    Market Moves 8 December 2023

  • Basel 4 series: Levelling the playing field - video

    Market participants share their insights about why further a...

    In the fourth instalment of SCI’s Basel 4 video series, Alantra md Holger Beyer provides a brief outline of what’s new in Basel 4 and SCI’s Kenny Wastell asks market participants why further amendments to the framework are required.

    .......

    News Analysis 6 December 2023

  • SRT inspection

    Lawmaker warns of perceived SRT risks

    The risks of SRT trades “may not be fully understood” Senator Jack Reed, (D-RI) has warned US regulators. In a letter to the Federal Reserve, the Federal Deposit Insurance Corporation (FDIC) and the Office of the Comptroller of the Currency (OCC), Reed, a .......

    Market Moves 5 December 2023

  • Salisbury sees momentum

    Lloyds' latest SME SRT unveiled

    Lloyds has executed Salisbury 2023-1, the seventh synthetic securitisation from its Salisbury programme, following Salisbury 2022-1 in April 2022.

    The significant risk transfer transaction references a £1.75bn portfolio of UK SME loans extended to circa 3,500 borrowers located across the UK and originated by Lloyds. In terms of sectors, the portfolio comprises 41% real estate exposures, 28% in healthcare, .......

    News 5 December 2023

  • 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. There have been incremental but modest improvements in spread and risk indexes and a tempering of values in volatility indexes, which had risen in November’s fixings (SCI 2 November) in response to conflict in the Middle East.

    This month’s survey responses point to .......

    News 4 December 2023

  • Risk transfer round-up - 1 December

    The week's CRT developments and deal news

    Market news
    A pair of auto loan CLNs hit the market this week, including US Bank’s inaugural capital relief trade. Dubbed US Bank Auto Credit-Linked Notes Series 2023-1 (USCLN 2023-1), the synthetic securitisation has a couple of unusual features.

    USCLN 2023-1 transfers credit risk to noteholders via a financial guaranty on a US$2.46bn reference pool comprising 97,444 prime auto .......

    News 1 December 2023

  • Arch agony

    Cancellation of 8 ILNs leaves investors stewing

    The decision last week by Arch Capital to cancel eight Bellemeade insurance-linked notes (ILN) issued between 2018 and 2021 has not gone down well with all investors, say market sources.

    Arch was able to redeem the note at par, but some were trading at a premium to par, leaving some investors highly dissatisfied with the decision. They now have a sizeable hole to .......

    News 30 November 2023

  • Rules of conflict

    Final SEC "conflict of interest" ruling offers crumbs of comfort

    The SEC’s final “conflict of interest” ruling, designated Rule 192 and released at the beginning of this week (SCI 29 November), waters down some of the most onerous restrictions but still represents a serious imposition for securitized markets participants, say those in the field.

    The new rule prohibits so-called “securitization participants” from engaging in “conflicted transactions” during the life of an .......

    News 30 November 2023

  • SIFMA calls for STC framework

    Market updates and sector developments

    A new SIFMA blog highlights three actions that will mitigate what the association calls the “perverse incentives” created by the lack of appropriate risk-sensitivity of the SEC-SA framework, under the US Basel 3 Endgame (B3E) proposal. The blog describes the proposal as “the most restrictive approach to set capital requirements for banks’ securitisation exposures in the developed world”.

    As .......

    Market Moves 29 November 2023

  • Basel 4 series: Preparing - video

    Market participants share their insights about how to prepare for Basel 4

    In the third 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 what they can do to prepare for the regulatory changes. 

    .......

    News Analysis 29 November 2023

  • Basel 4 series: Industry impacts - video

    Exploring the effects of Basel 4 on market participants and their clients or members

    In the second instalment of SCI's Basel 4 video series, The D. E. Shaw Group's Syril Pathmanathan 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 will affect them and their clients or members.

    .......

    News Analysis 22 November 2023

  • Gaining traction

    The rise of project finance SRT

    Synthetic securitisation is expected to play a key role in assisting Europe’s transition towards a more sustainable economy. This Premium Content article explores the significance of project finance SRT transactions within this context.

    Given the challenging macroeconomic conditions over the past 12 months and the unprecedented write-down of Credit Suisse’s AT1 bonds, banks are increasingly adopting synthetic ......

    News Analysis 21 November 2023

    Premium Content

  • Fannie signs off for 2023

    Multi-family CAS and last 2023 CIRT for the GSE

    Fannie Mae has executed its third multi-family CAS deal and also its ninth and final CIRT trade of the year.

    Placed by structuring manager and lead bookrunner Bank of America, the US$595m MCAS 2023-01, consists of 423 multi-family loans with an unpaid principal balance (UPB) of US$24bn.

    The US$154.6bn M7 tranche was priced at SOFR plus 400bp and has 3.5% credit support. The .......

    Market Moves 20 November 2023

  • BlackRock launches Article 8 ABS fund

    Market updates and sector developments

    BlackRock has launched the BlackRock Senior Securitised Fund (BSSF), its new flagship securitisation fund, in the existing BlackRock Specialist Strategies Fund range. The firm says that BSSF is designed to meet the strong demand for securitised assets from both institutional and wealth clients seeking to diversify their fixed income exposures. Clients have demonstrated a desire for the diversification benefits, .......

    Market Moves 20 November 2023

  • Stand by, CRT

    CRT boom but adverse regulations loom, say SCI conference speakers

    Echoing what is now a familiar refrain, speakers at SCI’s inaugural esoterics conference in New York Last week said that the US CRT market is set to get very big.

    “Every bank is now looking at assets that don’t justify a 100% risk weighting,” said one.

    The rise of subscription credit facilities means that CRT deals that offer synthetic exposure to this class .......

    News 17 November 2023

  • CAS and out

    Fannie Mae prints 8th and final CAS of 2023

    Fannie Mae has printed its US$609m CAS 2023-08, the eighth and final CAS offering of 2023.

    Morgan Stanley was the lead structuring manager, and joint bookrunner. Wells Fargo is the co-lead and also joint bookrunner.

    There are three tranches to the trade. The A-/A- US$278m M1 has been priced at 30-day SOFR plus 150bp, the BBB/BBB+ US$206m M2 at SOFR plus 250bp and .......

    Market Moves 17 November 2023
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