Capital Relief Trades
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Latest SRTx fixings released
Index values indicate expectations of rising volatility and...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. There has been some incremental tightening in the spread indexes in the large corporate category compared with February’s fixings (SCI 5 February). Volatility indexes have risen, reflecting more volatile conditions in the broader capital markets.
SRTx Spread Indexes have modestly tightened in the .......
News 6 March 2024
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Barclays to hit up risk transfer
UK lender looks to offload risk from US card business
Barclays Bank is to use “selective risk transfer” to reduce an increase in risk weighted assets (RWA) due to a migration of portfolio to an internal risk-based model (IRB) calculation of capital adequacy, the UK bank said in its Q4 earnings report at the end of last month.
News 6 March 2024
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US SRT: Igniting issuance – video
PIMCO's Mark Kruzel speaks to SCI about the changing landscape in the US SRT market
....... News Analysis 6 March 2024
Ares forms equipment financing shop
Market updates and sector developments
Ares Alternative Credit has launched Ansley Park Capital, a newly-formed lending and specialty finance company that delivers full spectrum, customised financing solutions for essential-use, large-ticket equipment. Ansley Park’s management team and integrated operating platform were acquired from BciCapital, the equipment finance business of City National Bank of Florida.
Ansley Park will offer scaled, flexible equipment-based capital solutions ranging .......
Market Moves 5 March 2024
SRT buyer
Pension fund reputed to snap up US Bank deal
A pension fund has bought the synthetic securitization of US corporate loans from US Bank which was reported to be in the market last week, according to market rumours.
The transaction has a US$2.5bn reference pool of investment grade corporate loans, add sources.
It was reportedly priced at a spread of 5.75%, which has raised a few eyebrows in the market.
This is at .......
News 4 March 2024
Greater visibility?
SRT Market Update
As the last month of Q1 begins, a number of banks are expected to close SRT trades imminently. Consequently, more clarity is likely to emerge around where spreads are heading.
“Generally, there is not a lot of new information coming out of the SRT market. However, we are definitely getting to the point where trades are starting to price, .......
SRT Market Update 1 March 2024
It's a CIRT
First CIRT of 2024 for Fannie
Fannie Mae has completed its first CIRT deal of 2024, the GSE announced today (March 1).
The deal, designated CIRT 2024-L1, transferred US$355.6m of single-family mortgage risk to 24 reinsurance firms.
Market Moves 1 March 2024
CEE momentum
EIB inks pair of green transition deals
The EIB Group this week executed two synthetic securitisations that support the green transition, one in Austria and the other in Bulgaria. The move comes amid a ramping-up of SRT activity in the Central and Eastern Europe region by the EIF (SCI 10 January).
Cyril du Boispean, investment officer at the EIF, confirms that the fund’s investments .......
News 1 March 2024
US SRT: Unblocking uncertainty – video
Clifford Chance's Gareth Old speaks to SCI about recent developments in the US SRT market
....... News Analysis 29 February 2024
Barclays inks 'strategic' credit card sale
Market updates and sector developments
Barclays Bank Delaware (BBDE) has entered into an agreement with insurance accounts managed by Blackstone’s asset-based finance group to sell approximately US$1.1bn of currently outstanding credit card receivables in relation to a defined set of Barclays-branded credit card accounts in the US. This is the first in a series of activities Barclays plans to conduct to reduce its RWAs .......
Market Moves 28 February 2024
Bank bonanza
GSIBs, super regionals and regionals to line up for SRT
Between 10 and 30 US banks will be regular issuers in the SRT market, and there also is likely to be a few smaller deals from banks outside this main group, according to a speaker at the SFA conference in Las Vegas today.
News 28 February 2024
Endgame alarm
Speakers at SFA mull the chances of re-proposal of Basel Endgame
There is only a 30% chance that the highly controversial US bank capital rules known as the Basel III endgame will be re-proposed, said a speaker today at the Structured Finance Association (SFA) conference in Las Vegas.
This gives a .......
News 27 February 2024
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
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
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
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
US SRT: First waves - video
Seer Capital's Terry Lanson speaks to SCI about the outlook for SRT in 2024
....... News Analysis 21 February 2024
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’ .......
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
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
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