Capital Relief Trades
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EU leads the pack
Delegates at SCI CRT event stress jurisdictional divergence
The striking asymmetry between regulators in the EU, UK and the US in their approach to the implementation of the Basel III capital regime was noted by speakers at SCI’s ninth annual capital relief trades seminar in London last week.
There are “big differences” between regulators, with the EU seeking to “mitigate” some of the effects of Basel III upon banks, the .......
News 23 October 2023
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'Endgame' comment period extended
Market updates and sector developments
US federal bank regulatory agencies have extended the comment period for both the Basel Endgame risk-based regulatory capital proposal and the G-SIB surcharge proposal until 16 January 2024 (SCI 28 July). Comments on both proposals were originally due by 30 November, but the comment period has been extended to allow interested parties more time to analyse the issues .......
Market Moves 23 October 2023
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Job swaps weekly: Octagon elevates Lam to ceo
People moves and key promotions in securitisation
This week’s round-up of securitisation-related job swaps sees Octagon Credit Investors appointing senior portfolio manager Gretchen Lam as its new ceo. Elsewhere, structured finance lawyers Martin Bartlam and Elana Hahn have joined Xfinite Global and Fasken respectively.
The appointment of Lam as Octagon’s new ceo comes as the firm’s cofounder Andrew Gordon transitions into a new role as executive .......
Market Moves 20 October 2023
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CRT Market Update
Diversity on display
Capital relief trade issuance volume could creep past €200bn by year-end, according to Man GLG’s Q4 credit outlook paper. The report further states that as SRT spreads sit at their widest levels for over a decade, the opportunity for investors to gain exposure to a diversified pool of high-quality loans is currently compelling (SCI 14 September).
“We’ve seen the .......
News 20 October 2023
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Algonquin prices
Latest BMO deal closes
The latest Algonquin synthetic securitization from CRT veteran Bank of Montreal priced at the end of last week and attracted over ten different investors, according to market sources.
This transaction was reported to be in the market last month, and, as was expected, was upsized from an original US$2.5bn to US$5bn.
A first loss position of 0% to 6.25% was sold for .......
News 18 October 2023
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JP Morgan inundation
Buyers band together in face of vast deals
CRT investors are forming syndicates to cope with the enormous weight of synthetic securitized paper JP Morgan hopes to sell in the coming weeks, say sources.
The leading US bank is in the market with a CRT trade which has a reference pool as large as US$20bn-US$25bn, as was reported last month. Buyers are being asked to take slugs of US$250m-US$500m, .......
News 18 October 2023
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US CLN market could reach US$220bn
Market updates and sector developments
JPMorgan securitised products research analysts estimate that the potential size of the US CLN market could amount to US$220bn, as banks become more comfortable with issuing the notes for capital relief purposes, following the Federal Reserve’s clarification of what defines a synthetic securitisation (SCI 29 September). Indeed, they suggest that the move may mark the beginning of a .......
Market Moves 16 October 2023
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Junon 4 prices
SG's latest corporate SRT unveiled
Societe Generale has executed the fourth synthetic securitisation from its Junon programme. The significant risk transfer transaction – called Junon 4 – references a €5bn portfolio of global corporate loans.
Structured as a CLN and issued via a French SPV, the deal further received the STS designation. Regarding the transaction’s syndicated nature, Pascale Olivie, director, asset-backed products at .......
News 16 October 2023
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Job swaps weekly: Fearon steps up at Arch
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Arch Capital Group appoint a new ceo in its global mortgage group. Elsewhere, Gallagher Re has hired a new head of global credit and political risk, while Cushman & Wakefield has snapped up a Patterson Real Estate Advisory exec as md.
Arch Capital Group has promoted Seamus Fearon to ceo, international mortgage for the .......
Market Moves 13 October 2023
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Risk transfer round-up - 12 October
The week's CRT developments and deal news
Market news
Fannie Mae has commenced fixed-price cash tender offers for the purchase of any and all of 11 Connecticut Avenue Securities (CAS) notes, with an unpaid principal balance of US$1.398bn and vintages ranging from 2016 to 2018. The offers will expire on 16 October and settlement is expected on 18 October.Fannie Mae has engaged BofA Securities as .......
News 12 October 2023
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Snowball effect
EIF expands CEE engagement
The EIF is prepping a third synthetic securitisation with a Bulgarian banking group, following its deals with Bulbank last October (SCI 19 October 2022) and ProCredit Bank in June (SCI 22 June). Meanwhile, a further transaction in Romania is anticipated towards the end of the year, as the fund continues its engagement across Central and Eastern Europe.
News 10 October 2023
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Poland first
EBRD and Santander Group close their first synthetic securitisation in Poland
As previously reported in the pipeline, the European Bank for Reconstruction and Development (EBRD) and Santander Bank Polska - the Polish leasing subsidiary of Santander Group - have closed a synthetic securitisation. This is the EBRD’s first CRT trade in Poland.
The EBRD is providing €55m protection on the mezzanine tranche of a synthetic securitisation in the form of an unfunded .......
News 9 October 2023
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Job swaps weekly: HSBC snaps up former Deutsche Bank CLO head
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees a former head of CLOs at Deutsche Bank taking up a director role at HSBC. Elsewhere, CBRE has promoted a London-based executive md to president and coo in its Tokyo office, while SLC Management has appointed two new co-heads for its private fixed income team.
Deutsche Bank’s former head of CLOs, .......
Market Moves 6 October 2023
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Risk transfer round-up - 5 October
The week's CRT developments and deal news
Market news
News 5 October 2023
A new paper published by the European Systemic Risk Board (ESRB) suggests that the synthetic securitisation sector has reached sufficient critical mass to make SRT a permanent feature in the capital management toolkit of European banks. However, it notes that as more banks and investors enter the market, the current assessment process will “need to become .......
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Latest SRTx fixings released
Index values indicate incremental widening in spreads, while...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Participants’ estimates indicate a tightening in European spreads compared with September’s fixings (SCI 7 September), while market sentiment relating to credit risk remains elevated across the board in both Europe and the US.
This month’s survey responses suggest that European spread estimates have .......
News 4 October 2023
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'Sluggish' September?
Quarterly SCI CRT data review
CRT issuance so far this year appears to have consistently tracked below that of last year’s volumes. In terms of deal count, SCI data shows that 39 transactions have closed in the year to end-September 2023, versus 52 for the corresponding period in 2022.
.......
News 4 October 2023
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Fundamental review
FSB response calls for level playing field
Paris Europlace has filed its response to the Financial Stability Board's (FSB) request for feedback on the effects of the G20 regulatory reforms on securitisation implemented since the GFC. Regarding the CRT market, the organisation underlines several issues, while noting that although volumes have recently improved, a detailed assessment of the kind of measures that should define significant .......
News 2 October 2023
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Glad confident morning again
Fed's CRT clarity both welcome and begins new era
The Federal Reserve last Friday finally issued guidance on the capital treatment for CRT transactions based on both SPVs and direct CLNs (SCI 29 September), and it ushers in a brave new world of much increased clarity and greater issuance in the US SRT market.
Not only have SPV-based transactions been given the green light, direct CLNs have received more warmth .......
News 2 October 2023
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Fed clarifies CLN definition
Market updates and sector developments
The US Fed has updated its FAQs on Regulation Q to provide guidance in connection with the recognition of CLNs under the capital rule, a step that the US CRT market has been awaiting for over a year. Under the capital rule, a Fed-regulated institution can recognise the credit risk mitigation of the collateral on a reference portfolio under the .......
Market Moves 29 September 2023
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SME SRT prints
'CRE-heavy' portfolio revealed
Further details have emerged regarding Santander’s latest UK SME synthetic securitisation (SCI 28 September). The static reference portfolio comprises 1,040 obligations, the majority of which are term loans (accounting for around 89%), with the remainder being revolving credit facilities (around 11%).
Of the portfolio, 819 exposures (or 72% of the pool) are secured by CRE assets, including .......
News 29 September 2023
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LBBW, mBank out of the blocks
SRT Market Update
Further details have emerged on one of the Polish SRT trades that had been in the pipeline (SCI 28 September). Meanwhile, LBBW has closed an innovative synthetic securitisation with the EIB Group.
Polish lender mBank has completed its third SRT transaction, representing the largest-ever synthetic securitisation in the CEE region. Dubbed Makalu, the deal references an approximately .......
News 29 September 2023