Capital Relief Trades

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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
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