Capital Relief Trades
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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
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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
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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
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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
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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
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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
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Basel 4 series: Preparing - video
Market participants share their insights about how to prepare for Basel 4
....... 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
....... 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 2023Premium 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
Risk transfer round-up - 16 November
The week's CRT developments and deal news
Market news
News 16 November 2023
Freddie Mac last week priced the high-LTV STACR 2023-HQA3 deal, its first CRT transaction since the end of June, introducing a new deal structure. The trade included an A1 class structured as a three-year bullet-like bond, which is pro-rata to the senior retained AH class from day one, but receives all AH cashflows at the three-year mark and .......
Value covered
LibreMax Capital cio Greg Lippmann and ABS head Kevin Tyler...
Q: How has the evolution of the banking system and regulatory environment over time shaped private credit markets?
The Structured Credit Interview 16 November 2023
GL: Before the global financial crisis (GFC), there were certain aggressive financial products which enabled consumers to become overleveraged, as well as light bank capital charges for investment bank holdings of structured products, which ultimately brought Lehman Brothers to default and spurred .......
Inflection point?
Dennis Heuer, partner at White & Case, discusses the...
Q: Having historically been secretive and opaque, is the SRT market likely to transition from highly private to increasingly more syndicated deals? Are we witnessing an inflection point?
Talking Point 15 November 2023
A: I wouldn’t describe it as a clear shift but rather something I can foresee happening. Currently the market is divided between small club (often anchored by one lead investor) or bilateral .......
Ares flies high
Top alt credit investor predicts CRT boom
Ares Management, founded in 1997, is a leading investor in alternative credit products. It has US$395bn under management, of which some US$32bn, or a little under 10%, is invested in alternative credit. It recently closed Pathfinder II, one of its alternative credit funds devoted to illiquid instruments, with US$6.6bn in commitments, measurably more than the US$5bn target. It is also almost .......
The Structured Credit Interview 14 November 2023
Basel 4 series: SRT game changer - video
Market participants share their views on the extent to which...
....... News Analysis 14 November 2023
Motor Securities 2023-1 prices
Santander completes UK capital relief trade
Santander has executed Motor Securities 2023-1, a synthetic securitisation of UK auto loans.
Similarly to last year, the transactions consists of two placed tranches; a £26.7m class D tranche (with an expected AAA rating from ARC and KBRA) and a £41.2m unrated class E tranche. The D tranche priced at SONIA plus 400bp, while the E tranche landed at .......
News 9 November 2023
Glass half full?
PRA publishes discussion paper on capital requirements for securitisation transactions
Following consultations by the PRA and FCA, which set out proposed non-prudential rules for the UK securitisation market as part of the broader post–Brexit regulatory framework, the PRA has recently published a discussion paper on certain securitisation prudential regulation issues, all of which are relevant to, and potentially impactful for, synthetic securitisations.
One of the measures .......
News Analysis 9 November 2023
A global market
Matthew Moniot, co-head of credit risk sharing at Man GPM, answers SCI's questions
Q: Could you tell us about your recent move to Man GPM?
A: We joined Man Group in 2022, from Elanus Capital, the firm I founded back in 2010. By 2020 two things were apparent. Firstly the SRT market had grown significantly and was starting to attract large, institutional managers and secondly, technology, an area of focus at Elanus, would be an .......
The Structured Credit Interview 8 November 2023