Capital Relief Trades

  • 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

  • Canadians coming

    Scotia back in the CRT market

    Scotia Bank is back in the SRT market, only three months after it sold its inaugural deal in this sector, say well-placed sources.

    It is selling a synthetic securitization of a US$4bn pool of loans, some 20%-25% of which are non-investment grade, add sources.

    It is selling a first loss position of 0%-7.5% and the price range is between 9.25% and 9.50%, .......

    News 8 November 2023

  • Scope sees ratings drift reverse in Q3

    Market updates and sector developments

    Ratings drift in structured finance instruments improved in the third quarter of 2023 for the first time in more than a year, Scope Ratings has revealed. The metric measures the ratio between upgrades minus downgrades and the total number of monitored ratings over the past year.

    While the agency oversaw just 12% of 294 instruments upgraded against 17% .......

    Market Moves 7 November 2023

  • SRT Market Update

    Project finance transactions in focus

    SRT market conditions currently remain stable, with banks and investors looking to close trades before the end of the year, notably in the project finance sector. But pricing is poised to rise and spreads to widen heading into 2024.

    Corporate and SME transactions typically dominate the lion’s share of SRT issuance, but activity in the project finance and .......

    News 3 November 2023

  • GSEs glisten

    CAS and STACR look good versus comps as supply dwindles

    Agency CRT bonds continued to outperform rates and both high yield and investment grade product in October, making it the seventh month in a row that the sector has recorded positive returns, according to data compiled by industry leader Mark Fontanilla and Co.

    The CRTx, the company’s flagship index, returned 0.49% for the month, in the face of considerable market volatility occasioned .......

    News 2 November 2023

  • Latest SRTx fixings released

    Volatility spikes in November index values

    The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Notably, the volatility indexes have widened considerably across the board, in response to the conflict in the Middle East.

    .......

    News 2 November 2023

  • Depletion analysis

    CRT loan mods stress-tested

    Excessive loan modifications could result in credit support depletion for US agency credit risk transfer transactions, according to S&P. A scenario analysis undertaken by the rating agency on typical CRT structures suggests that the presence of an associated coupon on the most subordinate B3H class, along with an elevated SOFR mitigates modification losses - particularly under higher interest rate .......

    News 2 November 2023

  • PRA consults on CRR rules

    Market updates and sector developments

    The UK PRA has launched a consultation on draft rules to replace firm-facing requirements regarding securitisation under the CRR in 2H24. As such, it has published a discussion paper (DP) that raises certain key issues for feedback, in order to inform its approach - including the use of unfunded credit risk mitigation (CRM) in SRT transactions.

    In particular, the .......

    Market Moves 1 November 2023

  • Growing the core

    Overcoming hurdles in unfunded CRT execution

    (Re)insurer interest in CRTs is rising, but execution of unfunded transactions remains limited. This Premium Content article outlines the hurdles that still need to be overcome.

    (Re)insurer participation in the capital relief trades sector is seeing continued growth, with an estimated 30 unfunded deals anticipated to close by year-end. Nevertheless, unfunded protection providers still only account for ......

    News Analysis 30 October 2023

    Premium Content

  • Job swaps weekly: Antares beefs up team after strategy launch

    People moves and key promotions in securitisation

    This week’s roundup of securitisation job swaps sees Antares Capital hiring multiple senior executives, as it closes its debut broadly syndicated loan CLO. Elsewhere, Prosperise Capital has appointed PC2 Capital’s founder as partner and head of CRE following its acquisition of the firm, while S&P Global has promoted three securitisation execs to md in the Americas.

    Antares Capital .......

    Market Moves 27 October 2023

  • Risk transfer round-up - 26 October

    The week's CRT developments and deal news

    People moves
    Alan McNamara is set to join Howden CAP as executive director, balance sheet advisory and structuring, based in Dublin. McNamara was previously at the Bank of Ireland, most recently as head of group balance sheet management and execution, responsible for the bank’s extensive SRT programme. In his new role, he will enhance the advisory and structuring expertise across .......

    News 26 October 2023

  • Polish lease SRT prints

    Millennium, Veld strengthen relationship

    Private credit specialist Veld Capital has acted as investor in Millennium Leasing’s latest significant risk transfer transaction. The trade references a €1bn portfolio, comprising highly granular performing Polish SME leases, underpinned by vehicles and machinery, with Veld Capital investing in the mezzanine tranche of the trade.

    Leases originated by Millennium Leasing in Poland have historically exhibited high payment .......

    News 24 October 2023

  • 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

  • '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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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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