Capital Relief Trades
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Positive results
Stress tests raise SRT prospects
The results of the latest EU bank stress tests demonstrate that European banks are able to withstand severe shocks. Indeed, the tests were the most severe to date and - following the ECB’s lifting of dividend restrictions in late July - banks are now able to boost dividend payments. The latest developments raise the issuance prospects for significant risk .......
News Analysis 4 August 2021
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Issuance boost
STS synthetic securitisations taking off
The pipeline of STS synthetic securitisations continues to grow (SCI 5 March), with at least a dozen such transactions expected to price by year-end. Banks that are new to the significant risk transfer market, as well as regular capital relief trade issuers are readying deals, with Santander believed to be first off the blocks (SCI 4 August).
News 4 August 2021
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Credit events
US moratoria challenges highlighted
The capital relief trades market has adapted to the existence of payment holidays by either excluding them from portfolios or limiting their presence in them. Nevertheless, payment holidays have raised challenges for US synthetic securitisations - although their removal isn’t expected to have a negative impact on US deals, given that the bulk of take-up rates occurred last year .......
News 23 July 2021
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Credit engagement
Raj Shourie, from Lockton's political and credit risks divis...
Q: Your role means that you will be responsible for leading the engagement with financial institutions internationally out of London, for both credit mitigation and country risk protection. Tell us more about what that will entail.
Provider Profile 22 July 2021
A: I’ll be responsible for originating business dialogue with banks and funds, targeting new users of credit and political risk insurance and existing users .......
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Collateral Chase
JPMC visits CRT space again with trade referencing prime mortgages
JP Morgan Chase is back in the regulatory capital relief market with a trade referencing 4,862 fixed rate prime mortgages almost a year to the day since its last, and first, similar such deal.
The trade, designated Chase Mortgage Reference Notes 2021-CL1, comprises five tranches which transfer mortgage risk through tranched credit default swaps. The pool of mortgages has a total balance .......
News 21 July 2021
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Angel eyes
Angel Oak Capital Advisors' Sam Dunlap talks value in non-agency MBS
Atlanta-based Angel Oak Capital Advisors’ flagship multi-strategy income fund (ANGLX), this year celebrates its 10-year anniversary. The ANGLX is a dedicated structured credit mutual fund, focussing chiefly on US non-agency residential MBS, and was launched after the Financial Crisis of 2007/2008. In the last decade, ANGLX has achieved average annualised returns of 5.66%, as of 6/30/21, and now has approximately $7bn .......
The Structured Credit Interview 20 July 2021
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Six STACRs - UPDATE
Freddie's sixth STACR of 2021 prints inside previous two
Freddie Mac late yesterday (July 19) priced its sixth STACR deal of the year, designated STACR 2021-DNA5, at levels inside recent DNA and HQA trades.
“Freddie Mac’s single family CRT programme continued to attract strong investor demand, with 66 unique investors participating in the STACR 2021-DNA5 transaction, the most since 2017. The B1 tranche drew 39 investors, the most in programme history. .......
News 20 July 2021
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New CLO committee to tackle 'greenwashing'
Sector developments and company hires
New CLO committee to tackle ‘greenwashing’
Market Moves 15 July 2021
The European Leveraged Finance Association (ELFA) has created a new committee to establish industry best practice and serve investors in the CLO market. The CLO Investor Committee will provide a forum for members to identify CLO investors’ requirements, facilitate discussion on general market progress and key issues, and contribute to the regulatory dialogue on .......
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Bridging the gap
Sustainable SRTs to spur ESG securitisation growth?
A steady stream of renewables significant risk transfer deals is expected to come on to the market in the coming months. This CRT Premium Content article investigates whether synthetics can spur growth across the broader ESG securitisation sector.
Synthetic transactions referencing sustainable portfolios are being touted as a straightforward way to overcome the current paucity of suitable ESG assets ......
News Analysis 14 July 2021Premium Content
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Lift off
BMO programme details revealed
Further details have emerged of a synthetic securitisation programme launched by BMO in late December 2020. Dubbed Sauble, the programme will exclusively focus on leveraged loan issuance and is one of only two programmes dedicated to this segment. BMO has already printed two transactions from the Sauble programme - executed in December 2020 and June this year (SCI .......
News 12 July 2021
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Issuance boost
BNP Paribas leads the pack
BNP Paribas has completed a full-stack significant risk transfer transaction backed by French unsecured consumer loans. Dubbed Noria 2021, the securitisation is the first capital relief trade from the programme to be backed by personal, debt consolidation and sales finance loans. The transaction renders the bank the most active SRT originator this year to date.
According to .......
News 9 July 2021
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Softly softly
US banks reluctant to swallow issuance costs of corporate CRTs
The imminent issue of another CRT trade from JP Morgan Chase, its fourth in a year, appears to support the often widely disseminated view that the US market is at lift-off point.
This view also gained ballast with the inaugural US regional bank deal from Texas Capital Bank in March.
However, the US CRT sector remains a thing of bits and pieces .......
News Analysis 8 July 2021
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Fourth gear
JP Morgan takes to the road again for fourth auto CLN in 11 months
JP Morgan Chase is to issue its second auto loan credit linked note (CLN) of the year and its fourth in less than a year as it continues to expand its use of CRT technology.
The eight-tranche offering, designated Chase Auto Credit Linked Notes Series 2021-2, references 189,931 loans for a notional amount of $4.25bn. This is 28,000 more loans than were .......
News 8 July 2021
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