Capital Relief Trades
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Spanish SRT inked
BBVA launches capital relief trade
BBVA has completed an €87m mezzanine guarantee with the EIF. Dubbed Vela Four, the transaction references a static €1.25bn Spanish SME and mid-cap portfolio and has a simpler structure compared to previous capital relief trades from the same programme.
According to Pablo Sanchez Gonzalez, structured finance manager at the EIF: “We have used a much simpler structure this .......
News Analysis 3 July 2020
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Fast amortisation
SSPAIN deleveraging highlighted
Scope Ratings has published a monitoring report for Santander’s 2019 US auto significant risk transfer deal SSPAIN (see SCI’s capital relief trades database). The assigned ratings remain the same and the rated notes have benefited from deleveraging and lower than expected portfolio losses. However, back-loaded default scenarios are plausible, given Covid-19 uncertainties - although the impact of the .......
News 2 July 2020
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Risk transfer round-up - 1 July
CRT sector developments and deal news
NatWest is rumoured to be readying a capital relief trade backed by mid-market corporate loans for 3Q20. The transaction would be the issuer’s first post-Covid significant risk transfer deal, following the announcement of Project Grasshopper in December 2019. The latter deal referenced project finance loans (see SCI’s capital relief trades database).
....... News 1 July 2020
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Structuring negotiations
CRT origination trends evolving
Investors appear to be able to extract more than they used to during structuring negotiations for capital relief trades, following the coronavirus-driven repricing of risk. Portfolio composition is also evolving, reflecting concerns over industries that are perceived to be riskier, according to SCI’s latest CRT Research Report.
Frank Benhamou, md and head of funding and capital solutions at .......
News Analysis 26 June 2020
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Impact SRTs eyed
Newmarket launches asset management business
Newmarket has launched its asset management business, which will focus on the nexus of structured solutions and impact investing. Newmarket has spun out of Mariner Investment Group and will build upon a history of risk transfer investing. Along with this launch, Newmarket has formally assumed the management of the IIFC strategy, launched seven years ago at Mariner.
Molly .......
News Analysis 23 June 2020
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Risk transfer round-up - 22 June
CRT sector developments and deal news
Deutsche Bank has completed a US$125.58m six-year CLN that references a US$1.932bn global corporate portfolio. Dubbed CRAFT 2020-3, the capital relief trade follows the lender’s first post-Covid SRT from the same programme that was completed earlier this month (SCI 12 June).
The transaction priced at three-month Libor plus 10.75%. It features a weighted average life equal to 3.5 years .......
News 22 June 2020
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Sicilian CRT launched
BAPR completes SME securitisation
The EIF and Banca Agricola Popolare di Ragusa (BAPR) have completed a synthetic securitisation referencing Sicilian SMEs. The €22m guarantee references an approximately €200m portfolio and is the Italian lender’s first capital relief trade.
“We are pleased to sign this agreement with Banca Agricola Popolare di Ragusa, a regional financial intermediary committed to supporting local SMEs. The operation .......
News 19 June 2020
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Lift off
Credit Suisse finalises SRT
Credit Suisse has priced an Sfr130.5m equity tranche that references a Sfr1.8bn blind pool of medium to large Swiss corporate borrowers. Dubbed Elvetia Finance Series 2020-1, the transaction is the Swiss lender’s first capital relief trade following the outbreak of the coronavirus.
The transaction’s pricing hasn’t been disclosed, but it’s believed to be in the double digits. The last Elvetia .......
News 19 June 2020
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SRT debut
Sabadell completes first synthetic securitisation
Sabadell has completed a €96m mezzanine guarantee with the EIF. The transaction references a €1.6bn Spanish SME portfolio and is the Spanish lender’s first synthetic securitisation.
The guarantee will enable the issuer to provide €576m of financing, primarily to self-employed, SME and mid-cap borrowers. The structure comprises senior and mezzanine tranches that amortise on a pro-rata basis, and .......
News 18 June 2020
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Bridging gaps
Linking SRT originating banks with insurance partners
Texel is aiming to help insurers and banks bridge gaps in their understanding of how each sector approaches significant risk transfer transactions. With insurers expected to become more active in the capital relief trades market, the firm’s structured and bespoke solutions group last month recruited former Qbera Capital securitisation advisory head Paul Petkov (SCI 15 May), who .......
Market Moves 17 June 2020
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Risk transfer round-up - 17 June
CRT sector developments and deal news
Credit Suisse is rumoured to be readying a capital relief trade from the Elvetia programme that is scheduled to close in 2Q20. The Swiss lender’s last Elvetia SRT was closed in May 2019 and referenced SME loans. Elvetia transactions are typically backed by Swiss corporate and SME loans (see SCI’s capital relief trades database).
....... News 17 June 2020
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Risk transfer rebound
Deutsche Bank completes SRT
Deutsche Bank has completed a US$325m CLN that references a disclosed US$5bn global portfolio of large corporate revolvers. Dubbed CRAFT 2020-2, the transaction is the lender’s first capital relief trade following the Coronavirus crisis and the second post-Covid SRT to be issued after Bank of Montreal’s trade last month (SCI 15 May).
News Analysis 12 June 2020
Yuri Greenfield, head of risk and portfolio .......
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Euro ABS 'game changer' recommended
Sector developments and company hires
Euro ABS ‘game changer’ recommended
Market Moves 11 June 2020
The European High-Level Forum (HLF) on the capital markets union (CMU) has published its final report, which proposes 17 inter-connected “game changers” – measures that the EU needs to implement to remove the biggest barriers in its capital markets. The European Commission stresses that completing the CMU has become particularly urgent in order to speed .......
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Risk transfer round-up - 10 June
CRT sector developments and deal news
Santander has exercised a 10% clean-up call for its Red-1 Finance CLO 2017-1 transaction. The UK commercial real estate capital relief trade was structured in 2017 with a June 2022 maturity (see SCI’s capital relief trades database).
....... News 10 June 2020
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Resolve and resilience
Content sponsored by Ocorian
James Maitland, regional head of Americas, Bermuda & Caribbean, and global head of capital market services at Ocorian, spoke to SCI about how resilience is benefiting the industry and his firm
With the traditional office environment disappearing almost overnight and widespread personal restrictions, we have seen a smooth transition and incredible resilience both within our own firm and across the .......
Talking Point 10 June 2020
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NCSLT consent judgment denied
Sector developments and company hires
NCSLT consent judgment denied
Fitch has affirmed 37 notes and maintained its rating watch negative placement on nine notes from 12 National Collegiate Student Loan Trust (NCSLT) securitisations. The move follows Delaware District Judge Maryellen Norieka’s decision last month not to approve a consent judgment proposed by the CFPB and purportedly agreed to by the NCSLTs.The judgment was .......
Market Moves 9 June 2020
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Capital trouble
GSEs stare down the barrel of reduced capital relief for CRT deals
The re-proposed capital rules for the GSEs before they exit conservatorship, released by the Federal Housing Finance Authority (FHFA) on May 20, add further doubts to the future of the credit risk transfer market, according to market opinion.
Compared to the rules released in 2018, the new iteration cuts in half the credit relief afforded by CRT deals. .......
News Analysis 5 June 2020
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First steps
STS synthetics paper receives qualified welcome
The EBA’s final framework for STS synthetic securitisations has received an overall positive reception from the capital relief trades market (SCI 7 May), although questions remain regarding the limitation of preferential capital treatment to the senior retained tranches. More saliently, concerns have been raised related to ERBA portfolios and the prudential criteria for obtaining preferential capital treatment.
Overall, market .......
News Analysis 5 June 2020
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Risk transfer round-up - 5 June
CRT sector developments and deal news
Sabadell is rumoured to be readying an SME significant risk transfer deal for the second half of the year. The lender launched its first risk transfer trade in September 2019 in full stack form (see SCI’s capital relief trades database).
....... News 5 June 2020
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Repricing of risk?
Funded, unfunded investor collaboration to rise
The outlook for the significant risk transfer market appears to be positive, at least in the short term. Not only is the instrument likely to play a role in the post-coronavirus economic recovery, but it could also help bridge a gap left by the repricing of risk.
Perceptions of risk have changed following the coronavirus outbreak, with CRT .......
News Analysis 5 June 2020
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Conduit CMBS on watch
Sector developments and company hires
Conduit CMBS on watch
Market Moves 4 June 2020
S&P has placed its ratings of 96 classes from 30 US conduit CMBS on credit watch (CW) with negative implications, reflecting the bonds' exposure to the adverse impact of Covid-19 on the lodging and retail sectors, and the related uncertainty about the duration of the demand disruption. The agency says it will resolve or update the .......