Capital Relief Trades
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Risk transfer round-up - 28 February
CRT sector developments and deal news
Banca Monte dei Paschi di Siena is rumoured to be readying an SME SRT for next month, with the counterparty allegedly already selected. The transaction would be the bank’s first synthetic securitisation and it was reportedly scheduled initially for 4Q19.
...... News 28 February 2020Premium Content
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MRT evolution
US Mortgage Risk Transfer report now available
Pioneered by Fannie Mae and Freddie Mac the US mortgage risk transfer (MRT) market is growing strongly and is now attracting the interest of potential new participants. Both the sell- and buy-side are hoping the sector will evolve to include non-agency issuance and kick-start a US capital relief trades market to rival and eventually even exceed the one seen .......
News 27 February 2020
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UK SRT debuts
Opel prepping full-stack auto ABS
BNP Paribas is marketing Opel’s second full-stack auto ABS from the E-CARAT programme. Dubbed E-CARAT 11, the capital relief trade is the issuer’s first to reference UK auto loans.
Boudewijn Dierick, head of ABS markets at BNP Paribas, notes: “The residual value is the novelty and main challenge here, as different investors take different views on UK RV .......
News 25 February 2020
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High-profile bankers exit SRT
Sector developments and company hires
SRT departures
Last week saw a couple of high-profile exits from SRT banking teams in London. Structuring specialist Jeremy Hermant is understood to have left Santander, while md Bob Paterson has reportedly been put at risk of redundancy at Lloyds.Spokespeople at both banks declined to comment, although the latter stated: “Whenever we make role reductions, these changes do require making difficult .......
Market Moves 24 February 2020
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Moving down
Insurers target first-loss CRTs
Insurers are now targeting the first-loss tranches of capital relief trades, having eyed the senior mezzanine tranches of dual-tranche transactions last year (SCI 22 March 2019). The better risk/return profile of first-loss tranches and an adaptation of traditional credit insurance contracts into unconditional guarantee formats are the main factors driving the development.
According to one reinsurer: “We have no .......
News Analysis 21 February 2020
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SRT fund launched
AXA engineers return
AXA Investment Managers has completed its eighth partner capital solutions fund. With the move, the firm is seeking to capitalise on diversification opportunities and volume growth in the risk transfer market.
According to Deborah Shire, global head of structured finance at AXA Investment Managers: "The reg cap market has been transformed into a full-fledged alternative investment opportunity, with .......
News 21 February 2020
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Risk transfer round-up - 20 February
CRT sector developments and deal news
Further details have been revealed of CRT transactions that were completed in 4Q19. One is another Barclays deal from the Colonnade programme, which is a US$55m tranche that matures in December 2026.
Lloyds also returned to the market with a third Wetherby trade. Dubbed Wetherby Securities 3 2019, it comprises two tranches sized at £49.5m and £36m (see ......
News 20 February 2020Premium Content
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SME double
EIF closes pair of EFSI guarantees
The EIF has closed two new guarantee agreements supporting European SMEs, both of which are supported by the European Fund for Strategic Investments (EFSI). One is a synthetic securitisation executed with Commerzbank and the other is the extension of a COSME facility with Bank Gospodarstwa Krajowego (BGK).
Under the first agreement, the EIB and the EIF have provided .......
News 19 February 2020
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ArrowMark acquires investment platform
Sector developments and company hires
Acquisition
Market Moves 14 February 2020
ArrowMark Partners has acquired the bank investment platform and assets of StoneCastle Asset Management. As a closing condition of the transaction, stockholders approved a new investment management agreement between the company and StoneCastle-ArrowMark Asset Management - a subsidiary of ArrowMark - and elected eight directors, constituting its board. Sanjai Bhonsle has been elected as the company’s ceo and chairman. .......
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Risk transfer round-up - 13 February
CRT sector developments and deal news
Mediobanca is readying another capital relief trade in addition to its inaugural SRT that will close this year (SCI 7 February). The second transaction is expected to close in 2021.
...... News 13 February 2020Premium Content
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Risk transfer boost
CRT issuance breaks record
Capital relief trade issuance broke a record in 2019, with volumes reaching €7.5bn. This marks the highest total tranche notional volume in the post-crisis period, surpassing the previous record set in 2017.
According to SCI data, total tranche notional volumes for 2019 reached €7.5bn, compared to €6.6bn and €6.7bn for 2018 and 2017 respectively. Multiple CRT investors though estimate .......
News Analysis 13 February 2020
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CRT upgraded due to 'substantial' increase in CE
Sector developments and company hires
Canadian MBS ETF
Market Moves 12 February 2020
BMO Asset Management has launched a new stable of ETFs trading on the TSX, including the first MBS ETF in Canada. Dubbed BMO Canadian MBS Index ETF, the offering aims to provide unique exposure to a segment of the MBS market fully guaranteed by the Canada Mortgage and Housing Corporation (CMHC). The pools each have a term .......
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Sporadic issuance
CQS SRT wave unlikely
BNP Paribas arranged Amalia, Banca Nazionale del Lavoro’s landmark synthetic securitisation of Italian payroll-deductible loans (CQS), in December last year (SCI 24 December 2019). However, significant volumes of CQS SRT issuance remains unlikely, due to expected reductions in CQS risk weights, the niche nature of the loans and the fact that historically most deals are undertaken by small operators .......
News Analysis 10 February 2020
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EBA reports pending
Trapped excess spread requirement could be dropped
The EBA will finalise its approach to significant risk transfer this year through the publication of the final SRT report and another consultation in the second quarter. The requirement for a trapped excess spread mechanism for synthetic securitisations will most likely be excluded from the final SRT report, although the regulator notes that synthetic excess spread is a form of .......
News Analysis 7 February 2020
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Risk transfer round-up - 7 February
CRT sector developments and deal news
Bank of Scotland (BOS) is in the market with Syon Securities 2020, its second UK mortgage SRT (SCI 25 July 2019). The £550m reference portfolio comprises prime owner-occupied loans with LTV ratios in excess of 90% but less than or equal to 95%, originated between September and December 2019. The rated CLNs are exposed to the first 15% of ......
News 7 February 2020Premium Content
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Syon Securities priced
Bank of Scotland engineers return
Bank of Scotland has priced a seven-year financial guarantee that references a £550m portfolio of UK owner-occupied residential mortgage loans. Dubbed Syon Securities 2020, the risk transfer transaction is the bank’s second from the programme following the inaugural SRT last year (SCI 25 July 2019).
Rated by Fitch and KBRA, the transaction consists of £18.75m A-/A rated .......
News 7 February 2020
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Grasshopper up
Landmark green SRT finalised
RBS has completed a landmark capital relief trade referencing a £1.1bn portfolio of UK project finance loans. Dubbed Project Grasshopper, the approximately £78m financial guarantee is the first risk transfer transaction to be backed entirely by green assets and was carried out for both capital relief and credit risk management purposes. Macquarie Infrastructure Debt Investment Solutions, in conjunction with BAE .......
News Analysis 31 January 2020
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BMO SRT inked
Repeat Manitoulin trade completed
Bank of Montreal has completed a capital relief trade referencing US and Canadian senior secured and senior unsecured corporate loans. Dubbed Manitoulin USD Algonquin 2020-1, the five-year financial guarantee is a repeat transaction of another Manitoulin SRT from the same series that was finalised in July 2019.
Rated by DBRS Morningstar, the transaction consists of a triple-A rated class A .......
News 31 January 2020
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Risk transfer round-up - 28 January
CRT sector developments and deal news
Deutsche Bank has completed a capital relief trade from the CRAFT programme. Dubbed CRAFT 2020-1, the US$150m 9.5-year CLN priced at Libor plus 9.5%. The floater is non-callable and has a weighted average life and expected maturity equal to 7.5 years. Deutsche Bank’s last CRAFT transaction was finalised in March 2019 (see SCI’s capital relief trades database).
...... News 28 January 2020Premium Content
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Risk transfer round-up - 27 January
CRT sector developments and deal news
Banco BPM is rumoured to be readying a capital relief trade for this year. The issuer launched its first risk transfer transaction in June 2019, which was carried out with the EIF (see SCI’s capital relief trades database).
...... News 27 January 2020Premium Content
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Risk transfer round-up - 23 January
CRT sector developments and deal news
Caixabank is rumoured to be prepping a consumer SRT for this year. The lender printed its last transaction in May 2019 (see SCI’s capital relief trades database). Dubbed Gaudi Synthetic 3, the €100m financial guarantee was carried out with the EIF.
...... News 23 January 2020Premium Content