Capital Relief Trades

  • BMO SRT launched

    BMO expands mid-market exposure

    Bank of Montreal (BMO) has completed a five-year financial guarantee that references US and Canadian senior secured and unsecured corporate loans. Dubbed Manitoulin USD Algonquin 2019-1, the transaction differs from previous Manitoulin deals due to the additional numbers of mid-sized corporate borrowers in the portfolio.   

    The risk transfer trade features a replenishment period and complies with risk retention rules. .......

    News 26 July 2019

  • Benchmark SRT inked

    Bank of Scotland completes unusual synthetic UK RMBS

    Bank of Scotland has launched its first post-crisis synthetic UK RMBS. Dubbed Syon Securities 2019, the £150m CLN references a £1bn portfolio of UK residential mortgages.

    Synthetic securitisations of UK mortgages are highly unusual, with only two post-crisis transactions having been completed thus far (see SCI’s capital relief trades database). However, Syon Securities is expected to act .......

    News Analysis 25 July 2019

  • Risk transfer round-up - 24 July

    CRT sector developments and deal news

    Banca Popolare dell ‘Alto Adige is believed to be readying a capital relief trade that is expected to close in 4Q19. The transaction would be the bank’s first risk transfer transaction and is riding a wave of Italian securitisation issuance (SCI 24 July).

    Indeed, as part of the same trend, BNP Paribas completed its debut Italian auto .......

    News 24 July 2019

  • Revving up

    Italian auto SRT completed

    BNP Paribas has completed a €950m significant risk transfer transaction of Italian auto loans. Dubbed AutoFlorence 1, the true sale securitisation is the bank’s first post-crisis Italian capital relief trade.

    According to Boudewijn Dierick, head of ABS markets at BNP Paribas: “We successfully passed both phases of the SRT tests. First, there’s the SRT tests, where you have .......

    News 22 July 2019

  • Squaring the circle

    CRT issuers struggling with borrower anonymity

    Capital relief trade issuers are attempting to anonymise loan-by-loan data in transactions, while simultaneously complying with ESMA’s requirement to disclose such data as part of the new securitisation regulation (SCI 22 February). Market participants are concerned that unless regulators address this tension, it could cause a breach of confidentiality provisions.

    According to one legal expert: “The problem is more .......

    News Analysis 19 July 2019

  • Risk transfer round-up - 19 July

    CRT sector developments and deal news

    Monte dei Paschi di Siena is rumoured to be prepping an Italian SME significant risk transfer transaction for 4Q19. The securitisation would be the lender’s first capital relief trade.

    .......

    News 19 July 2019

  • Operational issues

    CRT key steps outlined

    The operational issues involved in prepping a risk transfer transaction are often overlooked. Indeed, three key steps should be in place before a bank considers executing a capital relief trade.

    “Each department of a bank – whether it’s the front, middle or back office – naturally tends to run its own individual processes and prioritise its own responsibilities; .......

    News Analysis 19 July 2019

  • Czech mate

    SME CRT inked

    The EIB, the EIF and Česká spořitelna (ČS) have inked a capital relief trade. The synthetic securitisation will channel €306m of new financing into SME businesses in the Czech Republic.

    Backed by the European Fund for Strategic Investments, the transaction features a €76.5m mezzanine guarantee to cover potential losses on an existing portfolio of around €1bn SME and .......

    News 18 July 2019

  • Risk transfer round-up - 11 July

    CRT sector developments and deal news

    Standard Chartered is believed to be readying a corporate capital relief trade that is expected to close this month. The bank’s last risk transfer transaction was completed in June and is a US$90m CLN called Chakra 3, which references a US$1bn portfolio of corporate revolvers (SCI 21 June). Additionally, Societe Generale is rumoured to be closing an SME .......

    News 11 July 2019

  • New deals surge

    Quarterly SCI data update

    2Q19 saw a surge in new issuance volume across securitisation markets either side of the Atlantic. The second quarter typically sees an uptick over the previous quarter (SCI 11 April 2019), but this year's boost in European volumes was a reflection of greater regulatory certainty as the new STS rules bedded in and pent-up supply met pent-up demand.

    .......

    News Analysis 10 July 2019

  • SRT trio

    Santander expands SME foothold

    Santander has completed three SME significant risk transfer transactions that total €940.6m of tranche notional. This represents Santander’s largest total annual SME synthetic securitisation placement to date (see SCI’s capital relief trades database).

    Jeremy Hermant, structurer at Santander, notes: “We continue to grow our SME issuance, while keeping the size of the balance sheet and the CET1 .......

    News 9 July 2019

  • Auto SRT completed

    Innovative direct CLN structure debuts

    Santander has completed its first synthetic significant risk transfer transaction that references a portfolio of US auto loans (SCI 2 July). Dubbed Santander Synthetic Prime Auto Issuance 2019-A, the US$1.38bn transaction features a novel CLN structure, whereby notes are issued directly by Santander rather than through an SPV.

    Steve Gandy, md and structurer at Santander, notes: “We completed two .......

    News Analysis 5 July 2019

  • Helping hand

    Refugee risk-sharing facility inked

    Dutch development bank FMO has signed a pilot bilateral risk-sharing facility under its NASIRA programme, which guarantees portfolios of loans to vulnerable, underserved entrepreneurs in sub-Saharan Africa and countries neighbouring Europe. The agreement is with Jordanian microfinance institution (MFI) Tamweelcom and will support access to finance for Syrian refugee entrepreneurs.

    Jordanian banks have historically refrained from providing financing to Syrians .......

    News Analysis 4 July 2019

  • Increasing capacity

    Bridging the CRT gap for insurers

    Greater involvement from insurers in capital relief trades should improve any capacity constraints the market faces. However, while banks are seeking alternative pockets of demand in which to place their risk and insurers are seeking to diversify and achieve scale, their approaches to any transaction will be different and that difference needs to be managed.

    At present, capacity .......

    News Analysis 3 July 2019

  • Rarely-seen synthetic securitisation revealed

    Transaction references unusual pool of US auto loans

    Santander has issued a rare synthetic securitisation referencing a collateral pool of US prime auto loans. Dubbed Santander Synthetic Prime Auto Issuance 2019-A, the deal comprises credit-linked notes (CLNs) referencing the performance of a static US$1.381bn portfolio of 59,771 auto loans made to high-quality borrowers across the US, for the purchase of new and used vehicles.

    DBRS and Scope .......

    News 2 July 2019

  • Guarantee inked

    Banco BPM prints first capital relief trade

    The EIF is taking on the risk of Banco BPM’s €55m mezzanine guarantee in connection with the Italian lender’s first capital relief trade, referencing a portfolio of midcap corporate loans. The regulatory capital that will be released is enough to fund €330m of SME lending.

    The new loans are intended for SMEs (accounting for up to 30% of the .......

    News 28 June 2019

  • Compliance challenges

    STS requirements raise regulatory liability concerns

    The securitisation market now appears to be embracing the new Securitisation Regulation and adapting to the regime, following uncertainty over technical standards in Q1. Nevertheless, market participants are still grappling with practical challenges, whose solution remains elusive.

    According to Salim Nathoo, partner at Allen & Overy: “Filling in the CRE and residential templates is hard because it’s not .......

    News Analysis 28 June 2019

  • Corporate ramp-up

    Standard Chartered steps up corporate CRT issuance

    Standard Chartered has completed a risk transfer transaction that references a US$1bn portfolio of corporate revolvers. Dubbed Chakra 3, the US$90m CLN is the third in a series of programmatic corporate CRTs, as the bank builds up the corporate and institutional banking (CIB) business in the US and Europe while managing concentration risks through the credit cycle.

    According .......

    News 21 June 2019

  • Risk transfer round-up - 14 June

    CRT sector developments and deal news

    Standard Chartered is believed to have priced a corporate capital relief trade this week. The bank’s last corporate CRT was completed in June 2018. Dubbed Sumeru 3, the US$285m CLN paid 7.70% (see SCI’s capital relief trades database).

    Sumeru 3 coincided with a resurgence in Standard Chartered’s risk transfer issuance, following a three-year gap. Last year the .......

    News 14 June 2019

  • Risk transfer round-up - 7 June

    CRT sector developments and deal news

    Santander is believed to be readying three SME significant risk transfer transactions, along with a rumoured auto deal. The Spanish lender’s last SME SRT closed in July. Dubbed FT Pymes Magdalena, the €166.3m CLN pays 8.85% and references a €2.5bn Spanish SME portfolio (see SCI’s capital relief trades database).

    .......

    News 7 June 2019

  • MRT potential

    Reinsurer opportunities eyed

    The mortgage risk transfer (MRT) programme in the US has the potential to rival natural catastrophe reinsurance, given the significant capacity required by insureds and insurance firms’ appetite for diversification. Until now, the most common way that reinsurers have entered the space is via the GSE credit risk transfer aggregate excess of loss programmes, but other opportunities are emerging.

    News Analysis 6 June 2019

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