Capital Relief Trades
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Goals aligned
Insurers target dual-tranche CRTs
Insurance firms are targeting mezzanine tranches in dual-tranche capital relief trades as banks warm up to unfunded insurance structures, given the lower cost of protection and the relative safety of the mezzanine tranches in these deals (SCI 10 January). Indeed, benchmark unfunded trades have already been completed, raising the prospects of further credit insurance deals going forward.
"The second-loss ......
News Analysis 22 March 2019Premium Content
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Latest podcast now available
CRT themes and a Dutch RMBS first discussed
In this month's podcast, we explore some interesting themes within the CRT market: namely, eligibility criteria and replenishment conditions, as well as control rights within transactions. Additionally, we take a closer look at Domivest's debut securitisation of buy-to-let loans - a first for the Dutch market.
Click here to listen to the whole thing on our site. Alternatively, you .......
News 15 March 2019
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Control rights
Synthetic CRE investors gain comfort
Investors in risk transfer transactions referencing commercial real estate loans have become more comfortable with fewer control rights, following the inclusion of replenishment in the second wave of CRE capital relief trades last year. However, demand for greater control over such portfolios may arise if banks bring lumpier assets to market.
According to David Wainer, partner at Allen & Overy: ......
News Analysis 8 March 2019Premium Content
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Creative approach
Definition of CRT criteria evolving
As the drivers for banks to pursue risk transfer transactions have broadened over the last few years, lending criteria for the underlying assets have in turn become increasingly complex. Consequently, for structured or esoteric portfolios, capital relief trade issuers and investors are adopting a more creative approach to defining eligibility criteria and replenishment conditions.
A standard capital relief ......
News Analysis 7 March 2019Premium Content
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Deleveraging deal
Bari SRT performance consistent with expectations
Scope has determined that the performance of Banca Popolare di Bari’s last significant risk transfer transaction with the EIF (SCI 17 August 2018) has remained within its expectations. The sequential deleveraging of the transaction offsets the loss potential from a growing delinquency pipeline for the rated tranche, according to the agency.
The financial guarantee provided by the EIF to .......
News 6 March 2019
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Line-up finalised
CRT event to include two workshops
The line-up for SCI’s 3rd Annual Risk Transfer & Synthetics Seminar on 12 March has been finalised. Hosted by Clifford Chance at 31 West 52 Street, New York, the event features for the first time two workshop sessions – one on creating structural common ground between capital relief trade investors and issuers; the other on how Basel 4 .......
News 5 March 2019
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STS synthetics pending
EBA to publish report by year-end
The EBA is expected to publish a report on STS synthetic securitisations by year-end, which will then be reviewed by the European Commission. The main challenges that the supervisor will be dealing with are the lack of performance data on synthetic securitisations and the creation of STS criteria for the sector.
STS criteria for synthetic securitisations could further ......
News Analysis 1 March 2019Premium Content
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Downward drift
Low default trend continues
Global corporate defaults fell in 2018 in advanced markets and were stable in emerging markets. The persistence of the low default trend - in particular, in advanced economies - is a positive sign for capital relief trades, given that the bulk of these transactions reference European corporate loans.
The default rate for non-financial corporates with rated debt in .......
News 1 March 2019
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New fund for CDS recruit
Company hires and sector developments
ABL acquisition
Market Moves 28 February 2019
Benefit Street Partners affiliate Business Development Corporation of America has acquired a controlling interest in asset-based lender Siena Capital Finance from Solaia Capital Advisors. Siena was founded in 2012 by an ABL team backed by Solaia consisting of professionals from Bank of Ireland subsidiary Burdale Capital Finance. Siena will operate independently as a portfolio company of BDCA, with .......
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Maintaining flexibility
Fiona Walden, vp, credit and financial lines at RenaissanceRe, answers SCI's questions
Q: How and when did RenaissanceRe became involved in the securitisation market?
The Structured Credit Interview 22 February 2019
A: We were set up 25 years ago as a property catastrophe company. We have a long track record of credit reinsurance for our insurance company clients. More recently, we applied this knowledge and expertise to structured credit transactions - including significant risk transfer transactions - by providing .......
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Risk transfer round-up - 15 February
CRT sector developments and deal news
The first quarter of this year is expected to see reduced capital relief trade issuance, due to ESMA’s securitisation disclosure requirements, although market sources expect volumes to pick up in Q2. Among the transactions that are believed to be closing next quarter is a US corporate capital relief trade from Mitsubishi. Another deal that is set to close this ......
News 15 February 2019Premium Content
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Risk transfer round-up - 1 February
CRT sector developments and deal news
Bank of Montreal has printed a US and Canadian leveraged loan capital relief trade dubbed Manitoulin. The US$92.5m 7.3-year financial guarantee pays Libor plus 12.75%.
Rated by DBRS the deal comprises triple-A class A notes, single-A class B notes and triple-B class C notes. Further features include the presence of replenishment, a sequential amortisation structure and early termination of the protection.
News 1 February 2019
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Minerva closed
Innovative guarantee completed
Banca Nazionale Del Lavoro has closed a €100m mezzanine guarantee with the EIF. Dubbed Minerva, the transaction was completed with funds from the European Fund for Strategic Investments (EFSI) and is expected to release €600m for lending to Italian SMEs. The guarantee is the first SRT transaction that the EIB Group has executed for Italian corporate loans and includes .......
News 25 January 2019
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Risk transfer round-up - 25 January
CRT sector developments and deal news
Deutsche Bank issued a leveraged loan capital relief trade in December among a flurry of risk transfer transactions (SCI 21 December 2018). Dubbed LOFT 2018-1, the US$240m 10-year CLN was priced at 13.25%. According to SCI data, it is the widest print of the year.
The deal is non-callable and features an eight-year weighed average life. The leveraged finance ......
News 25 January 2019Premium Content
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CLOs retain top ranking
Quarterly SCI data update
CLOs remained the top asset class in terms of deal count for European and US new issuance in 4Q18, according to SCI data - although the numbers are down on those posted in Q3 (SCI 23 October 2018), reflecting market volatility in the final quarter of the year. In contrast, CLO BWIC volumes rose in both regions.
.......
News Analysis 24 January 2019
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CRT growth continues
Tighter pricing trend points to expanding market
The year 2018 saw a flurry of capital relief trades referencing various asset classes that were priced at tighter levels compared to previous years. Such activity is a reflection of the good performance of the underlying collateral and increased investor allocations in the market, suggesting a growth trend that is set to continue in 2019.
According to James ......
News Analysis 18 January 2019Premium Content
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Risk transfer round-up - 11 January
CRT sector developments and deal news
The fourth quarter of 2018 saw a slew of risk transfer deals typical of year-end issuance (SCI 21 December 2018). Among the deals that are believed to have been completed last month are two corporate trades from BNP Paribas. One is understood to be a club deal, while the other is rumoured to be a bilateral deal with .......
News 11 January 2019
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Credit events synchronised
BBVA completes innovative IFRS 9 hedge
BBVA has completed an innovative transaction that synchronises credit events with IFRS 9 lifetime expected loss provisions, while also being the first synthetic securitisation to incorporate blockchain technology (SCI 21 December 2018). Dubbed Vela Corporate 2018-1, the €60m financial guarantee references a €1bn Spanish corporate portfolio.
The EIF acted as counterparty to BBVA by providing a guarantee ......
News Analysis 11 January 2019Premium Content
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Mezz opportunity
Insurer interest in risk transfer on the rise
The facility recently inked by Texel Finance and Liberty Specialty Markets (SCI 9 November 2018) signals an increasing interest among insurers in providing meaningful risk transfer solutions for structured finance opportunities. One key area being targeted by the facility is mezzanine risk transfer for SRT transactions, following the coming into force of the new securitisation framework.
Alan .......
News Analysis 10 January 2019
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Risk-sharing boost
Cajamar SRT sets tone for standardised banks
BCC Grupo Cajamar has completed a €972.1m Spanish true sale significant risk transfer transaction with the EIF, ICO and hedge fund investors. Dubbed IM BCC Capital 1, the transaction is the first cash SRT issued by a standardised bank and the first risk-sharing transaction by a standardised bank that involves both the EIF and private investors, paving the way .......
News Analysis 9 January 2019
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Landmark consumer SRT launched
Santander completes synthetic auto loan ABS
Santander has launched an unusual synthetic securitisation of auto loans, dubbed Santander Consumer Spain Synthetic Auto 2018-1. The transaction comprises a €60.6m twelve-year CLN that references a €1.01bn portfolio of Spanish auto loans paying Euribor plus 8.90%.
Synthetic securitisations of granular, consumer portfolios are uncommon, as the structures are typically used for concentrated, non-granular portfolios. This is due to ease of .......
News Analysis 2 January 2019