Capital Relief Trades
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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
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Synthetic slew
CRT issuances hit before year-end
A slew of synthetic securitisations have hit the market before year-end. The risk transfer issuances include a trio of EIF financial guarantees, one of which is supported by blockchain technology, and a pair of Colonnade deals.
The blockchain transaction – which marks the first time a corporate loan securitisation has been executed via distributed ledger technology in the .......
News 21 December 2018
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Consumer SRT completed
Santander opts for true sale format
Santander last month priced Kimi 7, a €665.3m true sale significant risk transfer transaction that securitises a portfolio of Finnish auto loans. The deal was executed for both capital relief and liquidity purposes, with the bank selling both the mezzanine and senior tranches.
Compared to previous Kimi deals, mezzanine investors don’t benefit from any excess spread. According to .......
News Analysis 19 December 2018
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Programmatic issuance
UBI Banca completes second CRT
UBI Banca has completed its second-ever capital relief trade, paving the way for more programmatic issuance in the future. Dubbed UBI RegCap2, the €100m financial guarantee references a €2.2bn portfolio of secured and unsecured Italian SME and corporate loans.
According to Simone Tufo, head of capital strategy at UBI Banca: “We intend to proceed with more programmatic issuance, .......
News 19 December 2018
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Wetherby 2 completed
SONIA-linked synthetic securitisation debuts
Lloyds has completed a £142.5m 7.25-year financial guarantee referencing a £1.5bn UK commercial real estate portfolio. Dubbed Wetherby 2 Securities 2018, the transaction is the first synthetic securitisation to reference the new SONIA interest rate benchmark and the third structured as a dual tranche trade (SCI 26 January).
The £82.5m first loss tranche (0%-5.5%) pays SONIA plus ......
News 17 December 2018Premium Content
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TRAFIN relaunched
Deutsche Bank replaces trade finance CRT
Deutsche Bank has refinanced its TRAFIN 2015-1 deal with the issuance of a new trade finance capital relief trade dubbed TRAFIN 2018-1. The US$216.125m five-year CLN references a US$3.5bn trade finance portfolio.
Deutsche Bank called and replaced the 2015 transaction last month with a new deal in order to lock in a better coupon. “High demand for trade finance CRTs .......
News Analysis 5 December 2018
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Colonnade issuance continues
Barclays completes corporate capital relief trade
Barclays has completed Colonnade Global 2018-2, a US$110m financial guarantee that references a US$1.33bn portfolio of mostly US corporate loans (see SCI's capital relief trades database). The transaction is typical of Colonnade Global risk transfer deals in the sense that the credit protection covers both principal and accrued interest.
Rated by DBRS, the transaction consists of US$1.1bn triple-A rated .......
News 5 December 2018
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Tighter pricing
Latest Elvetia trade completed
Credit Suisse has completed a Swiss corporate and SME significant risk transfer trade from its Elvetia programme, dubbed Elvetia Finance Series 2018-6. The trade printed at tighter levels compared to previous Elvetia corporate and SME deals, due to wide syndication. The transaction was completed under the new securitisation framework, which stipulates thicker tranches and was also a driver of the ......
News 30 November 2018Premium Content
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Tough approach
PRA guidance puts UK CRT issuers at a disadvantage
The UK PRA’s latest significant risk transfer guidance is putting UK capital relief trade issuers at a disadvantage compared to their European peers, mainly due to the regulation’s provisions on excess spread and the capital treatment of standardised portfolio transactions. The regulation is broadly in line with a consultation from May that sparked a market backlash (SCI .......
News Analysis 30 November 2018
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Basel 4 impact will 'vary massively'
Regulatory changes represent 'complete overhaul'
Regulatory changes coming into effect next year will have a major impact on the way European banks calculate risk weighted assets (RWAs), resulting in a greater incentive for some banks to utilise risk transfer mechanisms. However, it is expected that a nuanced picture will emerge, with regulatory changes impacting banks’ RWA calculations differently depending on a range of factors, such .......
News Analysis 29 November 2018
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Risk transfer round-up - 23 November
CRT sector developments and deal news
Credit Suisse is believed to be pricing a risk transfer transaction from its Elvetia programme on Monday. The issuer’s last Elvetia transaction was a Sfr300m ticket referencing a Sfr5bn portfolio (see SCI’s capital relief trades database).
Further details have also emerged regarding the pricing of Standard Chartered’s trade finance transaction, Sealane 4 (SCI 14 November). The ......
News 23 November 2018Premium Content
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Risk transfer round-up - 16 November
Capital relief trade sector developments and deal news
Deutsche Bank is rumoured to be executing a bilateral trade finance capital relief trade from its TRAFIN programme this month, as a replacement trade for TRAFIN 2015-1. TRAFIN 2015-1 was due for November 2022 (see SCI’s capital relief trades database), but the German lender has decided to call it and reportedly replace it with a new deal. The ......
News 16 November 2018Premium Content
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Dual speed
Standard Chartered follows with tranche carve-up
Standard Chartered has completed a US$297.5m financial guarantee that references a US$3.5bn trade finance portfolio. Dubbed Sealane 4, the transaction is a replacement trade for Sealane 3 - which matures in December - and is structured as a dual mezzanine tranche to appeal to a broad base of investors and address the EU Securitisation Regulation’s higher capital requirements.
News Analysis 14 November 2018
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Stress test
IFRS 9 impact limited
The EBA’s recent stress tests point to a limited capital impact from the implementation of IFRS 9. The stress test results follow the release of bank quarterly results, which also highlighted a limited impact from the first-time adoption of IFRS 9 (SCI 14 May).
The negative impact of IFRS 9 first implementation on banks’ aggregate CET1 ratio .......
News Analysis 9 November 2018
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Unpredictable factors
Macro and micro challenges highlighted
European market participants are facing three unpredictable factors in 2019, all of which will drive ABS activity and supply in the new year. ECB monetary policy evolution, Brexit execution and securitisation legislation implementation represent challenges from both macro and micro perspectives.
Among these challenges is the Basel 4 output floor. Alexander Batchvarov, md at BofA Merrill Lynch Global .......
News Analysis 9 November 2018
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Leveraged loan CRT prepped
Risk transfer sector developments and deal news
Deutsche Bank is believed to be readying a leveraged loan capital relief trade for 4Q18. According to SCI’s capital relief trades database, this would be the German lender’s first leveraged loan transaction.
Deutsche Bank has been one of the most active issuers this year, having issued a corporate deal and an SME deal from the CRAFT and GATE programme ......
News 9 November 2018Premium Content