Capital Relief Trades

  • Basel 4 proportionality expected

    The Basel Committee last week finalised the long-awaited Basel 4 reforms (SCI 8 December). The proposals have received an overall positive reception from the market, although much will depend on how the rules are translated into the CRR. Indeed, the prospect of proportionality at the EU level appears to be more promising (SCI 23 October).

    According to last week's agreement, .......

    News Analysis 14 December 2017

  • Risk transfer round-up - 8 December

    Nord LB has this week closed a shipping significant risk transfer transaction dubbed Northvest 2. The €1bn shipping credits form part of a €10.1bn multi-asset portfolio.

    The transaction coincides with the finalisation of the outstanding Basel 3 reforms. The RWA output floor has been agreed at 72.5%, as expected.

    More importantly though, banks will have until 2027 to adhere to .......

    News 8 December 2017

  • Innovative financial guarantee printed

    Raiffeisen's €1.2bn ROOF Slovakia 2017, which is believed to be the first synthetic securitisation of Slovak assets (SCI 1 December), strengthens the bank's common equity tier 1 ratio (fully loaded) by around 12bp at the group level. The bank plans to be a programmatic issuer of risk transfer trades via its 'ROOF' securitisation platform.

    ROOF Slovakia 2017 represents a financial guarantee .......

    News 5 December 2017

  • Risk transfer round-up - 1 December

    Raiffeisen has completed ROOF Slovakia 2017, a €1.2bn financial guarantee from its Slovak subsidiary Tatra banka, referencing a portfolio of corporate loans and project financings. The transaction is believed to be the first synthetic securitisation of Slovak assets and enabled capital relief to be achieved at RBI Group level, with the P&L of Tatra banka unaffected.

    The SPV is a .......

    News 1 December 2017

  • Risk transfer come-back

    Bank of Ireland has returned to the risk transfer market with Mespil Securities 2017-1. The lender's latest capital relief trade will increase its common equity Tier 1 capital ratio by 0.45% and comes a year after it carried out a similar transaction on around €3bn of loans from its business banking and corporate banking divisions in Ireland (see SCI's capital .......

    News 29 November 2017

  • SRT concerns acknowledged

    Attendees of a public hearing on the EBA's SRT discussion paper have raised concerns in relation to excess spread, time calls and commensurate risk transfer tests (SCI 28 September). The EBA has acknowledged the concerns, but as its consultation is still ongoing it has not provided detailed responses.

    The trapping mechanism is a key requirement for excess spread. The amount .......

    News Analysis 24 November 2017

  • Mixed portfolio SRT printed

    NatWest has originated a capital relief trade dubbed Nightingale Securities 2017-1. Unusually, the £390.2m CLN references a mixed portfolio of asset classes. It is also the first DBRS-rated synthetic securitisation for the RBS Group.

    The synthetic securitisation, structured in the form of a financial guarantee (SCI 18 April), was priced in the typical 9%-12% range for these trades. It features .......

    News Analysis 21 November 2017

  • Risk transfer round-up - 17 November

    RBS hit the market this week with its first DBRS-rated risk transfer transaction, dubbed Nightingale Securities 2017-1. The £390.2m CLN references a mixture of asset types, with a WAL of 4.5 years and a sequential amortisation structure, as per CRR/SRT rules.

    Meanwhile, Lloyds is rumoured to be marketing two capital relief trades - a mid-cap deal and a large real .......

    News 17 November 2017

  • Call for increased standardisation

    Ahead of the EBA's public hearing tomorrow on its significant risk transfer (SRT) discussion paper (SCI 28 September), SCI undertook a straw poll of industry opinion on the document. The exercise revealed an overall positive response, although some areas for improvement were highlighted, especially regarding transaction standardisation.

    Giuliano Giovannetti, ceo of Arch Mortgage Insurance, says that the EBA's SRT guidelines .......

    Talking Point 16 November 2017

  • AXA boosts risk transfer foothold

    AXA IM's structured finance unit raised over €1bn in total commitments for the AXA IM Partner Capital Solutions VII fund at the end of September, following its launch in July 2017. The capital was raised from repeat and new clients and is the largest amount that AXA IM has raised for capital relief trades, reflecting an increased asset management foothold .......

    News Analysis 10 November 2017

  • Risk transfer round-up - 3 November

    Two US public pension funds in Arizona and Pennsylvania are rumoured to have completed a capital relief trade each, although the exact identity of the funds could not be confirmed. According to one industry insider: "The risk transfer market is private, so the details of the transactions are sketchy. However, if I am hearing of these deals, I suspect there .......

    News 3 November 2017

  • Balance sheet optimisation continues

    Rabobank has transferred part of the risk on a €3bn commercial credit portfolio to pension fund Pensioenfonds Zorg en Welzijn (PFZW). The synthetic securitisation forms part of the lender's efforts to optimise its balance sheet and follows the disposal of a €600m mortgage portfolio to La Banque Postale (SCI 27 October).

    Bas Brouwers, Rabobank cfo, confirms: "This transaction is part .......

    News Analysis 3 November 2017

  • Using insurance to lay off risk

    Alan Ball and Fiona Walden, senior underwriters leading the structured risk solutions team at Liberty Specialty Markets, answer SCI's questions

    Q: How did Liberty Specialty Markets become involved in providing capital relief-driven transactions?
    A:     We're one of the leading insurers operating in the London insurance market, providing both specialty insurance and reinsurance. Our structured risk solutions team was set up just .......

    The Structured Credit Interview 2 November 2017

  • Risk transfer round-up - 27 October

    Rabobank has sold a €600m portfolio of 3,600 loans that it originated. The loans all have the benefit of an NHG guarantee, backed by De Stichting Waarborgfonds Eigen Woningen (WEW).

    WEW is a foundation that acts as a home ownership guarantee fund backing the NHG programme. The transaction is Rabobank's first Dutch mortgage portfolio distributed to non-Dutch investors.

    Sources note .......

    News 27 October 2017

  • Proportionality for capital floors?

    The general secretary of the Basel Committee has confirmed that the "finish line is in sight" for the Basel 4 reforms, although his statement fell short of confirming any concrete compromise on capital floors. The statement could be taken as confirmation of a finalisation, given growing momentum at the EU level for more proportionality in regulation.

    William Coen, general secretary .......

    News Analysis 23 October 2017

  • Risk transfer round-up - 20 October

    Rumours abound of new capital relief trades being prepped. One source suggests that ING is readying a bilateral Dutch SME transaction with PGGM as the investor. Another indicates that Credit Suisse is arranging a trade for Austrian lender Raiffeisen.

    Meanwhile, a Barclays significant risk transfer deal has reportedly been delayed until early November. The transaction was due to be completed .......

    News 20 October 2017

  • CRT outlook bullish

    Optimism prevailed at SCI's recent Capital Relief Trades Seminar, where panellists were bullish on the future of the risk transfer market. While capital relief trade activity has slowed this year compared to last, speakers concurred that issuance will grow in 2018, with a greater number of issuers and asset classes emerging.

    Kaikobad Kakalia, cio, Chorus Capital Management, said: "Towards the .......

    Talking Point 16 October 2017

  • Risk transfer round-up - 13 October

    Risk transfer activity continues, with Lloyds reportedly readying a transaction for Q4. Sources also suggest that Mizuho and Lloyds are arranging a transaction for an Irish bank. Meanwhile, Caplantic is said to be prepping a shipping SRT and is targeting a 30 November deadline.

    .......

    News 13 October 2017

  • Specialised financing vehicles introduced

    The latest reform of the French finance sector introduces a new category of financing vehicle that is expected to benefit both classic securitisation and risk transfer structures. The reform - the first phase of which is due to be finalised in January 2018 - also expands the legal tools available to French banks for refinancing their loan exposures.

    The reform .......

    News 11 October 2017

  • Risk transfer round-up - 6 October

    Barclays has completed another DBRS-rated capital relief trade, dubbed Colonnade Global 2017-1 Financial Guarantee (see SCI's capital relief trades database). Similar to the bank's previous Colonnade Global 2017-3, the credit protection covers both principal and accrued interest (SCI 8 September).

    Barclays bought protection under a similar financial guarantee for the first-loss piece, but has not yet executed the .......

    News 6 October 2017

  • Risk transfer round up - 29 September

    The focus of this past week has been the EBA's SRT discussion paper. Regulators and market participants expect it and the resulting guidance to standardise structural features and boost deal flow in the market (SCI 28 September).

    The paper comes at a time of a flurry of transactions in Q4. Among these, sources mention a Banca IMI-arranged transaction for UBI .......

    News 29 September 2017
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