Capital Relief Trades

  • 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

  • Standardisation to bridge synthetic STS gap?

    The EBA's recent discussion paper on significant risk transfer (SRT) outlines the common structural features of risk transfer transactions in an attempt to harmonise their regulation and supervision (SCI 20 September). The move ultimately may bring the CRR regulation closer to extending the STS label to synthetic securitisations.

    The EBA's proposals are informed by the new European securitisation framework and .......

    News Analysis 28 September 2017

  • Risk transfer round-up - 22 September

    A Barclays significant risk transfer deal planned for mid-September has reportedly been delayed until mid-October. The new transaction follows the issuer's recent third Colonnade Global capital relief trade (SCI 8 September). The bank is also said to be planning corporate and mortgage SRT transactions for 2018.

    .......

    News 22 September 2017

  • EBA releases SRT discussion paper

    The EBA has released its significant risk transfer (SRT) discussion paper, the main elements of which were outlined last month (SCI 18 August), and has launched a public consultation on its contents. The banking watchdog wishes to further harmonise the regulation and supervision of risk transfer through securitisation.

    SRT in securitisations allows originators to achieve regulatory capital relief. The EBA's .......

    News 20 September 2017

  • Third Colonnade global completed

    Barclays has closed its third Colonnade global significant risk transfer trade (SRT), Colonnade Global 2017-3 Financial Guarantee. In unusual fashion for capital relief trades the credit protection covers both principal and accrued interest.

    The SRT transaction is a US$140m CLN that references a US$1.6bn corporate loan portfolio from thirty countries across the globe.

    Rated by DBRS the deal comprises US$1.3bn .......

    News Analysis 8 September 2017

  • Risk transfer round-up - 1 September

    As expected, August was a quiet month for capital relief trade issuances. But market sources continue to expect activity to significantly pick up in Q4.

    Among the transactions anticipated next quarter are two commercial real estate deals in Germany and a significant risk transfer trade between a British bank and Ares Management. Regarding Q4 activity overall, one source states: "It .......

    News 1 September 2017

  • Risk transfer framework outlined

    Outlines of the main elements of the EBA's risk transfer discussion paper - due to be released next month - have been revealed. The recommendations will focus on the main structural features of risk transfer transactions and may at a later stage result in regulatory changes. It remains unclear whether the consultation will result in final technical advice, however.

    The .......

    News 18 August 2017

  • Risk transfer round-up - 4 August

    Capital relief trade players are expecting a quiet August, before the flurry of activity that will define Q4. Nevertheless, rumours are circulating that a regulatory call might be executed on a transaction that HSBC closed last year. This follows the Cooperative Bank's regulatory call of its Calico Finance capital relief trade issued in 2013 (SCI 1 August).

    .......

    News 4 August 2017

  • Regulatory call exercised for Calico

    The Co-operative Bank last week announced a regulatory call of its Calico Finance Number One capital relief trade. The call was executed, after UK PRA approval, as part of the bank's plans to improve its capital position.

    The Co-operative Bank received confirmation from the PRA that the Calico transaction no longer achieves significant risk transfer (SRT) to third parties within .......

    News Analysis 1 August 2017

  • Risk transfer round-up - 28 July

    Delay has been the theme in the capital relief trades market this week.

    Nordea has begun marketing its delayed corporate risk transfer deal, which appears to have had a positive reception from investors. "Given the size of the deal and the way it was welcomed by the market, I wouldn't be surprised if it is completed by year-end or early .......

    News 28 July 2017

  • Synthetic mortgage 'game changer' awaited

    The inclusion of mortgages in leverage ratio calculations and lower risk weights for the asset are at present limiting the issuance of synthetic RMBS. Indeed, capital relief trade players are awaiting the EBA's forthcoming risk transfer guidelines to introduce regulatory consistency and clarity over the future of the product.

    European risk transfer transactions tend to reference corporate assets, due to .......

    News Analysis 28 July 2017

  • Pension fund increases risk transfer mandate

    The New Mexico Educational Retirement Board has been steadily increasing its foothold in the risk transfer market. Indeed, the pension fund's mandate has broadened since its first investment in the sector back in 2008.

    Under cio Bob Jacksha, the New Mexico Educational Retirement Board has invested US$350m in risk transfer transactions to date. Encouraged by the track record of the .......

    News 21 July 2017

  • Swedish regulations to limit risk transfer

    Finansinspektionen, Sweden's financial supervisory authority, recently released new securitisation guidelines in an attempt to tackle what it sees as flow-back risk, or the possibility of credit risk flowing back onto bank balance sheets. The guidelines are expected to reduce issuance of Swedish capital relief trades.

    Traditionally, Swedish systemic lenders have funded themselves cheaply through covered bonds rather than securitisations. Yet, .......

    News Analysis 20 July 2017

  • Synthetic expected loss approach outlined

    Scope has published research that offers a technical illustration of how the expected loss framework described in its general structured finance rating methodology can be implemented for tranches of simple synthetic securitisations. Further, the report describes how expected loss can be calculated in practical cases.

    Simple synthetic securitisations generally allocate losses from a reference portfolio of assets, for which an .......

    News 18 July 2017

  • Final STS document welcomed

    The European Parliament's economic and monetary affairs committee yesterday approved, as expected, the new STS securitisation framework by a substantial majority. The final document indicates an overall positive impact for the securitisation market, although the lack of a third-party regime and complex grandfathering provisions may constrain issuance in post-Brexit UK and the EU respectively.

    According to the final STS document, .......

    News Analysis 12 July 2017

  • Risk transfer round-up - 7 July

    The second quarter appears to have been a quiet period in the risk transfer market, with only two capital relief trades completed. "Most of the pipeline is scheduled for September or December, with approximately 20 transactions being worked on so far," states one source. "Delays in the CRR regulation mean that many issuers don't feel pressured to bring trades this .......

    News 7 July 2017

  • Risk transfer round-up - 30 June

    The EIF has recently signed guarantees with five banks in Romania under its SME initiative (SCI 12 May). This is happening at a time when the fund's securitisation team is working on new EFSI deals "similar" to the recent deal with BBVA (SCI 12 June). Additionally, the SSA intends to finalise traditional synthetic securitisations in Italy by the end of .......

    News 30 June 2017

  • IFRS 9 to spur risk transfer trades

    Higher expected provisioning under IFRS 9 is expected to spur a slew of risk transfer issuance before its enactment in January 2018. Indeed, portfolio management will be central to how institutions manage and price the volatility that the new accounting standard will bring.

    "You can imagine a logjam of cases," says Adrian Docherty, head of bank advisory at BNP Paribas. .......

    News Analysis 23 June 2017

  • Risk transfer round-up - 23 June

    Sources refer to heightened activity in the capital relief trades market, with many deals awaiting finalisation by year-end. Jurisdictions that are said to have seen activity include the US and Eastern Europe. In particular, sources point to synthetic SME securitisations from Slovakia and Poland.

    Meanwhile, Italian deals are also expected from UniCredit and Intesa Sanpaolo, as well as Spanish supply .......

    News 23 June 2017

  • Regulatory boost for risk transfer trades

    Balance sheet synthetic securitisation volume is predicted to rise in the coming years, with greater conformity in deal structure and increased variance in reference assets. A more accommodating regulatory environment should help boost the growth and acceptance of the market.

    In terms of the recent finalisation of the STS framework, Robert Bradbury, md, StormHarbour, welcomes the clarification on risk retention. .......

    News Analysis 20 June 2017
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