Capital Relief Trades

  • CRTs coming to America?

    Capital relief trades (CRTs) have become an established feature of the European securitisation market, with multi-billion euro deals frequently issued to achieve regulatory capital relief (see SCI's capital relief trades database). Although these transactions have not yet been embraced by US banks, that is expected to change.
     
    Rumours of US CRTs in the offing continue to circulate. Sources suggest .......

    News Analysis 8 January 2018

  • Risk transfer round-up - 5 January

    Deutsche Bank is understood to have closed two CRAFT risk transfer transactions, a bilateral deal and a syndicated one. The US$147m bilateral deal - dubbed CRAFT 2017-2A - is said to pay 8.75% and feature a 7.5-year WAL, with an expected maturity of July 2025 (see SCI's capital relief trades database).

    Other recently-closed capital relief trades include a .......

    News 5 January 2018

  • Santander, Lloyds ride synthetic CMBS wave

    Santander and Lloyds have each put together synthetic securitisations of commercial real estate portfolios. The financial guarantees and significant risk transfer deals are the first in a wave of post-crisis synthetic CMBS issuance.

    The CRE asset class experienced defaults pre-crisis due to cliff effects or abrupt step-ups in refinancing risk that put off investors. However, asset managers are coming in .......

    News Analysis 4 January 2018

  • Project finance risk transfer completed

    Santander has completed a synthetic risk transfer securitisation, transferring risk on a €2.3bn portfolio of loans originated in Spain and other EU countries. Scope Ratings has rated the transaction triple-A.

    The synthetic project finance CLO references a portfolio of 241 loans originated by Banco Santander. The deed was executed yesterday, 21 December.

    Scope has rated the €1.514m A tranche at .......

    News 22 December 2017

  • Embracing a tactical approach

    David Moffitt, head of tactical investment opportunities at LibreMax Capital, answers SCI's questions

    Q: How and when did LibreMax Capital become involved in the securitisation market?
    A: LibreMax Capital was established in October 2010 by founding cio Greg Lippmann and founding president Fred Brettschneider, who previously worked at Deutsche Bank and Credit Suisse together. The firm - which focuses exclusively on .......

    The Structured Credit Interview 22 December 2017

  • SRT investor concerns disclosed

    AFME, in association with the International Association of Credit Portfolio Managers (IACPM), has responded to the EBA's significant risk transfer discussion paper. The response reveals investor-related concerns around certain aspects of the paper, most notably on the early termination of credit protection.

    The responses that have been disclosed thus far - especially during the EBA's public hearing last month - .......

    News 21 December 2017

  • Landmark shipping SRT completed

    Further details have emerged of Nord LB's landmark shipping significant risk transfer trade (SCI 8 December). Dubbed Northvest 2, the financial guarantee is believed to be the largest post-crisis synthetic securitisation of shipping assets.

    Nord LB's latest transaction references a €10.1bn mixed portfolio of around 4300 high quality loans, including €1bn of shipping loans. Other assets in the portfolio include .......

    News 20 December 2017

  • IFRS 9 volatility persists

    The Bank of England did not disclose any data on the capital impact of IFRS 9, following the recent PRA stress tests, as had initially been expected - although subsequent statements by the central bank signal no overall impact for stress-based capital requirements. However, sources in the capital relief trade market note that the need for managing IFRS 9 volatility .......

    News Analysis 20 December 2017

  • Risk transfer round-up - 15 December

    Barclays has returned to the capital relief trade market with another Colonnade transaction. Colonnade UK 2017-1 financial guarantee references a £2.6bn corporate portfolio. Under the senior guarantee, Barclays will buy protection for both principal and interest, which is a typical feature of Colonnade transactions (SCI 8 September).

    The deal follows rumours of another corporate risk transfer transaction from Italian lender .......

    News 15 December 2017

  • 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
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