Capital Relief Trades

  • Risk transfer round-up - 5 May

    Capital relief trade activity has been relatively subdued this week. However, sources report that the EIF is planning to tap the market again in two months.

    The fund completed its first EFSI risk transfer transaction last month (SCI 26 April), as part of a programme to stimulate SME lending in Europe. Not much is known about the forthcoming transaction, other .......

    News 5 May 2017

  • Risk transfer round-up - 28 April

    Deutsche Bank closed its CRAFT CLO 2017-1 this week (see SCI's capital relief trades database). The US$371m seven-year notes reference a US$5.3bn corporate loan portfolio and have a three-year call.

    Sources also suggest that Nordea is prepping another risk transfer transaction. The Nordic issuer's last trade was an €8.4bn transaction with PGGM last year (SCI 25 August 2016).

    At .......

    News 28 April 2017

  • First EFSI risk transfer boosts SME lending

    The EIB Group has provided a mezzanine tranche guarantee of around €90m to Commerzbank in connection with the first deal under the European Fund for Strategic Investments (EFSI). Dubbed CoCo III-1, the risk transfer transaction references a €1.5bn portfolio of European corporate loans (see SCI's capital relief trades database).

    The EFSI is the central pillar of the Investment .......

    News 26 April 2017

  • Basel 4 raises Dutch SRT prospects

    Higher capital requirements mooted under Basel 4 are likely to disproportionately affect Dutch banks, given their large mortgage exposures. This is expected to result in a flurry of Dutch capital relief trades.

    One industry source notes that a 90%-100% LTV currently results in a 43% risk weight for standardised banks, but the Basel 4 proposal contemplates increasing it to 55%. .......

    News Analysis 25 April 2017

  • Risk transfer round-up - 21 April

    The EIF returned to the risk transfer market this week, with a €90m mezzanine guarantee for a €1.5bn portfolio of corporate loans originated by Commerzbank. The guarantee aims to spur lending to mainly German SMEs and midcaps by reducing bank capital requirements.

    Elsewhere, sources in the Dutch market suggest that Dynamic Credit is readying another balance sheet relief RMBS, following .......

    News 21 April 2017

  • Tranched cover trades gaining traction

    Tranched cover synthetic securitisation issuance is picking up in Europe, as regulatory capital requirements bite. The advantages of such non-standard structures include their limited ongoing costs, as well as their flexibility and bilateral nature.

    Unlike standard synthetic securitisations where all elements of the transaction are contractually defined (including the size and conditions of all tranches), the structure of a tranched .......

    News Analysis 18 April 2017

  • Risk transfer round-up - 7 April

    Activity in the capital relief trade space appears to be increasing in line with expectations of more issuance, as the revisions to the CRR kick in next year (SCI 5 April). Indeed, volumes are anticipated to pick up this quarter.

    Most recently, Lloyds closed Salisbury II-A Securities 2017, a tap of the Salisbury deal it issued in December (SCI 14 .......

    News 7 April 2017

  • Synthetics to receive an STS designation?

    Momentum is growing for a simple, standardised and transparent (STS) designation for synthetic securitisations at the EU level, driven by the support of the European Commission and the EBA. Such a designation is expected to increase supply and enhance standardisation in the risk transfer market.

    Synthetic securitisations were not initially included in the scope of either the Basel Committee's simple, .......

    News Analysis 5 April 2017

  • Leverage ratio driving off-balance sheet trend

    A number of European banks - including Rabobank and Credit Foncier - are becoming more active in the true sale securitisation format for risk transfer transactions. The move is being driven by the focus on balance sheet reduction, following the introduction of leverage ratio requirements under Basel 3.

    Rabobank's foray into the true sale format follows its debut off-balance sheet .......

    News Analysis 4 April 2017

  • Risk transfer round-up - 24 March

    Deutsche Bank is believed to have priced its CRAFT CLO 2017-1 capital relief trade this week (SCI 17 March), with market sources suggesting that the deal met with "good appetite from investors". The US$357m transaction printed at Libor plus 10.75%, having been upsized from US$200m on strong demand.

    .......

    News 24 March 2017

  • Risk transfer round-up - 17 March

    Activity continued this week in the capital relief trade space, with Deutsche Bank's CRAFT CLO entering the bidding process on Wednesday. The underlying reference portfolio is expected to be comprised of SME loans.

    Indeed, Deutsche Bank has issued a number of synthetic SME transactions through its CRAFT programme in the past. "Such loans tend to be less granular and less .......

    News 17 March 2017

  • Innovative GARC transaction prints

    Intesa Sanpaolo has printed an innovative risk transfer transaction - and the largest to date - from its GARC programme, with Banca IMI acting as arranger. The €2.5bn GARC SME-5 synthetic securitisation references a granular portfolio of Italian SME loans.

    According to Elisabetta Bernardini, head of credit portfolio management at Intesa Sanpaolo: "This was an innovative structure, since it was completed .......

    News 14 March 2017

  • Landmark green SRT introduced

    Mariner Investment Group and Crédit Agricole have collaborated to create the first green capital relief trade, the French lender's largest synthetic issuance to date. Dubbed Premium Green 2017-2, the innovative US$3bn risk transfer transaction combines capital management best practices with the objectives of socially responsible investing.

    According to Pascale Olivie, head of structuring, research and asset allocation in Crédit Agricole's .......

    News Analysis 13 March 2017

  • Risk transfer round-up - 10 March

    Amid the talk circulating the capital relief trade market this week is a rumour that StormHarbour is seeking to place the thin first-loss piece of a deal from Nord LB. One source also suggests that Mizuho is working on a transaction that references large corporate loans.

    At the same time, Rabobank is said to be becoming more active in the .......

    News 10 March 2017

  • Securitisation revival required

    The European securitisation market needs to be revitalised imminently to drive the continued recovery and future growth of the region, according to Validis Dombrovskis, vp of the European Commission. While Basel 4 could help, several barriers remain in place that limit European issuance of - and investment in - securitised products.

    During a recent speech to the European Parliament's Committee .......

    News 7 March 2017

  • Risk transfer round-up - 3 March

    Intesa Sanpaolo Group has completed a €2.5bn synthetic SME securitisation through its GARC SPV, marking the programme's fifth issuance. The transaction was arranged by Banca IMI.

    Sources expect more Italian issuers to tap the risk transfer market over the next nine months. They indicate that the market is likely to be dominated by "the usual suspects", including Intesa Sanpaolo and .......

    News 3 March 2017

  • Leverage signals maturing CRT market

    The increasing availability of leverage suggests that the risk transfer market is maturing. However, while financing can be applied in a number of ways, the extensive due diligence required means that participation in capital relief trades remains limited to sophisticated investors.

    The availability of financing is a "sign that capital relief trades are developing into a more mature asset class," .......

    News Analysis 27 February 2017

  • Risk transfer round-up - 24 February

    Several risk transfer securitisations are understood to have entered the pipeline this past week.

    According to sources, Lloyds is working on a capital relief trade referencing commercial real estate assets, which is said to be "similar" to Barclays' Griffon deal from last year. Meanwhile, Barclays is rumoured to be prepping a transaction referencing corporate loans that will reportedly be priced .......

    News 24 February 2017

  • Slow start to year 'not concerning' for Euro ABS

    The European securitisation market started the year with its traditional quiet January, but issuance has picked up through February and there are large, innovative deals on the horizon. However, the future of the ECB's ABSPP already appears to be weighing on the market.

    "January issuance was about €3bn this year. It was €6bn in 2016, but only €3.2bn the year .......

    News Analysis 23 February 2017

  • Risk transfer benchmark introduced

    PCS has launched the first risk transfer quality label for synthetic risk transfer deals. One of the aims of the label is to help incorporate synthetic securitisations into a future STS regulatory framework through criteria that identify key elements of a simple, transparent and standardised instrument.

    The PCS Risk Transfer Label is the product of a cross-industry and pan-European working .......

    News 23 February 2017

  • Deploying capital

    Chris Redmond, global head of credit at Willis Towers Watson, answers SCI's questions

    Q: How and when did Willis Towers Watson become involved in the securitisation market?
    A:     Willis Towers Watson has an international team conducting research of all credit managers and products, including securitised credit. While we had exposure to securitised credit via broad, generalist mandates beforehand, it was in the aftermath of the financial crisis when we started making dedicated, specialist allocations .......

    The Structured Credit Interview 20 February 2017
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