Capital Relief Trades
Capital relief trades are deals put together by banks to sell on to investors to reduce the bank's regulatory capital requirements.
Such deals can take many forms, but SCI focuses on those where synthetic or securitisation structures are utilised.
Those deals can be broken down into the following broad categories (deals can be combinations of these categories):
CDS - credit default swaps: in the capital relief trade context, this denotes deals that utilise such instruments to transfer credit risk.
CLN - credit-linked note: in the capital relief trade context, this denotes the deal is structured as a note with an embedded credit derivative.
Fin gtee - Financial guarantee: a means of structuring a capital relief trade, whereby the investors benefit from a guarantee that all the issuer's obligations will be met.
Funded: where a capital relief trade is understood to have been structured using a credit derivative (CDS, CLN, synthetic CDO etc) with the protection seller making an initial payment.
Unfunded: where a capital relief trade is understood to have been structured without an initial payment being made under the credit derivative (CDS, CLN, synthetic CDO etc).
True sale: a capital relief trade based on a cash securitisation structure rather than a synthetic securitisation structure.
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Job swaps weekly: EIF exclusive
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees SCI exclusively reveal that the European Investment Fund’s chief investment officer is retiring from his role after almost three decades with the fund. Elsewhere, Performance Trust Capital Partners has poached three executives from Pagaya, while ELFA announces its ceo is to step down from her role.
Alessandro Tappi is to .......
Market Moves 20 September 2024
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Breaking regulatory chains
Calls for reform intensify as industry pushes to fuel growth and fund Europe's green transition
The European securitisation market is “far too small and illiquid,” according to a recent report from True Sale International (TSI) and the Association of German Banks (BdB). The scale of the challenges could be having a negative impact on vital innovation across the continent’s economy.
The report, titled ‘A strong, competitive Europe: unlocking the potential of securitisation’, underscores .......
News Analysis 19 September 2024
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Latest SRTx fixings released
SRT market sentiment re-adjusts after financial markets experienced significant volatility.
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. If August got off to an rough start (The S&P 500 lost more than 6% in the early days of August, erasing nearly US$3tn in market value), as fears mounted about an economic slowdown in the US, recession concerns dissipated as quickly as they arose. .......
News 18 September 2024
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Sub-par
SRT market update
The impact of new entrants – otherwise commonly or derogatorily referred to as tourist investors – is continuing to split opinion in the SRT market, with some saying spreads are becoming unreflective of risk.
In this context, certain market observers and participants believe tightening spreads are simply an evolution of the market. With more investors coming into the market, .......
SRT Market Update 13 September 2024
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Job swaps weekly: Chatham AM appoints four for new CLO management team
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Chatham Asset Management establishing a CLO management business with four key hires. Elsewhere, Freddie Mac has selected a new ceo, while Arini has named a CLO portfolio manager to replace Evangeline Lim, who is retiring from the industry.
Chatham Asset Management has established a CLO management business - called CTM Asset Management – with .......
Market Moves 13 September 2024
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Regulating mood
Advisory's insights on how to remove SRT regulatory barriers
SCI catches up with Jonas Bäcklund, ceo of Revel Partners, to analyse suggestion on how regulatory tweaks could bolster growth to the European SRT market.
The conversation comes as Mario Draghi, former president of the European Central Bank, emphasised this week the need for a well-functioning securitisation market to address Europe’s investment gaps in infrastructure and sustainable projects. .......
News Analysis 13 September 2024
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Called to the Barr
CRT still makes sense for US banks despite slimmed down B3E
News Analysis 10 September 2024
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New partnership
Market moves and sector developments
GP stakes firm Armen and Chorus Capital (Chorus) have announced a strategic partnership. As part of the partnership, Armen will acquire a 16% minority equity stake in Chorus Capital. The transaction – which is targeted to close by the end of the month – represents the third investment by Armen GP Stakes Fund I and its first in the .......
Market Moves 10 September 2024
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Secret Revolution
How will the US regional bank market develop?
The US CRT market is slowly absorbing volumes and experiencing increased growth from unexpected players. Regional bank deals may herald how the jurisdiction will develop.
Pinnacle Financial Partners and Valley National Bank entered the market last month with deals referencing mortgage and auto loan assets, respectively (SCI 29 July and 29 July). Both banks have below .......
News Analysis 10 September 2024
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Lofty heights
SRT market update
LOFT 2024-1, the latest issuance from Deutsche Bank’s established leveraged loans SRT programme, is set to close this month.
While SCI understands that the deal has a similar structure to its predecessor, distinctions include a different tranching and a tighter spreads (in line with recent market developments).
The deal references 0-18% of a portfolio, split between a .......
SRT Market Update 6 September 2024
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Oh Canada
SRT market update
Toronto Dominion is reportedly back in market with a repeat issuance of its inaugural trade and programme, which closed in February last year.
Like 2023’s deal (TD CRT), the underlying portfolio is backed Canadian and US high yield corporate loans, described as “below IG”. The spread is expected to land at plus 1050bp - 100bp tighter than the previous iteration. The .......
SRT Market Update 6 September 2024
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Job swaps weekly: The 'Art' of launching
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees two industry veterans join forces to launch Art Capital, a structured finance advisory business. Elsewhere, Citi has boosted its Oceania operation with a new head of asset-backed securitisation, while Cushman & Wakefield has hired a head of capital markets for the Americas from Five Horizons Partners.
Stuart Blieschke and Tim .......
Market Moves 6 September 2024
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Region' new heights
Key themes from SCI's recent regional banks webinar
Activity in the US CRT market is picking up, though it is yet to reach the levels that many market participants expected at the start of the year. With a number of regional US banks turning to the space, SCI’s Kenny Wastell hosted prominent industry professionals for a webinar on the challenges and opportunities presented.
The impermanence of .......
News Analysis 5 September 2024
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New programme
SCI catches up with Mike Strevens, head of structured guaran...
Central to the British Business Bank’s debt financing activities is the ENABLE Guarantee programme, which aims to increase SME lending capacity among specialist UK banks. The guarantee is structured as an unfunded SRT with the most senior part of the SME reference portfolio protected and the first loss/junior portions and a vertical slice of the remaining portfolio retained by the originator. .......
News Analysis 28 August 2024
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Gearing up
SRT Market Update
Heading into the autumn months, the SRT market is gearing up for a bustling end to the year, in spite of the volatility seen earlier this month. While the timelines for a couple of European transactions have been extended, Canadian and US bank activity is picking up pace.
Following a dramatic start to August, with a significant volatility .......
SRT Market Update 23 August 2024