Capital Relief Trades

  • Risk transfer round-up - 23 March

    Credit Suisse is believed to have priced a capital relief trade referencing a loan book originated in Switzerland. The deal was allegedly 3x subscribed, with guidance at 7.625% but printing at 7%.

    Separately, arrangers note an increase in requests for transactions by standardised banks, with deals already said to be in the pipeline. Most of the transactions until now were .......

    News 23 March 2018

  • Grappling with uncertainty

    Capital relief trade issuers are incorporating structural features highlighted in the EBA’s risk transfer discussion paper in an effort to gain some regulatory certainty in the absence of any guidance. Challenges remain, though, as significant risk transfer (SRT) recognition will depend on negotiations between national regulators and banks.

    “There are a number of grey areas that can affect the SRT status of a .......

    News Analysis 23 March 2018

  • Stress scenarios disclosed

    The Bank of England has announced that the 2018 stress test scenario for the major UK banks will be the same as that used in 2017, rendering it more severe than the global financial crisis. The scenario will assess the impact of IFRS 9 on the stress test results, but the central bank confirms that although capital ratios are .......

    News 19 March 2018

  • Market moves - 16 March

    EMEA

    Citigroup has appointed Laura Coady to the newly created position of head of EMEA, structured finance syndicate desk and she will continue to report locally to EMEA co-heads of global structured finance and securitisation Peter Keller and Bob Liao, and report globally to Vikram Prasad, global head of credit syndicate desk, taking responsibility for distributing all products from the .......

    Market Moves 16 March 2018

  • CRE CRTs pick up

    Synthetic securitisations referencing commercial real estate are attracting more investor interest, following the issuance of three transactions at the end of last year (see SCI’s capital relief trades database). Representing the first post-crisis synthetic CRE deals, issuance is being driven by high risk weights for specialised lending and investor step-in rights.

    The three CRE capital relief trades .......

    News Analysis 9 March 2018

  • Efficiency drive

    Credit Suisse is pioneering the re-tranching of capital relief trades, following the implementation of the new securitisation framework in Switzerland (SCI 9 February). However, more widespread re-tranching activity is expected to emerge over the next 24 months, as issuers seek to retain the efficiency of their transactions.

    The new securitisation framework became effective in Switzerland on 1 January .......

    News Analysis 9 March 2018

  • Basel 4 impact 'manageable'

    The new Basel 4 capital framework (SCI 14 December 2017) is expected to increase Dutch bank RWAs by approximately 25%, on a pro forma basis, equivalent to around 300bp of CET1. However, the impact is expected to be manageable, considering strong capitalisation and profitability levels, as well as the long implementation timeframe.

    Higher capital requirements will be driven .......

    News 7 March 2018

  • Risk-sharing on the agenda

    Panellists participating in SCI’s Risk Transfer & Synthetics Seminar are primed to discuss everything from traditional capital relief trades through to GSE credit risk transfer and bespoke investments at the event next week. Indeed, the theme of risk-sharing is expected to be explored in some depth across a number of panels.

    “Structural issues are key to determining the .......

    News 7 March 2018

  • Synthetic exposure expanded

    Bank of Ireland has released its Pillar Three report, which indicates an expansion of its synthetic securitisation exposure. It also provides insight into the lender's counterparty exposures.
    According to the report, the total outstanding amount of synthetic securitisation exposure originated by the Bank of Ireland group increased by nearly a third in 2017 to €4.3bn. This comprises the bulk of .......

    News 2 March 2018

  • Risk transfer round-up - 23 February

    Deutsche Bank is said to be marketing another capital relief trade, dubbed CRAFT 2018-1. This follows last month's CRAFT risk transfer transactions - a bilateral deal and a syndicated one (SCI 5 January).

    Standard Chartered is also believed to be marketing another transaction. Additionally, sources point to one or two CRE and infrastructure transactions that closed last year, .......

    News 22 February 2018

  • IFRS 9 credit event pay-out challenged

    Synthetic securitisations are unlikely to trigger CDS credit events following an increase in IFRS 9 provisions, given that such events are expected to be traditionally defined. Capital relief trade issuers therefore do not expect much disruption from IFRS 9 transactions, other than the added benefit of mitigating the accounting standard's provisioning impact.

    "The transition from stage one to stage two .......

    News Analysis 16 February 2018

  • Risk transfer round-up - 9 February

    Credit Suisse is rumoured to be re-tranching its existing risk transfer transactions, echoing recent market comments over the prospective use of this innovation in the capital relief trade space (SCI 26 January). The technique involves slicing in two the junior risk, in an attempt to cope with higher capital requirements for the retained tranches.

    Elsewhere, market sources observe that Greek lenders are .......

    News 9 February 2018

  • Carillion impact gauged

    Capital relief trade issuers and investors have been assessing the effect of Carillion's default on the market, following news of its impact on HSBC's Metrix transaction (SCI 19 January). Market consensus indicates that such a default is an idiosyncratic event.

    "Corporates have had low default rates and the CRT asset class has been very resilient since the crisis. It's a reflection .......

    News Analysis 5 February 2018

  • APRA signals change in tone

    The Australian Prudential Regulatory Authority has set out its priorities for 2018, most notably with regards to bank capital. The Australian regulator is considering changes to its overall approach to capital requirements in a number of areas where its methodology is more conservative than minimum international requirements.

    Adjustments to the risk-based capital framework is expected to lead to revisions in .......

    News 1 February 2018

  • Innovative portfolio guarantee inked

    The EIF has completed five synthetic securitisations with five Italian banks, in the context of the SME Initiative Italy. The transaction features an innovative structure and is the first to guarantee standardised banks.

    The banks involved in the transaction are Banca di Credito Popolare, Banca Popolare di Bari, Banco di Napoli, UniCredit and Unione di Banche Italiane. "The transaction is .......

    News Analysis 30 January 2018

  • Slicing the risk

    Capital relief trade issuers and investors are weighing in on the virtues of a structuring technique dubbed 're-tranching'. The innovation involves slicing in two the junior risk, in an attempt to cope with higher capital requirements under the CRR (SCI 23 February 2017).

    "We're actively working with issuers and investors to move this forward," says Kaelyn Abrell, partner and portfolio .......

    News Analysis 26 January 2018

  • Landmark financial guarantee completed

    The EIB and Credit Agricole completed an innovative synthetic securitisation in late December. Dubbed VIADUC, the risk transfer transaction combines a guarantee by the EIF - which covers Credit Agricole's large corporate clients - with a commitment by the French lender to provide €830m of subsidised loans to French SMEs and medium-sized companies (see SCI's capital relief trades News Analysis 23 January 2018

  • Programmatic issuance continues

    Intesa Sanpaolo last month returned to the risk transfer market with another GARC transaction. Dubbed GARC-SME 6, the €120m cash collateralised deal references a €2.5bn Italian SME portfolio.

    The Banca IMI-arranged transaction has established Intesa Sanpaolo as a programmatic issuer, being the Italian lender's sixth GARC deal. According to Elisabetta Bernardini, head of credit portfolio management at Intesa Sanpaolo: "With .......

    News Analysis 22 January 2018

  • Carillion liquidation met with cautious optimism

    The Irish stock exchange announced this week that a company, believed to be liquidated construction giant Carillion, triggered a credit event for HSBC's US$300m CLN dubbed 'Metrix portfolio distribution'. Despite the event, the market's initial reaction remains cautiously optimistic given the sturdy performance of synthetics over the last four years.

    Metrix was closed at end-2015 (see SCI's capital relief trades .......

    News 19 January 2018

  • Risk transfer round-up - 12 January

    Details have emerged of a Lloyds capital relief trade dubbed Cheltenham Securities 2017. The transaction was executed in late December (see SCI's capital relief trades database). The £40.524m CLN references a £517m portfolio of UK mid-market loans and matures in August 2022.

    During the same period, the EIF guaranteed a €330m portfolio of Austrian and German .......

    News 12 January 2018

  • Barclays adds to US CRT impetus

    Barclays recently completed Colonnade Global 2017-4 Financial Guarantee, a rare US$100m risk transfer transaction referencing a US$1.25bn portfolio of US corporate loans. Adding impetus to a growing American capital relief trades market (SCI 8 January), the jurisdiction of both the deal's counterparty and investor is the US.

    Rated by DBRS, Colonnade Global 2017-4 comprises US$1bn triple-A rated class A notes, .......

    News Analysis 11 January 2018
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