Capital Relief Trades
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Glad confident morning again
Fed's CRT clarity both welcome and begins new era
The Federal Reserve last Friday finally issued guidance on the capital treatment for CRT transactions based on both SPVs and direct CLNs (SCI 29 September), and it ushers in a brave new world of much increased clarity and greater issuance in the US SRT market.
Not only have SPV-based transactions been given the green light, direct CLNs have received more warmth .......
News 2 October 2023
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Fed clarifies CLN definition
Market updates and sector developments
The US Fed has updated its FAQs on Regulation Q to provide guidance in connection with the recognition of CLNs under the capital rule, a step that the US CRT market has been awaiting for over a year. Under the capital rule, a Fed-regulated institution can recognise the credit risk mitigation of the collateral on a reference portfolio under the .......
Market Moves 29 September 2023
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SME SRT prints
'CRE-heavy' portfolio revealed
Further details have emerged regarding Santander’s latest UK SME synthetic securitisation (SCI 28 September). The static reference portfolio comprises 1,040 obligations, the majority of which are term loans (accounting for around 89%), with the remainder being revolving credit facilities (around 11%).
Of the portfolio, 819 exposures (or 72% of the pool) are secured by CRE assets, including .......
News 29 September 2023
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LBBW, mBank out of the blocks
SRT Market Update
Further details have emerged on one of the Polish SRT trades that had been in the pipeline (SCI 28 September). Meanwhile, LBBW has closed an innovative synthetic securitisation with the EIB Group.
Polish lender mBank has completed its third SRT transaction, representing the largest-ever synthetic securitisation in the CEE region. Dubbed Makalu, the deal references an approximately .......
News 29 September 2023
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Risk transfer round-up - 28 September
The week's CRT developments and deal news
People moves
News 28 September 2023
ArrowMark Partners has recruited Moritz Ruhdorfer as a senior member of its securitised credit investment team. Based in ArrowMark’s London office, Ruhdorfer will assist the team with origination, structuring and execution for banks of SRT investments. With over 12 years of industry experience, his relationships in the asset class will expand the diversity of the firm’s sourcing networks .......
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Wilmington bank adds CLO expertise
Market updates and sector developments
WSFS Financial Corporation’s global capital markets team is expanding into the CLO market, as it seeks to grow its wealth business and generate fee income on a national scale. To support this expansion, the company has recruited two new associates with expertise in CLOs.
WSFS Global Capital Markets provides global services to the leveraged loan and capital markets, .......
Market Moves 28 September 2023
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JPM sounds the klaxon
SRT prices, and new mega-deal looms
Not only is JP Morgan said to have recently priced its heralded SRT deal utilizing the new, regulator-friendly SPV structure, a very large trade referencing a pool of multinational corporate loans is reputed to be in the works.
According to sources, the pool for this transaction could be as large as US$20bn, with as much as US$2bn sold into the market. This .......
News 22 September 2023
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ESMA shines light on private securitisations
Market updates and sector developments
ESMA has published an overview of EU securitisation volumes, based on the data it receives under the Securitisation Regulation. The study shows that the size of the European securitisation market has decreased significantly since its peak of €2trn at end-2010. It also highlights that private deals represent 59% of STS securitisation notifications.
As reported to the registered securitisation .......
Market Moves 22 September 2023
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Risk transfer round-up - 21 September
The week's CRT developments and deal news
Market news
News 21 September 2023
Approximately US$1.28bn in aggregate original principal amount of notes was validly tendered last week in Freddie Mac’s latest offer to purchase STACR securities. The tender offer comprised 16 class of notes from the 2017-2019 vintages, across the DNA, FTR, HQA and HRP programmes, with noteholder take-up ranging from 4.17% to 100% of the original principal amount. BofA Securities .......
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Spanish CRT prices
Magdalena 7 prices tighter.
Santander has executed the seventh synthetic securitisation from its Magdalena programme. The trade, which features a €142.5m tranche and a 7.5% thickness (1%-8.5%), priced at three-month Euribor plus 10%.
The transaction references a €1.9bn portfolio of Spanish corporate, SME and self-employed borrower loans originated by Santander. The deal has a WAL of 3.21 years and a final legal maturity of December 2044. There is a .......
News 19 September 2023
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Italian SME boost
EIB Group and Deutsche Bank close synthetic securitisation.
The EIB Group has closed its first synthetic securitisation referencing a portfolio of consumer auto loans originated by Deutsche Bank Italy. The transaction aims to support the investments of around 650,000 SMEs and mid-caps in Italy, providing them with access to new resources.
The EIF guarantee on the mezzanine tranches covers a reference portfolio of approximately €1.38bn, while a counter-guarantee (back-to-back) from the EIB .......
News 15 September 2023
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Risk transfer round-up - 14 September
The week's CRT developments and deal news
Market news
M&G Investments’ latest Insights publication explores why now could be a good moment for patient investors to consider SRT transactions and why this opportunity could be short-lived, given the current economic cycle. The firm notes that in sterling terms, it has recently seen SRT transactions pay out coupons of 10% and higher returns.“With the generally fairly .......
News 14 September 2023
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Optimistic outlook
SRT Market update
While SRT market participants generally describe a sluggish beginning to the month, further details on some of the deals in the pipeline are emerging. Overall, an optimistic outlook for Q4 prevails.
“We really have not seen many deals outside of those referencing corporate and leveraged loan portfolios,” notes one European SRT investor. “Banks appear to be focusing on hedging corporate risk and the .......
News 12 September 2023
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Latest SRTx fixings released
Index values indicate incremental widening in spreads, while...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Following three months of improved tone across the sub-indexes, sentiment has become more varied since August’s fixings (SCI 3 August), with incremental widening in spreads and increased negative outlook in the credit risk index.
This month’s survey responses suggest that spread estimates have .......
News 7 September 2023
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BMO back
Algonquin transaction in the market, to close next month.
Bank of Montreal is back in the market with a synthetic securitization from its well-established Algonquin platform, say market sources.
The transaction is expected to close in October and references a pool of loans worth US$2.5bn, though it can be upsized to $5bn, add sources.
The bank is selling a 0%-6.25% first loss tranche.
No other details have been forthcoming. The issuer has been .......
News 7 September 2023
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Missed opportunity
UK consultations overlook synthetic securitisations
As part of the broader post-Brexit programme to reform and replace existing EU law in the UK, the FCA and PRA recently published consultation papers setting out proposed rules for the UK securitisation market (SCI 15 August). While the period for both consultations ends on 30 October 2023, the current lack of consideration for synthetic securitisations is evident.
News Analysis 31 August 2023
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Bayview branches out into insurance AM
Market updates and sector developments
Bayview Asset Management has launched an Insurance Asset Management business, with the aim of appealing to an insurance industry that is increasingly seeking to diversify and expand beyond its traditional focus on corporate credit. The new division will be led by cio Nancy Mueller Handal, who formerly served as head of private fixed income and alternatives at MetLife, with .......
Market Moves 29 August 2023
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Capital blues
Securitisation set to become more costly for US banks
US regulators appear set to march in the opposite direction to their European counterparts with regard to the capital treatment of securitisation. The 1,087-page document released on 27 July as part of the Basel 3 Endgame by the Federal Reserve, the FDIC and the OCC (SCI 28 July) proposes increasing the so-called p-factor from 0.5 to 1.0, News Analysis 29 August 2023
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Risk transfer round-up - 24 August
The week's CRT developments and deal news
Deal news
Standard Chartered has executed the eighth synthetic securitisation from its Chakra programme. The significant risk transfer transaction – Chakra 8 – references a portfolio of global corporate revolving facilities, 30% of which are US exposures.Two tranches were offered to investors. According to market sources, the first loss tranche (0%-6.5%) priced at SOFR plus 12%, while the mezzanine tranche .......
News 24 August 2023
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Risk transfer round-up - 17 August
The week's CRT developments and deal news
Pipeline update
August is living up to its reputation as a low point of activity for the capital relief trades market and the financial markets as a whole. With no deals expected to close this month, the sector is slowly but surely getting ready for year-end.“August has been strangely calm; calmer than usual, I would say,” notes one .......
News 17 August 2023
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SCI In Conversation podcast: Jeff Krohn, Guy Carpenter
We discuss the hottest topics in securitisation today...
In this episode of the SCI In Conversation podcast, Guy Carpenter's md, mortgage and structured credit segment leader Jeff Krohn talks about the recent shape of events in the GSE CRT sector, from the perspective of the capital markets and reinsurance market. He also touches on the topic of recent issuance - or the lack of it - from mortgage insurers .......
News 17 August 2023