Capital Relief Trades
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First loss SRT debuts
BBVA executes capital relief trade
BBVA and the EIB group have finalized a €120m financial guarantee that will enable the Spanish lender to channel over €960m into SME lending.
The STS transaction will support working capital and liquidity needs, as well as cover the investment constraints of Spanish SMEs affected by COVID-19. The significant risk transfer trade is also the bank’s inaugural first loss guarantee.
The tranches amortize .......
News 7 January 2022
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Greek wave
Eurobank finalizes SRT
Eurobank has completed a first loss financial guarantee with the EIB group that references a €0.7bn portfolio of Greek SME and large corporate loans. Dubbed Project Wave Two, the transaction is the first capital relief trade of the Greek market to have been structured as a first loss deal under the terms of the European Guarantee Fund (EGF) and is the .......
News 6 January 2022
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Risk transfer return
Santander completes capital relief trade
Santander has finalized a €291.6m synthetic securitisation that references a €5bn portfolio of US, UK, and European undrawn corporate revolvers. Dubbed Bultaco, the transaction is the first confirmed post-covid significant risk transfer trade (SRT) to be backed by such loans.
The tranches amortize on a pro-rata basis over a three-year portfolio weighted average life. The deal was widely syndicated due to good .......
News 4 January 2022
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Angel Oak hits up MILNs
In the third and final in our series of EOY interviews with...
Colin McBurnette handles RMBS allocation for Angel Oak, and in 2021 he expanded the footprint of his portfolio into the mortgage insurance-linked note market for the first time.
Heading into March 2020, Angel Oak had zero dollars in total MI exposure in its flagship Angel Oak Multi Strategy Income Fund (ANGIX), but this year it climbed to a peak of $400m. The fund will continue .......
Talking Point 3 January 2022
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WAB CRT number 2
WAB becomes 1st US regional to do CRT on direct mortgage exposure
Phoenix-based Western Alliance Bank (WAB), a wholly owned subsidiary of Western Alliance Bancorporation (WAL, marked the last days of 2021 with its second CRT trade in four months, designated WAL 2021 CL2.
The $50bn bank first entered the CRT space in September with a trade covering mortgage warehouse loans but this latest transaction transfers risk on direct mortgage exposure.
This makes it the .......
News 3 January 2022
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Decision notice issued against BlueCrest
Sector developments and company hires
Decision notice issued against BlueCrest
The UK FCA has published a decision notice against BlueCrest Capital Management (UK) (BCMUK) setting out its decision to impose a financial penalty of £40.81m on the firm. BCMUK has elected to refer the case directly to the Upper Tribunal, which will determine the appropriate action, if any, for the FCA to take.The .......
Market Moves 24 December 2021
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MCC secures synthetic
Italian SME counter-guarantee deployed
The EIF is set to counter-guarantee a portfolio of 5,652 operations backed by the Guarantee Fund for SMEs, which is managed by Mediocredito Centrale (MCC) on behalf of the Italian Ministry of Economic Development. The total portfolio amount corresponds to €3.2bn of funding, including a direct guarantee from the Fund of €2.8bn.
Under this synthetic securitisation of secured .......
News 23 December 2021
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Double first for the EIB
EGF, first loss guarantee debuts
The EIB Group has closed the first synthetic securitisation backed by the European Guarantee Fund (EGF), an instrument set up by the EIB Group together with EU Member States to mitigate the economic consequences of the Covid pandemic (SCI 27 May 2020). The transaction is also the first whereby the EIB Group has invested in the junior tranche .......
News 22 December 2021
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RFC issued on non-sequential amortisation
Sector developments and company hires
RFC issued on non-sequential amortisation
Market Moves 20 December 2021
The EBA has launched a public consultation on draft regulatory technical standards (RTS) specifying and, where relevant, calibrating the minimum performance-related triggers for STS synthetic securitisations that feature non-sequential amortisation. For the purpose of standardisation, the amended securitisation regulation sets out that sequential amortisation shall be applied to all tranches of STS synthetic securitisations. However, .......
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Greek SRT finalised
Alpha Bank closes capital relief trade
Alpha Bank has completed a €145m synthetic securitisation that references a €1.9bn portfolio of Greek corporate and SME loans. The transaction is the third Greek significant risk transfer trade and the first Greek SRT involving multiple investors.
Indeed, CRC, Anacap and the EBRD all invested in the deal. The EBRD put down €10m of credit protection, but CRC bought the .......
News 20 December 2021
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Spanish private debt fund wins EIF backing
Sector developments and company hires
Spanish private debt fund wins EIF backing
Beka Finance has formed a private debt management unit, dubbed Beka Credit, which it hopes will help consolidate the firm’s growth and leadership position in the alternatives market. The unit is already preparing to launch its first private debt fund, with which it expects to raise around €250m.The Luxembourg-based vehicle will .......
Market Moves 17 December 2021
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Auto CRT priced
Santander engineers US return
Santander has completed its synthetic securitisation that references a US$2.17bn portfolio of US auto loans (SCI 9 December). The transaction is the first post-Covid US synthetic auto ABS issued by a European originator and marks Santander’s return to the US market.
Rated by Fitch, the transaction consists of US$1.656bn unrated class A1 notes, US$10m unrated class A2 .......
News 17 December 2021
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CAS Christmas cracker
Fannie's third CRT since its return makes Q4 top of the pile
Fannie Mae has priced its third and final CAS deal of the year, and as this trade will settle before year-end it makes 4Q 2021 the busiest ever seen in the GSE CRT space, say sources.
The US$909m four-tranche offering, dubbed CAS 2021-R03, references a pool of around 117,000 single family mortgages with an outstanding principal balance of .......
News 16 December 2021
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ESG SRT inked
Standard Chartered completes capital relief trade
Standard Chartered has finalised a US$90m significant risk transfer trade that references a US$1bn portfolio of US and European corporate borrowers. Dubbed Chakra Six, the CLN stands out for its ESG features and was priced in the high single digits, rendering it the most tightly priced SRT so far from the Chakra programme.
The transaction features a sequential amortisation structure .......
News 15 December 2021
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Bank bonanza
Massive potential of US bank CRT market stressed in Miami
If 10% of the $2trn US wholesale commercial loan market were to receive the CRT treatment it would create $25bn of new tranches - only $10bn less than the entire current global CRT market, according to a speaker at the ABS East conference in Miami today.
Moreover, there remains considerable incentive for US banks to take this path: the differential between RWAs .......
News 14 December 2021
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UK review released
HMT 'broadly supportive' of securitisation market
The UK government has published its report on the review of the securitisation regulation (SCI 28 June), which outlines specific areas of the regime that HM Treasury may revisit to ensure it “best delivers” for the UK securitisation market. The report appears to be broadly supportive of the industry - although notably isn’t supportive of extending the public .......
News 14 December 2021
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Game-changing potential
In the second in our series of year-end interviews with inve...
Opportunities for investment in CRT trades from US names will increase significantly in 2022, says Terry Lanson, a portfolio manager at Seer Capital.
“We think we’ll see significant volume out of the US and also out of Europe. The programme is growing in adoption globally. It is receiving significant attention from investors and capital allocators like state pension .......
News Analysis 13 December 2021
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HSBC hits the US trail
HSBC USA markets corporate loan CRT, Santander brings auto loan CLN
HSBC USA is in the CRT market with a new trade backed by large revolving corporate loans originated in North America, say well-placed sources.
The deal, which is expected to close before the end of the year, is self-led.
The reference pool of loans is worth $2.5bn and the new issue size will be $300m, add sources.
Tranche thickness is 0%-12.5% and the trade .......
News 9 December 2021
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SME boost
German STS synthetic printed
Deutsche Bank and the EIB Group have executed a €75m unfunded mezzanine guarantee that references a €1bn German mid-market corporate portfolio. The guarantee will provide capital relief to Deutsche Bank and enable the lender to finance €300m of SME and mid-cap lending. The transaction is expected to support smaller businesses in their recovery from liquidity shortages caused by the .......
News 9 December 2021