Capital Relief Trades
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Pandemic hedges
CRT solutions for pandemic events mulled
Munich Re’s Epidemic Risk Solutions (ERS) unit is targeting credit risk transfer solutions that incorporate pandemic events, although the initiative remains in its early stages and coverage will for now amount to only an economic hedge without capital benefit.
The latter is currently not available to banks under existing Basel rules, but this could change as the ESG agenda across credit markets .......
News 4 June 2021
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Capital cushions
Buoyant CET1 levels explain CRT reluctance
Dealers agree that this year has been quieter in the CRT market in USA and Canada than had been anticipated - with the honourable exception of the ground-breaking Texas Capital Bank deal in March.
“It is a very strange time. It feels like a lot of banks are on the sidelines,” says a source in the US.
The renaissance of the North .......
News Analysis 3 June 2021
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FHFA under fire
Arch takes aim at FHFA report on GSE CRT
David Gansberg, president and ceo of Arch Mortgage Insurance, has taken serious issue with the recent Federal Home Financing Authority (FHFA)’s report on the GSE CRT programme, published last month.
Writing in Housing Wire last week, Gansberg accuses the FHFA of missing out vital evidence on the CRT scheme to present a distorted picture of its efficacy.
The FHFA report, titled Performance of .......
News 3 June 2021
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Canuck rumours
Canadian banks said to be circling CRT
Rumours continue to swirl about the possibility of an imminent regulatory capital relief trade issued by a Canadian bank.
In January, there were strong rumours that a CRT trade was in the offing in the near future, probably from Scotia. These rumours have recently resurfaced, though as yet nothing has come to light. It was thought originally that Scotia would issue .......
News 3 June 2021
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Risk transfer round up-3 June
CRT sector developments and deal news
Sabadell is believed to be prepping a capital relief trade backed by SME loans that is expected to close in 3Q21. The bank’s last significant risk transfer trade was finalized in June 2020 (see SCI’s capital relief trades database).
....... News 3 June 2021
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ETL waiver requested following cyberattack
Sector developments and company hires
ETL waiver requested following cyberattack
Market Moves 28 May 2021
European truck lease provider Fraikin SAS was subject to a ransomware attack that started on 11 May. S&P notes that the credit quality of its two securitisations - FCT Eurotruck Lease II and FCT Eurotruck Lease III (ETL II and III) - is unlikely to be affected, providing the company can make a swift return .......
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End of the line?
SRT issuers mull dropping synthetic excess spread
The requirement to fully capitalise synthetic excess spread is expected to result in SRT issuers dropping the feature from their transactions. This CRT Premium Content article weighs the relative benefits of synthetic securitisations versus those of full-stack cash deals, in which originators can use excess spread.
The EBA and the European Commission’s decision last year to fully capitalise synthetic ......
News Analysis 28 May 2021Premium Content
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CRT return for FNMA?
Supreme Court ruling on Calabria's future imminent
A US Supreme Court decision about whether President Biden can remove Mark Calabria as director of the Federal Housing Finance Authority (FHFA) may arrive as soon as next week, say well-placed sources.
Following recent precedent, it seems likely that the court will rule that Calabria can be removed by the executive ‘for cause’. This will have profound ramifications .......
News Analysis 27 May 2021
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Landmark SRTs finalised
Cash collateralised insurer deals debut
Credit Risk Transfer Solutions (CRTS) has executed three synthetic securitisations that have broken new ground in the market. Indeed, the firm has structured the first cash collateralised capital relief trades that involve insurer counterparties.
According to Andy Garston, director at CRTS: ‘’Most SRT deals require cash investors, which is problematic for insurers. But we now have a structure .......
News Analysis 27 May 2021
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Missed opportunity
ESA report disappoints on securitisation treatment
The recent European Supervisory Authorities (ESA) report on the implementation and functioning of the EU Securitisation Regulation (SCI 17 May) disappointed many in the industry, since it avoided tackling long-standing issues in the treatment of securitisations. In particular, the lack of a level playing field in terms of disclosure and due diligence remains a concern.
The ESA .......
News Analysis 27 May 2021
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Actuarial approach
Alphidem co-founder Ken Sutter outlines how the quantitative...
In light of the current regulatory and interest rate environment, it could be assumed that capital relief trades enjoy great popularity, even outside of the dedicated investor community. However, despite growth and positive market trends, the asset class still leads a niche existence and sticks to its esoteric label. This is even more astonishing considering that many alternative credit managers .......
Talking Point 25 May 2021
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Strategic credit commitment inked
Sector developments and company hires
Strategic credit commitment inked
Market Moves 20 May 2021
The Investment Management Corporation of Ontario (IMCO) has closed a US$500m commitment with a new strategic partner, Ares Management Corporation. IMCO has allocated US$400m of the commitment to a fund of one structure and US$100m to Ares Pathfinder Fund, a flagship global alternative credit fund. Pathfinder pursues a differentiated strategy of providing tailored financial solutions for .......
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Lone Star rising
A soup to nuts profile of TCBI's inaugural CRT
It took Texas Capital Bank nine months to finalise its landmark capital relief trade, becoming the first US regional bank to tap the risk transfer market (SCI passim). This CRT Premium Content article tracks the deal’s progress from inception to launch.
When Texas Capital Bank began to contemplate issuing a capital relief trade in late spring of ......
News Analysis 13 May 2021Premium Content
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Risk transfer round-up - 11 May
CRT sector developments and deal news
Bank of Montreal has called Muskoka Series 2020-1. The US$132m financial guarantee was executed in April 2020, becoming the first post-Covid capital relief trade (SCI 15 May 2020). The lender exercised another call option on 9 February for Muskoka Series 2017-2 (SCI 9 February).
....... News 11 May 2021
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Tight pricing
Standard Chartered prints CRT
Standard Chartered has finalised a US$180m CLN that references a US$2bn portfolio of around 130 US and European corporate exposures. Dubbed Chakra Five, the capital relief trade is the most tightly priced Chakra deal to date.
The trade printed in the high single-digits and features tranches that amortise sequentially over a an approximately three-year weighted average life and .......
News 5 May 2021
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APAC ESG expansion eyed
Sector developments and company hires
APAC ESG expansion eyed
Market Moves 27 April 2021
Moody’s is set to expand its Singapore office with the aim of spearheading ESG, climate and sustainable finance efforts in the Asia Pacific region, as well as fostering the ESG ecosystem in Singapore. Included in the firm’s plans are several initiatives, such as the establishment of an ESG Centre of Excellence for investor outreach, engagement and .......
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Risk transfer round-up - 27 April
CRT sector developments and deal news
Credit Suisse has redeemed and delisted two Magnolia Finance Five transactions. Magnolia Finance Five Series 2017-1 is a US$400m CLN that matures in 2024. The other transaction, dubbed Magnolia Finance Five series 2017-2, is a US$75m CLN that matures in 2025.
....... News 27 April 2021
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Downgrades for 'lower quality' mall CMBS
Sector developments and company hires
Downgrades for ‘lower quality’ mall CMBS
Market Moves 26 April 2021
Moody's has downgraded 119 principal and interest, 26 interest-only and 11 exchangeable classes from 36 US CMBS and placed eleven P&I, one exchangeable and three IO classes under review for possible downgrade from a further two CMBS. The rating actions affect approximately US$6.2bn of securities and were prompted primarily by increased loss expectations and .......