Capital Relief Trades
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Double trouble
Two - not one - JP Morgan corporate loan CRT trades have been in the market
A CRT transaction between JP Morgan and a club of investors referencing corporate loans, believed to be chiefly SME-related assets, is poised to close imminently, say well-placed market sources.
This trade is in addition to the bilateral corporate loan CRT deal involving Dutch asset manager PGGM and co-investor Alecta, a Swedish pension provider, which also closed recently. The .......
News 27 November 2020
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Excess spread harmonised
EBA's SRT recommendations released
The EBA’s long-awaited final report on significant risk transfer details a set of recommendations to the European Commission regarding the harmonisation of practices and processes applicable to the assessment of SRT transactions (SCI 23 November). Most notably, the report harmonises the regulatory treatment of excess spread, ending a three-year uncertainty over the use of the structural feature in .......
News Analysis 27 November 2020
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EBA SRT report released
Sector developments and company hires
EBA SRT report released
Market Moves 23 November 2020
The EBA has published its long-awaited report on significant risk transfer in securitisations, which includes a set of detailed recommendations to the European Commission on the harmonisation of practices and processes applicable to the SRT assessment. The EBA proposals aim to enhance the efficiency, consistency and predictability of the supervisory SRT assessment within the current securitisation .......
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Greek synthetics eyed
Alantra targets CRTs, new jurisdictions
Alantra has evolved to become one of the premier players in the non-performing loan markets by utilising a combination of services, including credit portfolio advisory and asset management. However, following the recent hiring of Francesco Dissera (SCI 3 November), the arranger is now eyeing capital relief trades, including in the currently untapped Greek market.
Alantra’s services .......
News Analysis 20 November 2020
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Capital headache
The finalized GSE capital rules give with one hand whilst the other takes
The finalized capital rule for the GSEs, released yesterday afternoon (November 19) by the Federal Housing Finance Agency (FHFA), increases the amount of dollar relief afforded by CRT mechanisms from that envisaged by the rules released in May, but the effect is offset by higher overall risk weightings the amended rules impose, observe sources.
“CRT is more effective because the .......
News 19 November 2020
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Synthetic RMBS priced
Lloyds finalises Syon transaction
Lloyds has priced the third transaction from its Syon programme. The seven-year significant risk transfer trade is motivated by prudent risk management within the context of providing support to first-time buyers, in line with the bank’s Helping Britain Prosper Plan. After withdrawing high LTV mortgage products in March 2020, the UK lender is now seeking to re-enter that market .......
News 19 November 2020
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Democrats and CRT
Banks, GSEs eye Washington for policy clues
It is, probably, a reasonable assumption that US President-elect Joe Biden has never given a second thought to credit risk transfer mechanisms. But for this market and particularly the GSEs, the new administration represents a sea-change in philosophy and policy.
The potential extent of any legislative innovation depends, firstly, on whether the Senate will approve or block action .......
News Analysis 19 November 2020
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APAC capital advisory formed
Sector developments and company hires
APAC capital advisory formed
Aon has launched an Asia Pacific Capital Advisory unit to deliver a holistic approach to capital optimisation for re/insurers. The initiative follows Aon’s launch of similar units in the UK and US.At the same time, actuary Seewon Oh has joined the unit from Smartkarma Innovations, where she was an analyst researching the insurance sector across Asia Pacific. .......
Market Moves 18 November 2020
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Revised stance
Parliament backtracks on structural features
The European Parliament’s Economic and Monetary Affairs Committee (ECON) has approved the inclusion of time calls and pro-rata amortisation for STS synthetic securitisations, as part of a review of the European Commission’s ‘quick fix’ proposals (SCI 31 July). The committee had initially suggested an exclusion of these features from the final framework, but revised its stance last month .......
News 11 November 2020
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Synthetic CMBS eyed
Pension funds target CRE CRTs
Pension funds are targeting synthetic securitisations of commercial real estate loans, despite the challenges of the Coronavirus crisis (SCI 9 July). However, going forward, portfolio composition will be key for real money investors.
According to Chris Redmond, head of manager research at Willis Towers Watson: “Since mid-July, the screamingly cheap has gone and so now we are .......
News Analysis 6 November 2020
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Storming STACR
Freddie Mac shrugs off the lockdown effect to go to town in 3Q and since
Freddie Mac's new CRT issuance credit-protected more unpaid principal mortgage balance at a higher maximum coverage in 3Q 2020 than in any other quarter since it began reporting these numbers, according to Mike Reynolds, vice president of single family CRT at the GSE.
It is striking that this should have occurred in a quarter when market uncertainty occasioned by Covid .......
News 5 November 2020
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Risk transfer round-up - 2 November
CRT sector developments and deal news
BDK has priced its seventh full-stack capital relief trade from the Red & Black Germany programme. The transaction is broadly in line with R&B Six, but changes have been made to the composition of the portfolio and payment triggers (SCI 23 October).
The €935m class A notes pay one-month Euribor plus 70bp, the €25m class Bs pay .......
News 2 November 2020
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Risk transfer boost
US CRT market picks up
SCI publishes regular in-depth analysis of trends and developments across the capital relief trades market, in addition to our usual news output. In this latest CRT Premium Content article, we investigate US banks' attempts to manage coronavirus-related higher capital requirements via capital relief trades.
To upgrade your subscription to access all CRT premium content for a year, .......
News Analysis 29 October 2020
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Pan-European logistics CMBS prepped
Sector developments and company hires
Pan-European logistics CMBS prepped
Blackstone Real Estate Partners is in the market with a €318.6m single-loan pan-European CMBS. Dubbed Pearl Finance 2020, the transaction is secured by 61 predominantly last-mile logistics assets across Denmark, Finland, France, Germany, Ireland and the Netherlands.The assets are valued by Cushman & Wakefield at €576.9m, as of 31 July 2020. Portfolio occupancy currently .......
Market Moves 28 October 2020