Capital Relief Trades
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Synthetics seminar line-up finalised
Fireside chat, CRT workshop on the agenda
The line-up for SCI’s 4th Annual Risk Transfer & Synthetics Seminar has been finalised. Hosted virtually on 7 and 8 October, highlights of the event include a fireside chat between Clifford Chance’s Timothy Cleary and Christofferson Robb & Co’s Richard Robb, as well as a Mark Fontanilla & Co workshop on the US credit risk transfer market.
A market overview .......
News 6 October 2020
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Range of moratoria take-up 'stark'
Sector developments and company hires
Range of moratoria take-up ‘stark’
Market Moves 5 October 2020
With payment holiday concentrations having fallen over the past few remittance periods, the range of payment holiday take-up across UK RMBS is stark, according to JPMorgan’s latest Covid-19 Payment Holiday Tracker. Reflecting data reported primarily through September and August, the report identifies zero percent (in the case of the MORTI 2020-1 deal) and 0.6% (TWIN .......
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Risk transfer round-up - 5 October
CRT sector developments and deal news
Lloyds is rumoured to be readying its third mortgage significant risk transfer trade from the Syon programme for 4Q20. The last Syon transaction closed in February (see SCI’s capital relief trades database). Fitch placed Syon Securities 2019 and 2020 under rating watch negative (RWN) in April, but removed them from RWN last month (SCI 25 September).
....... News 5 October 2020
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Transmitting credit
SRT and the real economy explored
SCI will be publishing a chapter of our Autumn 2020 CRT Research Report each day this week. While today’s instalment - the introduction – is available to all subscribers, the subsequent chapters will be available to premium subscribers only.
To enquire about SCI’s premium content, email jm@structuredcreditinvestor.com (new subscribers) or ta@structuredcreditinvestor.com (existing customers). For further information on the risk transfer and synthetic .......
News 5 October 2020
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SME boost
Commerzbank completes CRT
Commerzbank, the EIF and the EIB have completed a €125m mezzanine guarantee that references a €1.9bn German SME and midcap portfolio. The guarantee will enable Commerzbank to provide new lending of up to €500m to SMEs and mid-caps in Germany as a countermeasure to the ongoing Covid-19 crisis.
The transaction benefits from the support of the European Fund .......
News 2 October 2020
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'Dual-track' approach touted for SRT
Sector developments and company hires
‘Dual-track’ approach touted for SRT
Market Moves 1 October 2020
The EBA is finalising its report on significant risk transfer and hopes to be able to publish it by year-end, according to Pablo Sinausia, policy expert at the authority. He disclosed during a TSI Congress 2020 panel today that the report builds on the EBA’s recent report on STS synthetics and will address structural features that .......
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Latest Magdalena finalised
Santander prices first post-Covid SME SRT
Santander, the EIF and the EIB have completed a €55m and €143m CLN that references a €2.2bn Spanish SME portfolio. Dubbed Magdalena Four, the transaction is Santander’s first post-Covid SME significant risk transfer trade.
The transaction consists of a €1.969bn retained senior tranche, a €55m senior mezzanine tranche (priced at three-month Euribor plus 1.6%), a €143m junior mezzanine tranche (plus 6%) and a €33m retained first loss tranche. .......
News 29 September 2020
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Risk transfer round up - 28 September
CRT sector developments and deal news
BNP Paribas is rumoured to be readying a full-stack consumer significant risk transfer trade for 2H20.The transaction would be the lender’s first post-Covid full stack SRT following the finalisation of E-CARAT 11 in February (see SCI’s capital relief trades database).
....... News 28 September 2020
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Calabrian calibration
FHFA silent on the implication of the director's comments about GSE CRT last week
The Federal Housing Finance Authority (FHFA) has been unable provide more details about what director Mark Calabria’s meant at last week’s Congressional hearings when he apppeared to envisage a reduced place for CRT deals offered by the GSEs in the future.
Calabria was speaking before the House Financial Services Committee at a hearing entitled “Prioritizing Fannie’s and Freddie’s Capital over America’s Homeowners .......
News Analysis 25 September 2020
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Tight pricing
BNP Paribas completes SRT
BNP Paribas has finalised a €324m funded financial guarantee and is scheduled to complete a €100m insurance policy before the end of 3Q20. Dubbed Resonance Five, the tranches reference a static €8bn global corporate portfolio that consists of both drawn and undrawn commitments. The transaction is so far the most tightly priced corporate capital relief trade of the year.
The .......
News 25 September 2020
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Revolver exposures on offer
Sector developments and company hires
Revolver exposures on offer
Goldman Sachs is in the market with a balance sheet synthetic securitisation referencing a portfolio of predominantly investment-grade senior unsecured revolving loan facilities. Dubbed Goldman Sachs Bank USA credit-linked notes due 2025, the transaction comprises two classes of S&P-rated CLNs for a total of US$184.8m.The transaction documentation links the ability of Goldman Sachs to .......
Market Moves 25 September 2020
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Risk transfer round-up - 25 September
CRT sector developments and deal news
Goldman Sachs is rumoured to be prepping two US corporate significant risk transfer deals for 4Q20 and the lender is believed to have closed another corporate deal in 3Q20. The trades would be the bank’s first SRTs (see SCI’s capital relief trades database).
....... News 25 September 2020
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Syon safe
Fitch affirms ratings for Lloyds SRTs
Fitch has removed the Syon Securities 2019 and 2020 transactions from rating watch negative (RWN), after having placed them there in April following the coronavirus outbreak. The class C and D notes of Syon 2019 and class C notes of Syon 2020 were placed on RWN due to an expectation of weakening asset performance.
Syon Securities 2019 and .......
News 25 September 2020
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JP Morgan at CRT again
The US bank is reportedly readying a corporate/SME loan deal
JP Morgan Chase is preparing a capital relief trade (CRT) referencing corporate and SME loans, say well-placed market sources.
It is getting ready to place the trade among a “small club” of investors before the end of financial year, add the sources.
JP Morgan has been unavailable for comment.
The deal represents a broadening of asset classes referenced by risk transfer deals .......
News 24 September 2020
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Doubling up
Record year anticipated for the EIF
The bulk of European SME capital relief trades in 1H20 were public, with the EIF a particularly active participant, given its mandate to support the sector. Indeed, it is shaping up to be a record year for the organisation in terms of synthetic securitisation, with easily double the volumes than issued under normal circumstances.
“Part of the EIF’s .......
News Analysis 22 September 2020
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Auto SRT priced
Santander unveils its first post-Covid Spanish auto SRT
Santander this week priced a full stack auto significant risk transfer trade (SRT) referencing a static €520m portfolio of Spanish auto loans, constituting the bank’s first post-Covid lockdown Spanish auto SRT.
Dubbed Santander Consumer Spain 2020-1, marketing for the deal began in last month (SCI 28 August).
Class A pays three-month Euribor plus 39bp, class B pays three-month Euribor plus 95bp, class .......
News 16 September 2020
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SYME securitisation underway
Sector developments and company hires
SYME securitisation underway
Market Moves 11 September 2020
Supply@ME Capital (SYME) reports that it has received offers, subject to contract, from a number of large, global institutional investors for a securitisation note issuance via StormHarbour, in order to monetise more than €300m of inventory (SCI 24 April). The company says it is currently analysing whether to syndicate this first securitisation issuance or work on .......
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Volksbank debuts
Delayed Italian SRT inked
Volksbank has completed a financial guarantee with the EIF and the EIB that references a static €700m Italian SME portfolio of roughly 3600 borrowers. The transaction is the Italian bank’s first significant risk transfer transaction.
Martin Schweitzer, cfo and deputy ceo at Banca Popolare dell’Alto Adige, notes: “It’s an important transaction for us in several respects, not least because of .......
News 11 September 2020
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APAC SRTs eyed
Balance sheet optimisation in focus
Asia Pacific banks are eyeing synthetic securitisations to optimise their balance sheets and as Basel 4 is incorporated into local laws. However, portfolios tend to be structured as blind pools, which could potentially limit future investor interest.
APAC SRTs are not a new phenomenon, as the activity of Standard Chartered and Credit Suisse demonstrates. Credit Suisse, for instance, closed three APAC .......
News Analysis 11 September 2020
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Multi-level Libor exposure eyed
Sector developments and company hires
Multi-level Libor exposure eyed
Market Moves 9 September 2020
Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of Japanese structured finance transactions the agency rates have Libor exposure and, in some cases, there is Libor exposure through notes, as well .......
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Risk transfer round-up - 9 September
CRT sector developments and deal news
Commerzbank is rumoured to have significantly upsized a corporate and SME significant risk transfer trade that is expected to close in 4Q20, following the alleged replacement of PGGM as counterparty with another private investor. The German lender’s last capital relief trade was closed with the EIF in February (see SCI’s capital relief trades database).
....... News 9 September 2020