Capital Relief Trades
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Recovery vehicle
European securitisation 'fixes' on the cards?
The securitisation-related measures included in the European Commission’s capital markets recovery package have been welcomed for, among other things, removing the uncertainty regarding the EBA’s reluctance to recommend recalibrating the CRR for STS synthetics (SCI 24 July). However, the move could potentially also signal policymakers’ willingness to address the remaining securitisation ‘fixes’ that the industry has been calling .......
News Analysis 31 July 2020
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STACR surge
Freddie Mac galvanizes CRT re-opening with another STACR transaction
Freddie Mac has printed its second post-lockdown STACR deal, three weeks after re-opening the CRT debt market, with an upsized four-tranche $835m transaction. The deal was priced at the end of last week, confirmed a Freddie Mac spokesperson.
The offering, designated STACR 2020-HQA3, consisted of a M1 tranche priced at one-month Libor plus 155bp, an M2 tranche at one-month Libor plus 360bp, .......
News 29 July 2020
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SRT boost
BMO launches capital relief trade
Bank of Montreal (BMO) has completed a five-year financial guarantee that references US and Canadian senior secured and senior unsecured corporate loans. Dubbed Manitoulin Muskoka series 2020-2, the transaction is the bank’s third significant risk transfer deal this year. All three trades bring BMO’s total SRT tranche notional issuance so far in 2020 to US$494m, the Canadian lender’s largest .......
News 29 July 2020
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'Quick fix' for NPE, synthetic securitisation
Sector developments and company hires
‘Quick fix’ for NPE, synthetic securitisation
The European Commission has adopted a capital markets recovery package, as part of its overall coronavirus recovery strategy. The measures aim to make it easier for capital markets to support European businesses to recover from the crisis via targeted changes to capital market rules.Building on recent work by the EBA, the proposals .......
Market Moves 24 July 2020
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Qualitative approach?
Covid complicating CRT analytical processes
The Covid-19 fallout has complicated further the analytical process in connection with capital relief trades, given that the pandemic is having a skewed impact on different sectors of the economy. Against this backdrop, qualitative modelling approaches are gaining traction.
Whether a CRT issuer uses EBA, CCAR or their own internal scenarios, the impact of Covid-19 on stress tests .......
News Analysis 24 July 2020
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Issuance boost
Full-stack SRTs unlocked
BBVA and Santander have reopened the full-stack significant risk transfer market with the issuance of an auto ABS apiece in June and July respectively. However, full-stack securitisations widely syndicated to private investors and referencing Northern European exposures remain to be seen post-coronavirus. Consequently, arrangers are looking to Chenavari’s recently priced Aurorus 2020 consumer ABS for guidance (SCI 21 July).
News Analysis 24 July 2020
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Second CLN references WaMu loans
Sector developments and company hires
Second CLN references WaMu loans
Market Moves 21 July 2020
JPMorgan is in the market with its second public synthetic RMBS, Chase Mortgage Reference Notes 2020-CL1. Principal payments on the notes are based on the actual payments received and performance of a US$2bn reference pool consisting of 8,683 prime-quality residential mortgage loans. According to Fitch, the majority of the loans were originally negative amortisation loans originated .......
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Carrots and sticks
'Wide-ranging and ambitious' recommendations welcomed
The recommendations put forward by the High Level Forum on Capital Markets Union (CMU) last month have been welcomed by the European securitisation industry (SCI 11 June). However, while these measures – if implemented – should provide the necessary framework for a healthy and robust ABS market, they are far from being a silver bullet.
The High .......
News Analysis 21 July 2020
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Risk transfer round up - 15 July
CRT sector developments and deal news
Credit Agricole is rumoured to be readying a corporate capital relief trade that is expected to close in 2H20. The French lender’s last risk transfer trade was closed in March 2018 with the IFC (see SCI’s capital relief trades database).
....... News 15 July 2020
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Risk transfer return
Intesa debuts post-Covid Italian SRT
Intesa Sanpaolo has returned to the synthetic securitisation market with a new transaction from its GARC programme. Dubbed GARC Leasing-1, the €107m cash collateralised equity tranche references a static €1.5bn portfolio of lease financing to 2,600 Italian SMEs. The transaction is the first Italian leasing SRT and the first private capital relief trade to be issued out of Italy .......
News Analysis 15 July 2020
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Fannie takes a step back
As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules
Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Federal Finance Housing Authority (FHFA) on May 20 is causing Fannie Mae to hold back from CRT issuance, confirm market sources close to the agency.
“They’re trying to evaluate what the new capital rules might mean before they take the next step,” says one consultant.
At the beginning .......
News Analysis 14 July 2020
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ACIS activated
Freddie Mac brings first ACIS CRT deal since March
Following its recent re-opening of the CRT bond market with a $1.1bn STACR deal, Freddie Mac last Friday (July 10) priced its first ACIS deal since March. Like the STACR deal, this transaction was also over-subscribed and issue size was doubled to $425m.
The deal, designated ACIS 2020 DNA3, consisted of four tranches. The M1, for an issue size .......
News 13 July 2020
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Risk transfer round up - 10 July
CRT sector developments and deal news
Commerzbank is rumoured to be readying a corporate capital relief trade that is expected to close in 2H20. The German lender’s last significant risk transfer trade closed in February and referenced German SME exposures (see SCI’s capital relief trades database).
Meanwhile, Lloyds is believed to be readying another agricultural loan SRT from the Fontwell programme for 3Q20. .......
News 10 July 2020
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Arch restarts MILNs
The relaunched Bellemeade Re 2020-1 from Arch Capital, priced at the end of last week, secured more investors than any previous mortgage insurance-linked note (MILN) from this borrower, confirms Jim Bennison, executive vice president for alternative markets.
The original Bellemeade Re 2020-1 was pulled on March 9 as markets fissured and investor interest evaporated. But buyers have come back to the MILN .......
News Analysis 9 July 2020
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CPR for CRT from Freddie
Freddie Mac's new upsized STACR shows market is healthy
Freddie Mac has demonstrated that reports of the death of the CRT bond market are greatly exaggerated with its upsized $1.1bn STACR 2020-DNA3 deal priced at the end of last week and announced on Monday, July 6. This was the first single family GSE CRT offering since March.
The deal was worth $500m at launch but was more than doubled to $1.1bn due .......
News Analysis 9 July 2020
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Restructuring events?
Uncertainty over CRE values weighs on CRTs
Restructuring credit events in capital relief trades backed by commercial real estate loans will likely occur over the next six months, following an end to coronavirus-related payment holiday schemes. Given uncertainty over the long-term impact of the pandemic on CRE collateral values, disagreements between banks and investors over the appropriate workout strategy and the related issue of control rights .......
News Analysis 9 July 2020
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Polish SRT inked
Santander completes capital relief trade
Santander has completed a synthetic securitisation of Polish leasing receivables with the EIF. The transaction references an approximately PLN2bn (€450m) portfolio and is Santander’s first significant risk transfer transaction following the coronavirus crisis.
Georgi Stoev, head of CEE and Northern European securitisation at the EIF, notes: “The coronavirus crisis has led to negative rating migrations in portfolios and .......
News 9 July 2020
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Risk transfer round-up - 3 July
CRT sector developments and deal news
Details have emerged of three corporate capital relief trades issued by Barclays last month. The risk transfer transactions are the lender’s first following the coronavirus crisis. The combined first loss tranches total US$380m and reference a US$3.8bn global portfolio.
....... News 3 July 2020
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Spanish SRT inked
BBVA launches capital relief trade
BBVA has completed an €87m mezzanine guarantee with the EIF. Dubbed Vela Four, the transaction references a static €1.25bn Spanish SME and mid-cap portfolio and has a simpler structure compared to previous capital relief trades from the same programme.
According to Pablo Sanchez Gonzalez, structured finance manager at the EIF: “We have used a much simpler structure this .......
News Analysis 3 July 2020
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Fast amortisation
SSPAIN deleveraging highlighted
Scope Ratings has published a monitoring report for Santander’s 2019 US auto significant risk transfer deal SSPAIN (see SCI’s capital relief trades database). The assigned ratings remain the same and the rated notes have benefited from deleveraging and lower than expected portfolio losses. However, back-loaded default scenarios are plausible, given Covid-19 uncertainties - although the impact of the .......
News 2 July 2020
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Risk transfer round-up - 1 July
CRT sector developments and deal news
NatWest is rumoured to be readying a capital relief trade backed by mid-market corporate loans for 3Q20. The transaction would be the issuer’s first post-Covid significant risk transfer deal, following the announcement of Project Grasshopper in December 2019. The latter deal referenced project finance loans (see SCI’s capital relief trades database).
....... News 1 July 2020