Capital Relief Trades
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Italian SRT inked
UBI Banca seals the triple
UBI Banca has completed its third capital relief trade (CRT) following its inaugural transaction two years ago. Dubbed UBI 2019 RegCap3, this trade differs from the previous two, given the use of pro-rata amortisation and a replenishment period for prepaid loans.
“We received strong interest from investors thanks to the solid performance of the previous transactions. The new .......
News 26 November 2019
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SCI Start the week - 25 November
A review of securitisation activity over the past seven days
Transaction of the week
Alpha Bank is set to securitise a €12bn mixed portfolio of retail secured and unsecured loans, mortgage and wholesale non-performing loans in 1H20. Dubbed Project Galaxy, the transaction protects shareholders from dilution and is one of the first to utilise the Greek government's Hercules asset protection scheme (HAPS) (SCI 11 October).
Alpha .......
News 25 November 2019
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Template concerns
Paper proposes mitigants for unintended consequences
Major risk-sharing transaction investor PGGM has published a position paper on the ESMA securitisation disclosure templates (SCI 1 November). The paper proposes changes to mitigate the unintended consequences of applying true sale ABS reporting standards to balance sheet synthetic trades.
Mascha Canio, head of credit & insurance linked investments at PGGM, explains: “We wanted to highlight these .......
News Analysis 22 November 2019
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Ramping up
Standard Chartered boosts corporate issuance
Standard Chartered has completed a US$135m CLN that references a US$1.5bn portfolio of US and European corporate revolvers. Dubbed Chakra 4, the deal was carried out for both credit risk management and capital relief purposes.
The disclosed pool totals approximately 150 loans - mainly undrawn commitments - with a replenishment period equal to three years and weighted average life equal .......
News 21 November 2019
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US CRT pick-up?
Volumes to remain restricted to large banks
The US capital relief trades market is witnessing a long-awaited uptick, with three deals reportedly being readied. JPMorgan’s recent landmark synthetic RMBS appears to have boosted issuance (SCI 10 October), although volume is expected to remain restricted to large banks that will have to tackle a number of regulatory challenges.
US banks have been seeking to .......
News Analysis 18 November 2019
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Full-stack trend continues
FCA completes Italian auto SRT
Fiat Chrysler Automobiles (FCA) has completed a €912.6m true sale significant risk transfer securitisation backed by Italian auto loans. Dubbed A-BEST 17, the full-stack ABS differs from previous transactions from the same programme, given the inclusion of pro-rata amortisation and a deferred purchase price mechanism.
Rated by Fitch and DBRS, the transaction consists of €810m class A notes .......
News 15 November 2019
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Risk transfer round-up - 15 November
CRT sector developments and deal news
Santander is rumoured to be prepping a synthetic securitisation of German consumer loans. This is one of two synthetic consumer ABS deals it is said to be readying this quarter, following a slew of consumer SRTs issued by the bank this year (see SCI’s capital relief trades database).
...... News 15 November 2019Premium Content
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Choose risk
Richard Robb, ceo of Christofferson, Robb & Company...
Q: How is CRC involved in the capital relief trade or risk sharing market?
A: We continue to invest in bilateral risk sharing transactions with European banks, as we have since 2003. Eighty-five percent of our deals are synthetic. Our AUM is around US$5bn, covering around US$80bn in reference assets.Q: Anything new?
The Structured Credit Interview 13 November 2019
A: Three years ago, we launched a .......
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Risk transfer return
Bank of Ireland issues mezzanine tranche
Bank of Ireland has issued an additional mezzanine tranche on top of the junior tranche of a 2017 capital relief trade dubbed Mespil Securities (SCI 29 November 2017). The bank issued the note as the one-year grandfathering period for pre-2019 capital relief trades comes to an end in December (SCI 20 September).
The US$68.4m CLN is due .......
News 8 November 2019
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Risk transfer round-up - 8 November
CRT sector developments and deal news
BMO will call a capital relief trade dubbed Muskoka Series 2017-1 in December. The senior secured and senior unsecured US and Canadian corporate loan deal is due in 2022. The lender’s last capital relief trade was completed in July and was called Manitoulin USD Algonquin 2019-1 (SCI’s capital relief trades database).
...... News 8 November 2019Premium Content
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Rollover prepped
NPL CRT to be refinanced
Hoist Finance is readying a rated securitisation backed by Italian unsecured non-performing loans with a gross book value of €5bn, as of end-September. The capital relief trade is the firm’s first public securitisation of NPLs consisting solely of unsecured consumer and SME loans and follows an unrated NPL securitisation that was completed in August (SCI 1 August).
The .......
News Analysis 7 November 2019
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SCI Capital Relief Trades Awards 2019
Personal Contribution to the Industry: Mascha Canio, Head of...
Heading up a team responsible for one of the largest investment portfolios in the sector that has driven market growth while setting a benchmark that others follow would perhaps be enough. But Mascha Canio’s personal contribution extends further as one of the most long-standing and visible investors and an advocate for a focus on risk-sharing and transparency to ensure the .......
News 6 November 2019
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SCI Capital Relief Trades Awards 2019
Advisor/Service Provider of the Year: Scope Ratings
Scope Ratings has been selected as SCI’s Advisor/Service Provider of the Year, thanks to its involvement in innovative risk transfer transactions in unusual asset classes, such as project finance, and standardised bank deals. The rating agency’s work has been aided by a multidisciplinary approach to ratings.
According to Guillaume Jolivet, head of Scope Ratings: “The rating of these .......
News 5 November 2019
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SCI Capital Relief Trades Awards 2019
Credit Insurer of the Year: Arch Capital Group
Arch Capital Group Ltd (ACGL) is SCI’s Credit Insurer of the Year in recognition of its position as global leader in mortgage credit risk transfer and the completion of a first-of-its-kind transaction with ING. With US$300bn of assets under cover already, the firm has significant capacity in place to grow its presence further.
Based in Bermuda, ACGL had .......
News 4 November 2019
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Tactical opportunity?
Downturn could spur CRT secondary activity
Capital relief trade secondary market activity remains minimal. However, a credit downturn could spur trading opportunities if some investors are forced to sell bonds or choose to reallocate to other sectors.
“While some investors see relative value between exposures and have different views on the market, what really seems to be driving secondary CRT activity at the moment .......
News Analysis 4 November 2019
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Tough approach continues
RTS leaves disclosure challenges unresolved
The European Commission’s long-awaited regulatory technical standards on securitisation disclosures (SCI 18 October) fail to address challenges around confidentiality. Further, the ‘no data’ options that were initially posed by ESMA’s RTS on securitisation disclosures (SCI 22 February) have not been clarified.
According to David Saunders, structurer at Santander: “[The Commission’s RTS is] essentially identical to the .......
News Analysis 1 November 2019
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SRT report pending
EBA to propose harmonised excess spread treatment
The EBA is set to propose a harmonised regulatory treatment for excess spread in significant risk transfer transactions in its final SRT report next year. Since the publication of the EBA’s discussion paper on SRT two years ago, different supervisors have tackled the issue in various ways, partly due to gaps in the securitisation framework.
The EBA’s final .......
News Analysis 1 November 2019
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SCI Capital Relief Trades Awards 2019
Law Firm of the Year: Clifford Chance
Clifford Chance has been involved in the capital relief trades market from the beginning and the past year has underscored the firm’s dominance and influence across all sectors of the CRT business.
Explaining the firm's dominance in this sector, partner Jessica Littlewood says: "We have always been very active in this market, even before the financial crisis. In the aftermath .......
News 1 November 2019
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GARC deal expected
Sector developments and company hires
EMEA
Florent Trouiller has joined Norton Rose Fulbright as a partner in its Luxembourg office. Trouiller practises tax law, with a particular focus on cross-border private equity and real estate investments and securitisation transactions. He was previously a partner at Dechert and before that spent 10 years at Allen & Overy in Luxembourg.GARC deal expected
Market Moves 31 October 2019
Intesa Sanpaolo has acquired .......
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Risk transfer round-up - 31 October
CRT sector developments and deal news
Santander is rumoured to be readying two synthetic securitisations of consumer loans. The issuer has been active in the asset class this year, having closed thus far one synthetic US auto loan ABS in June and two true sale auto SRTs in October (see SCI’s capital relief trades database).
...... News 31 October 2019Premium Content
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SCI Capital Relief Trades Awards 2019
Investor of the Year: European Investment Fund
The European Investment Fund (EIF) provides an unparalleled level of support to the capital relief trades market in Europe, bringing numerous synthetic securitisations across the line. The EIF is not only a key driver of innovation, participating in numerous benchmark transactions across jurisdiction and asset class, but it has also helped open up the risk transfer market to a broader .......
News 31 October 2019