Capital Relief Trades
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Risk-sharing boost
Cajamar SRT sets tone for standardised banks
BCC Grupo Cajamar has completed a €972.1m Spanish true sale significant risk transfer transaction with the EIF, ICO and hedge fund investors. Dubbed IM BCC Capital 1, the transaction is the first cash SRT issued by a standardised bank and the first risk-sharing transaction by a standardised bank that involves both the EIF and private investors, paving the way .......
News Analysis 9 January 2019
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Landmark consumer SRT launched
Santander completes synthetic auto loan ABS
Santander has launched an unusual synthetic securitisation of auto loans, dubbed Santander Consumer Spain Synthetic Auto 2018-1. The transaction comprises a €60.6m twelve-year CLN that references a €1.01bn portfolio of Spanish auto loans paying Euribor plus 8.90%.
Synthetic securitisations of granular, consumer portfolios are uncommon, as the structures are typically used for concentrated, non-granular portfolios. This is due to ease of .......
News Analysis 2 January 2019
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Synthetic slew
CRT issuances hit before year-end
A slew of synthetic securitisations have hit the market before year-end. The risk transfer issuances include a trio of EIF financial guarantees, one of which is supported by blockchain technology, and a pair of Colonnade deals.
The blockchain transaction – which marks the first time a corporate loan securitisation has been executed via distributed ledger technology in the .......
News 21 December 2018
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Consumer SRT completed
Santander opts for true sale format
Santander last month priced Kimi 7, a €665.3m true sale significant risk transfer transaction that securitises a portfolio of Finnish auto loans. The deal was executed for both capital relief and liquidity purposes, with the bank selling both the mezzanine and senior tranches.
Compared to previous Kimi deals, mezzanine investors don’t benefit from any excess spread. According to .......
News Analysis 19 December 2018
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Programmatic issuance
UBI Banca completes second CRT
UBI Banca has completed its second-ever capital relief trade, paving the way for more programmatic issuance in the future. Dubbed UBI RegCap2, the €100m financial guarantee references a €2.2bn portfolio of secured and unsecured Italian SME and corporate loans.
According to Simone Tufo, head of capital strategy at UBI Banca: “We intend to proceed with more programmatic issuance, .......
News 19 December 2018
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Wetherby 2 completed
SONIA-linked synthetic securitisation debuts
Lloyds has completed a £142.5m 7.25-year financial guarantee referencing a £1.5bn UK commercial real estate portfolio. Dubbed Wetherby 2 Securities 2018, the transaction is the first synthetic securitisation to reference the new SONIA interest rate benchmark and the third structured as a dual tranche trade (SCI 26 January).
The £82.5m first loss tranche (0%-5.5%) pays SONIA plus ......
News 17 December 2018Premium Content
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TRAFIN relaunched
Deutsche Bank replaces trade finance CRT
Deutsche Bank has refinanced its TRAFIN 2015-1 deal with the issuance of a new trade finance capital relief trade dubbed TRAFIN 2018-1. The US$216.125m five-year CLN references a US$3.5bn trade finance portfolio.
Deutsche Bank called and replaced the 2015 transaction last month with a new deal in order to lock in a better coupon. “High demand for trade finance CRTs .......
News Analysis 5 December 2018
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Colonnade issuance continues
Barclays completes corporate capital relief trade
Barclays has completed Colonnade Global 2018-2, a US$110m financial guarantee that references a US$1.33bn portfolio of mostly US corporate loans (see SCI's capital relief trades database). The transaction is typical of Colonnade Global risk transfer deals in the sense that the credit protection covers both principal and accrued interest.
Rated by DBRS, the transaction consists of US$1.1bn triple-A rated .......
News 5 December 2018
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Tighter pricing
Latest Elvetia trade completed
Credit Suisse has completed a Swiss corporate and SME significant risk transfer trade from its Elvetia programme, dubbed Elvetia Finance Series 2018-6. The trade printed at tighter levels compared to previous Elvetia corporate and SME deals, due to wide syndication. The transaction was completed under the new securitisation framework, which stipulates thicker tranches and was also a driver of the ......
News 30 November 2018Premium Content
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Tough approach
PRA guidance puts UK CRT issuers at a disadvantage
The UK PRA’s latest significant risk transfer guidance is putting UK capital relief trade issuers at a disadvantage compared to their European peers, mainly due to the regulation’s provisions on excess spread and the capital treatment of standardised portfolio transactions. The regulation is broadly in line with a consultation from May that sparked a market backlash (SCI .......
News Analysis 30 November 2018
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Basel 4 impact will 'vary massively'
Regulatory changes represent 'complete overhaul'
Regulatory changes coming into effect next year will have a major impact on the way European banks calculate risk weighted assets (RWAs), resulting in a greater incentive for some banks to utilise risk transfer mechanisms. However, it is expected that a nuanced picture will emerge, with regulatory changes impacting banks’ RWA calculations differently depending on a range of factors, such .......
News Analysis 29 November 2018
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Risk transfer round-up - 23 November
CRT sector developments and deal news
Credit Suisse is believed to be pricing a risk transfer transaction from its Elvetia programme on Monday. The issuer’s last Elvetia transaction was a Sfr300m ticket referencing a Sfr5bn portfolio (see SCI’s capital relief trades database).
Further details have also emerged regarding the pricing of Standard Chartered’s trade finance transaction, Sealane 4 (SCI 14 November). The ......
News 23 November 2018Premium Content
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Risk transfer round-up - 16 November
Capital relief trade sector developments and deal news
Deutsche Bank is rumoured to be executing a bilateral trade finance capital relief trade from its TRAFIN programme this month, as a replacement trade for TRAFIN 2015-1. TRAFIN 2015-1 was due for November 2022 (see SCI’s capital relief trades database), but the German lender has decided to call it and reportedly replace it with a new deal. The ......
News 16 November 2018Premium Content
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Dual speed
Standard Chartered follows with tranche carve-up
Standard Chartered has completed a US$297.5m financial guarantee that references a US$3.5bn trade finance portfolio. Dubbed Sealane 4, the transaction is a replacement trade for Sealane 3 - which matures in December - and is structured as a dual mezzanine tranche to appeal to a broad base of investors and address the EU Securitisation Regulation’s higher capital requirements.
News Analysis 14 November 2018
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Stress test
IFRS 9 impact limited
The EBA’s recent stress tests point to a limited capital impact from the implementation of IFRS 9. The stress test results follow the release of bank quarterly results, which also highlighted a limited impact from the first-time adoption of IFRS 9 (SCI 14 May).
The negative impact of IFRS 9 first implementation on banks’ aggregate CET1 ratio .......
News Analysis 9 November 2018
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Unpredictable factors
Macro and micro challenges highlighted
European market participants are facing three unpredictable factors in 2019, all of which will drive ABS activity and supply in the new year. ECB monetary policy evolution, Brexit execution and securitisation legislation implementation represent challenges from both macro and micro perspectives.
Among these challenges is the Basel 4 output floor. Alexander Batchvarov, md at BofA Merrill Lynch Global .......
News Analysis 9 November 2018
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Leveraged loan CRT prepped
Risk transfer sector developments and deal news
Deutsche Bank is believed to be readying a leveraged loan capital relief trade for 4Q18. According to SCI’s capital relief trades database, this would be the German lender’s first leveraged loan transaction.
Deutsche Bank has been one of the most active issuers this year, having issued a corporate deal and an SME deal from the CRAFT and GATE programme ......
News 9 November 2018Premium Content
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Risk transfer round-up - 2 November
CRT sector developments and deal news
Santander is believed to be readying two consumer capital relief trades and a corporate deal to print this quarter. The Spanish lender has been one of the most active issuers in 4Q18, having issued a commercial real estate deal, a project finance deal and an SME deal (see SCI capital relief trades database).
...... News 2 November 2018Premium Content
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Mixed outlook
Risk transfer diversity set to increase
The outlook for risk transfer issuance volumes is mixed, according to panellists at SCI’s Capital Relief Trades Seminar last week. However, they agreed that the market will continue to increase in diversity, in line with bank origination channels and balance sheet needs.
The traditional Northern European CRT jurisdictions have seen a lot of activity over the last couple .......
Talking Point 26 October 2018
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CLOs in demand
Quarterly SCI data update
Analysis of SCI's databases underlines the significant demand for CLO paper seen in 3Q18, in both primary and secondary markets. Meanwhile, a bias towards Northern European jurisdictions is evident in capital relief trade volumes.
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News Analysis 23 October 2018
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New ground for CRTs
Capital relief trades report now available
CRTs – in which banks transfer credit risk to non-bank investors – have become better established and more widely used. New issuance jurisdictions and greater variety of reference assets, issuers and investors have brought the market into new territory, but the regulatory environment remains challenging and there are concerns that growth could stall.
SCI has published its latest special report .......
News 23 October 2018