Capital Relief Trades
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Spanish private debt fund wins EIF backing
Sector developments and company hires
Spanish private debt fund wins EIF backing
Beka Finance has formed a private debt management unit, dubbed Beka Credit, which it hopes will help consolidate the firm’s growth and leadership position in the alternatives market. The unit is already preparing to launch its first private debt fund, with which it expects to raise around €250m.The Luxembourg-based vehicle will .......
Market Moves 17 December 2021
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Auto CRT priced
Santander engineers US return
Santander has completed its synthetic securitisation that references a US$2.17bn portfolio of US auto loans (SCI 9 December). The transaction is the first post-Covid US synthetic auto ABS issued by a European originator and marks Santander’s return to the US market.
Rated by Fitch, the transaction consists of US$1.656bn unrated class A1 notes, US$10m unrated class A2 .......
News 17 December 2021
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CAS Christmas cracker
Fannie's third CRT since its return makes Q4 top of the pile
Fannie Mae has priced its third and final CAS deal of the year, and as this trade will settle before year-end it makes 4Q 2021 the busiest ever seen in the GSE CRT space, say sources.
The US$909m four-tranche offering, dubbed CAS 2021-R03, references a pool of around 117,000 single family mortgages with an outstanding principal balance of .......
News 16 December 2021
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ESG SRT inked
Standard Chartered completes capital relief trade
Standard Chartered has finalised a US$90m significant risk transfer trade that references a US$1bn portfolio of US and European corporate borrowers. Dubbed Chakra Six, the CLN stands out for its ESG features and was priced in the high single digits, rendering it the most tightly priced SRT so far from the Chakra programme.
The transaction features a sequential amortisation structure .......
News 15 December 2021
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Bank bonanza
Massive potential of US bank CRT market stressed in Miami
If 10% of the $2trn US wholesale commercial loan market were to receive the CRT treatment it would create $25bn of new tranches - only $10bn less than the entire current global CRT market, according to a speaker at the ABS East conference in Miami today.
Moreover, there remains considerable incentive for US banks to take this path: the differential between RWAs .......
News 14 December 2021
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UK review released
HMT 'broadly supportive' of securitisation market
The UK government has published its report on the review of the securitisation regulation (SCI 28 June), which outlines specific areas of the regime that HM Treasury may revisit to ensure it “best delivers” for the UK securitisation market. The report appears to be broadly supportive of the industry - although notably isn’t supportive of extending the public .......
News 14 December 2021
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Game-changing potential
In the second in our series of year-end interviews with inve...
Opportunities for investment in CRT trades from US names will increase significantly in 2022, says Terry Lanson, a portfolio manager at Seer Capital.
“We think we’ll see significant volume out of the US and also out of Europe. The programme is growing in adoption globally. It is receiving significant attention from investors and capital allocators like state pension .......
News Analysis 13 December 2021
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HSBC hits the US trail
HSBC USA markets corporate loan CRT, Santander brings auto loan CLN
HSBC USA is in the CRT market with a new trade backed by large revolving corporate loans originated in North America, say well-placed sources.
The deal, which is expected to close before the end of the year, is self-led.
The reference pool of loans is worth $2.5bn and the new issue size will be $300m, add sources.
Tranche thickness is 0%-12.5% and the trade .......
News 9 December 2021
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SME boost
German STS synthetic printed
Deutsche Bank and the EIB Group have executed a €75m unfunded mezzanine guarantee that references a €1bn German mid-market corporate portfolio. The guarantee will provide capital relief to Deutsche Bank and enable the lender to finance €300m of SME and mid-cap lending. The transaction is expected to support smaller businesses in their recovery from liquidity shortages caused by the .......
News 9 December 2021
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Growth constraints
Disconnect between Euro ABS ambitions and reality?
European securitisation issuance for the first 11 months of the year stood at a decade high of over €112bn, up by more than 65% compared with the same period in 2020, according to S&P figures. However, despite such record growth, a disconnect appears to remain between the industry’s ambitions and what is being seen on the ground - which .......
News Analysis 9 December 2021
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CRT bonanza
Record 2021 origination and Fannie's return to drive banner 2022 for CRT
Next year will see record GSE CRT issuance of around $20bn, around $6bn higher than 2021, predicts Pratik Gupta, head of CLO and RMBS research at Bank of America.
In addition, he predicts a resurgence of interest in CRT issuance from mortgage insurers seeking to lay off risk and suggests that there could be as much as $10bn of supply in this .......
News 8 December 2021
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New STACR, last STACR
Freddie prices 10th and final STACR of the year
Freddie Mac has priced a $963m STACR, making its third CRT transaction of Q4 and final offering of the year.
The trade, designated STACR 2021-HQA4, was underwritten by joint leads Barclays and Bank of America. The co -managers were Amherst Pierpoint, Morgan Stanley, Nomura and StoneX Financial.
It comprises four tranches, an M-1, M-2, B-1 and B-2. The $445m M-1 was priced to .......
News 8 December 2021
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Positive prospects?
CRE tops Stage Two allocations
Commercial real estate loans were allocated the largest share of Stage Two classifications, according to the latest EBA data. This coincides with an overall growth in Stage Two allocations following the coronavirus crisis, as well as a boost in significant risk transfer transactions backed by Stage Two exposures and commercial real estate.
According to the EBA’s latest risk .......
News 8 December 2021
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ESG countdown
ECB climate stress tests pending
The ECB’s pending climate stress tests are expected to offer some answers around the data and modelling challenges pertaining to the analysis of climate risks. Indeed, the stress tests could also prove definitive for ESG significant risk transfer issuance, given the presence of the same data challenges.
The two main challenges pertaining to the analysis of climate risks are data .......
News Analysis 3 December 2021
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SRT chronicle: part three
In the final instalment of a three-part series on bank risk...
We have seen in part one of this series how far the SRT sector has developed in the past 10 years from a niche market with 10-12 transactions issued a year to a much larger and more diversified market. Barring a material downturn in the credit cycle, the SRT market should continue to enjoy strong growth in the next .......
Talking Point 2 December 2021
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RFC issued on ABS tax policies
Sector developments and company hires
RFC issued on ABS tax policies
Market Moves 1 December 2021
HMRC is seeking feedback on two draft statutory instruments: the Taxation of Securitisation Companies (Amendment) Regulations 2022 and the Securitisation Companies and Qualifying Transformer Vehicles (Exemption from Stamp Duties) Regulations 2022. The UK government consulted on making changes to clarify or reform certain aspects of the taxation of securitisation companies and the stamp duty .......