Capital Relief Trades
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Bridging the gap
Syndicated solution launches for portfolio insurance
As appetite for structured credit solutions continues to grow, insurance balance sheets seem increasingly well suited to meet this demand. However, this brings new challenges for investors, (re)insurers and issuers alike.
One such challenge is the need for banks to spread (re)insurer counterparty risk across several counterparties. The number of insurers needed in placing a transaction can be .......
News 22 April 2024
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Barrier to entry?
SRT allocation under scrutiny
The raft of funded and unfunded buyers seeking to enter the SRT market is driving intense bidding for allocations on deals. Indeed, demand is reportedly rising even for first loss tranches, in an attempt to secure paper.
“Banks will go out to a bunch of investors with a prospective SRT trade and have them do a lot of due .......
News Analysis 19 April 2024
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Moroccan debut
SOFAC launches first synthetic securitisation
Back in December 2023, SOFAC Structured Finance – a subsidiary of Moroccan consumer credit company SOFAC – and CIH Bank launched Morocco’s first synthetic Eurobond fund, following the approval of the local regulator (Autorité Marocaine du Marché des Capitaux (AMMC)). The ensuing transaction, FT SYNTHESIUM, references a portfolio of Eurobonds originated by CIH Bank and issued by the Kingdom .......
News 17 April 2024
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Mr Powell and the banks
B3E looks set to change, but how will it affect US SRT?
Few pronouncements by Federal Reserve chairmen have been as eagerly embraced by the financial community as those made by Jerome Powell in early March about prospects for the Basel 3 Endgame (B3E). No one was paying closer attention than banks that exploit, or want to exploit, the SRT market.
Hitherto, Powell has not emulated the gnomic bearing of .......
News Analysis 12 April 2024
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Balancing act
SRT Market Update
The first quarter was notable for a number of SRT trades referencing investment grade portfolios being executed at very attractive levels (SCI 5 April). While demand arguably exceeded supply, this trend is broadly expected to even itself out during the remainder of the year.
“Supply is not generally very strong during the first quarter. In fact, it's .......
SRT Market Update 12 April 2024
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Latest SRTx fixings released
Tightening in the spread and volatility indexes reflect gene...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Similarly to last month (SCI 6 March), there has been some further incremental tightening in the SRTx Spread Indexes. However and unlike last month’s survey responses, volatility indexes have improved.
SRTx Spread Indexes have moderately tightened in the large corporate category (-3.5% in .......
News 10 April 2024
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Skills gap?
Lack of specialist SRT talent on the market
The SRT sector is in a period of flux, with many new issuers and new investors entering the market (SCI 28 March). Although supply and demand dynamics are expected to find equilibrium in time, for the moment, there appears to be a skills gap among some players on the buy-side.
One long-standing SRT investor points out that the .......
News Analysis 10 April 2024
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SRT Monthly - March 2024
First significant wave of transactions of the year
Issuance overview
SRT Market Update 5 April 2024
During March, the SRT market experienced its first significant wave of transactions of the year (see SCI’s Capital Relief Trades Database). The sector saw longstanding programmes issue - such as CRAFT (Deutsche Bank) and Chakra (Standard Chartered) - as well as seasoned issuers, including Santander (with the Ducati trade) and BNP Paribas, come to the fore .......
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EARN unveils 'strategic transformation'
Market updates and sector developments
The board of trustees of Ellington Residential Mortgage REIT (EARN) has unanimously approved a strategic transformation of its investment strategy to focus on corporate CLOs. The company intends to build upon its current US$44m CLO portfolio, with an emphasis on secondary CLO mezzanine debt and equity tranches.
In connection with its strategic transformation, EARN has decided to revoke .......
Market Moves 2 April 2024
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On the up
Nordic reticence towards SRT "less pressing"
The Nordic and Baltic countries are expected to experience a “not-insignificant” increase in SRT issuance in 2024, with their somewhat self-imposed supervisory reticence towards the instrument taking a back seat amid other market drivers. Indeed, the implied supervisory concerns across the region appear less pressing now, given greater regulatory transparency around synthetic securitisation and the designation of SRTs as .......
News Analysis 28 March 2024
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Hot, hot, hot!
Four takeaways from IMN's SRT Symposium
SCI attended IMN’s SRT Symposium at Clifford Chance last week. Based on our takeaways from the conference, here are the four things every SRT enthusiast needs to know:
- Investor interest
“SRT is seriously hot!” Kaikobad Kakalia, cio of Chorus Capital Management and a speaker on the first panel of the day, told audience members. “Taylor Swift was .......
Talking Point 28 March 2024
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NCSLT found to be 'covered persons'
Market updates and sector developments
In a case involving the CFPB and the National Collegiate Master Student Loan Trust (NCSLT), the Third Circuit has found that statutory trusts used to handle securitisations are considered ‘covered persons’ for purposes of the Consumer Financial Protection Act (CFPA) and thus are subject to CFPB jurisdiction. According to a recent Cadwalader memo, this effectively means that the trusts would .......
Market Moves 22 March 2024
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Regional clamour
Fed approves Truist, Huntington in the market as regionals seek SRT balm
News 22 March 2024