Capital Relief Trades

  • Leverage ratio driving off-balance sheet trend

    A number of European banks - including Rabobank and Credit Foncier - are becoming more active in the true sale securitisation format for risk transfer transactions. The move is being driven by the focus on balance sheet reduction, following the introduction of leverage ratio requirements under Basel 3.

    Rabobank's foray into the true sale format follows its debut off-balance sheet .......

    News Analysis 4 April 2017

  • Risk transfer round-up - 24 March

    Deutsche Bank is believed to have priced its CRAFT CLO 2017-1 capital relief trade this week (SCI 17 March), with market sources suggesting that the deal met with "good appetite from investors". The US$357m transaction printed at Libor plus 10.75%, having been upsized from US$200m on strong demand.

    .......

    News 24 March 2017

  • Risk transfer round-up - 17 March

    Activity continued this week in the capital relief trade space, with Deutsche Bank's CRAFT CLO entering the bidding process on Wednesday. The underlying reference portfolio is expected to be comprised of SME loans.

    Indeed, Deutsche Bank has issued a number of synthetic SME transactions through its CRAFT programme in the past. "Such loans tend to be less granular and less .......

    News 17 March 2017

  • Innovative GARC transaction prints

    Intesa Sanpaolo has printed an innovative risk transfer transaction - and the largest to date - from its GARC programme, with Banca IMI acting as arranger. The €2.5bn GARC SME-5 synthetic securitisation references a granular portfolio of Italian SME loans.

    According to Elisabetta Bernardini, head of credit portfolio management at Intesa Sanpaolo: "This was an innovative structure, since it was completed .......

    News 14 March 2017

  • Landmark green SRT introduced

    Mariner Investment Group and Crédit Agricole have collaborated to create the first green capital relief trade, the French lender's largest synthetic issuance to date. Dubbed Premium Green 2017-2, the innovative US$3bn risk transfer transaction combines capital management best practices with the objectives of socially responsible investing.

    According to Pascale Olivie, head of structuring, research and asset allocation in Crédit Agricole's .......

    News Analysis 13 March 2017

  • Risk transfer round-up - 10 March

    Amid the talk circulating the capital relief trade market this week is a rumour that StormHarbour is seeking to place the thin first-loss piece of a deal from Nord LB. One source also suggests that Mizuho is working on a transaction that references large corporate loans.

    At the same time, Rabobank is said to be becoming more active in the .......

    News 10 March 2017

  • Securitisation revival required

    The European securitisation market needs to be revitalised imminently to drive the continued recovery and future growth of the region, according to Validis Dombrovskis, vp of the European Commission. While Basel 4 could help, several barriers remain in place that limit European issuance of - and investment in - securitised products.

    During a recent speech to the European Parliament's Committee .......

    News 7 March 2017

  • Risk transfer round-up - 3 March

    Intesa Sanpaolo Group has completed a €2.5bn synthetic SME securitisation through its GARC SPV, marking the programme's fifth issuance. The transaction was arranged by Banca IMI.

    Sources expect more Italian issuers to tap the risk transfer market over the next nine months. They indicate that the market is likely to be dominated by "the usual suspects", including Intesa Sanpaolo and .......

    News 3 March 2017

  • Leverage signals maturing CRT market

    The increasing availability of leverage suggests that the risk transfer market is maturing. However, while financing can be applied in a number of ways, the extensive due diligence required means that participation in capital relief trades remains limited to sophisticated investors.

    The availability of financing is a "sign that capital relief trades are developing into a more mature asset class," .......

    News Analysis 27 February 2017

  • Risk transfer round-up - 24 February

    Several risk transfer securitisations are understood to have entered the pipeline this past week.

    According to sources, Lloyds is working on a capital relief trade referencing commercial real estate assets, which is said to be "similar" to Barclays' Griffon deal from last year. Meanwhile, Barclays is rumoured to be prepping a transaction referencing corporate loans that will reportedly be priced .......

    News 24 February 2017

  • Slow start to year 'not concerning' for Euro ABS

    The European securitisation market started the year with its traditional quiet January, but issuance has picked up through February and there are large, innovative deals on the horizon. However, the future of the ECB's ABSPP already appears to be weighing on the market.

    "January issuance was about €3bn this year. It was €6bn in 2016, but only €3.2bn the year .......

    News Analysis 23 February 2017

  • Risk transfer benchmark introduced

    PCS has launched the first risk transfer quality label for synthetic risk transfer deals. One of the aims of the label is to help incorporate synthetic securitisations into a future STS regulatory framework through criteria that identify key elements of a simple, transparent and standardised instrument.

    The PCS Risk Transfer Label is the product of a cross-industry and pan-European working .......

    News 23 February 2017

  • Deploying capital

    Chris Redmond, global head of credit at Willis Towers Watson, answers SCI's questions

    Q: How and when did Willis Towers Watson become involved in the securitisation market?
    A:     Willis Towers Watson has an international team conducting research of all credit managers and products, including securitised credit. While we had exposure to securitised credit via broad, generalist mandates beforehand, it was in the aftermath of the financial crisis when we started making dedicated, specialist allocations .......

    The Structured Credit Interview 20 February 2017

  • Cautious optimism

    Secondary CRT market gaining momentum

    The secondary market for capital relief trades has been growing alongside issuance of syndicated deals, which account for approximately 50% of CRT volume. In spite of a number of hurdles, market participants remain positive about the future of secondary trading in the sector.

    Juan Grana, md of the structured solutions group at Nomura, notes that secondary capital relief trades tend .......

    News Analysis 20 January 2017

  • Bilateral CLN closed

    Further details have emerged of Deutsche Bank's recent capital relief trade, Gate 2016-1 (SCI 3 January). The €95m six-year bilateral CLN pays three-month Euribor plus 12.75% and references a €1bn portfolio of German SMEs.

    The investor is believed to be a buy-and-hold investor that is experienced in the German SME CRT market and was attracted by the opportunity to gain .......

    News 16 January 2017

  • Record SRT deal launched

    Further details have emerged about Grafton CLO 2016-1, Santander's largest post-crisis corporate loan significant risk transfer deal and its second largest synthetic securitisation (SCI 3 January). The £1.25bn six-year CLN has a three-year replenishment period and provides protection for the first 8% of losses in the underlying portfolio.

    The deal is cash-collateralised. Steve Gandy, md at Santander Global Corporate Banking, .......

    News 12 January 2017

  • Green SRT emerging

    The final panel at SCI's recent Capital Relief Trades Seminar struck an optimistic note regarding developments in new jurisdictions and asset classes. Indeed, 'green' lending is emerging as a consideration for some investors in the sector.

    The European landscape as a whole has witnessed a boost in capital relief trade activity. According to Molly Whitehouse, vp at Mariner Investment Group, .......

    News 11 January 2017

  • A nebulous concept

    Challenges in defining the cost of capital highlighted

    The challenges in defining the cost of capital were discussed extensively at SCI's recent Capital Relief Trades Seminar. Panellists agreed that it is a nebulous concept.

    "The most naïve view one usually starts with is that the cost of capital is effectively the coupon of the first year divided by the capital relief," said Jeremy Bradley, director at Lloyds. "Yet .......

    Talking Point 11 January 2017

  • Cash versus synthetic weighed

    Balance sheet securitisations - whereby balance sheet relief is achieved via true sale - are gaining traction in Europe (SCI 25 August 2016). The different motivations for executing a cash versus a synthetic capital relief trade were discussed recently at SCI's Capital Relief Trades Seminar.

    "Generally, we've come to see balance sheet securitisations get far more relevant and important recently," .......

    News 4 January 2017

  • Slew of risk transfer trades close

    A handful of capital relief trades closed in late December, including an unusual deal referencing a portfolio of auto loans. While this transaction was unfunded, the other deals involved the issuance of credit-linked notes.

    The auto transaction, known as Project Phaeton, references a £571m five-year replenishing portfolio of loans to private retail and commercial customers for the finance and lease .......

    News 3 January 2017

  • Spanish SRT deal completed

    Banco Santander has closed its first Spanish unsecured consumer loan significant risk transfer securitisation of 2016. The €1bn 15-year revolving FT Santander Consumo 2 deal comprises six classes of notes.

    According to Steve Gandy, md at Santander Global Corporate Banking, the structure is a cash securitisation that "allowed us to reduce RWAs assigned to the loans by selling the bottom .......

    News 23 December 2016
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