Capital Relief Trades

  • 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

  • EIF in UK CRT first

    The EIF has signed a securitisation guarantee deal with RBS, providing capital relief on a £432m portfolio of UK SME and mid-cap loans in the healthcare sector. It is the EIF's ninth capital relief trade since 2015 but its first in the UK.

    EIF's guarantee allows RBS to release capital on a portfolio of over 1,900 loans. The freed-up capital .......

    News Round-up 22 December 2016

  • Proving compliance

    Demonstrating significant risk transfer discussed

    How to demonstrate significant risk transfer (SRT) was a hot topic at SCI's Capital Relief Trades Seminar last month. Panellists discussed the importance of having robust governance and risk management processes in place, as well as what to avoid when preparing to execute a capital relief transaction.

    Articles 243 and 244 - which correspond to traditional (cash) and synthetic securitisations .......

    Talking Point 19 December 2016

  • Learning by doing

    Issuers weigh capital relief opportunities and challenges

    Capital relief trades, also called risk sharing trades, can provide issuing banks with several advantages. However, the transactions are not always well understood by the wider market and even those banks that are involved are learning lessons with each passing deal.

    Nordea Bank dipped its toe into the capital relief trade space earlier this year, making a splash with its .......

    News Analysis 16 December 2016

  • Second Salisbury prices wider

    Lloyds has closed a capital relief trade referencing a £2.1bn granular portfolio of UK SME loans. The 10-year Salisbury II Securities 2016 deal pays Libor plus 12%, above the plus 10.25% print of the lender's previous Salisbury Securities 2015 transaction.

    The £789.4m 2015 deal was also a granular synthetic SME securitisation. The 2016 deal, however, is more diversified, with 40% .......

    News 14 December 2016

  • EMEA SME ABS trends to continue

    EMEA SME ABS market activity and deal characteristics will be driven by a broad array of originators' objectives, says Moody's. The trend for disintermediation will lead to more marketplace lending and SME CLO transactions, with the rating agency expecting performance to remain stable across all major markets.

    Originators have multiple objectives, such as tapping either the public market or targeting .......

    News Round-up 30 November 2016

  • CRR boost?

    The European Commission's CRR 2 reforms, which it unveiled last week, include proposals that appear to increase the attractiveness of securitisation in connection with the leverage ratio and net stable funding ratio (NSFR). The package embeds three main Basel 3 elements into EU law: the fundamental review of the trading book (FRTB), the leverage ratio and the NSFR.

    IFRS accounting .......

    News 29 November 2016

  • Innovative Griffon deal welcomed

    Griffon Funding - which Barclays closed in September - has been hailed as an innovative model for banks seeking to reduce their regulatory capital requirements. The £2.43bn privately-placed true sale balance sheet CMBS is backed by 57 loans secured by 1,516 properties and over 12,000 lease contracts.

    Carlos Terré, deputy head of structured finance at Scope and lead analyst, states .......

    News 28 November 2016

  • CRT line-up finalised

    Panellists are being finalised for SCI's latest Capital Relief Trades Seminar, which is being held on 22 November in London. The event will be hosted by Reed Smith at its offices at 20 Primrose Street, EC2A 2RS.

    As securitisation shifts from being used as a funding tool to a balance sheet and credit risk management tool, balance sheet relief trades .......

    News Round-up 17 November 2016

  • Converging approach?

    Current status of capital relief trades discussed

    Representatives from Chorus Capital, Citi and Clifford Chance recently discussed the current status of capital relief trades during a live webinar hosted by SCI (view the webinar here). This Q&A article highlights the main talking points from the session, including the impact of regulatory changes, the emergence of new assets and jurisdictions, and investor requirements. For a broader .......

    Talking Point 2 November 2016

  • Implicit support guidelines published

    The EBA has published guidelines on implicit support for securitisation transactions that aim to clarify what constitutes 'arm's length conditions' and when a transaction is not structured to provide support for securitisations. It builds on the European Commission's securitisation package under the CMU reform and aims to provide clarity on the matter for credit institutions.

    The new guidelines propose an .......

    News Round-up 4 October 2016

  • CRT conference line-up confirmed

    Panellists have been confirmed for SCI's Capital Relief Trades Seminar, which is being held tomorrow (15 September) in New York. The event is being hosted by Clifford Chance at its offices at 31 West 52nd Street.

    The conference programme consists of a series of panel debates focusing on issues affecting capital relief trades. The sessions comprise the regulatory backdrop, originators .......

    News Round-up 14 September 2016

  • Capital relief trades webinar due

    SCI is hosting a complimentary webinar on the current status of capital relief trades. The event is being held at 3pm UK time today (6 September), but will also be available to download from the SCI website afterwards.

    Increased pressure on bank capital requirements in the aftermath of the financial crisis has led to a rise in banks seeking to .......

    News Round-up 6 September 2016

  • Nordea completes synthetic deal

    Nordea Bank has sold a synthetic securitisation referencing €8.4bn in SME and corporate loans. Investors have taken notes linked to the junior credit risk of the portfolio.

    The synthetic structure means no assets will be derecognised from Nordea's balance sheet and Nordea will continue to service the loans. The risk-sharing structure does mean that the bank's CET1 ratio is enhanced, .......

    News 25 August 2016

  • Singular circumstances

    Regulatory changes fuelling rise of 'special situations'

    European banks are fundamentally changing the way they structure and sell securitisations. A rise in bilateral trades and capital relief trades - which, along with increasing non-core asset disposals, is leading some to apply the special situations moniker to the sector - is largely being driven by regulatory changes.

    One of the main trends in European ABS over the last .......

    News Analysis 25 August 2016

  • NPL renaissance

    €9bn Italian ABS provides fresh impetus

    Banca Monte dei Paschi di Siena (MPS) announced last week that it plans to offload its entire portfolio of sofferenze (bad debt) loans into a securitisation vehicle. The move is a significant landmark in the recovery of the Italian non-performing loan ABS market, which the national government has worked hard to revive.

    Banca d'Italia figures put total Italian NPL volume .......

    News Analysis 5 August 2016

  • False alarm?

    Basel CRT warning played down

    The Basel Committee caused somewhat of a stir earlier this month when it warned banks against increasing their use of capital relief trades (CRTs). However, portfolio risk-sharing transactions are not expected to be affected.

    The Committee's statement specifically warned that CRTs would receive "careful supervisory scrutiny" going forward (SCI 3 June). It also indicated that its response was due in .......

    News Analysis 27 June 2016

  • Anchor investment proposed

    The IFC has disclosed that it is considering becoming an anchor investor in United Asia Loan Funding, the Asia-Pacific CLO co-managed by UOB Asset Management and SC Lowy Asset Management (SCI 2 March). The transaction will securitise primarily Asian emerging market loans that were originated by both global and regional banks.

    United Asia Loan Funding is expected to be sized .......

    News Round-up 23 June 2016

  • Capital-arbitrage warning issued

    The Basel Committee has warned banks against conducting capital relief trades. The regulator says such transactions will draw "careful supervisory scrutiny".

    The Basel Committee notes that members have received many requests to review or approve transactions that seek to alter the form or substance of items subject to regulatory adjustments outlined in Basel 3. These include proposals for structured transactions .......

    News Round-up 3 June 2016

  • Spanish synthetics on the cards

    Moody's suggests that synthetic securitisations could become more popular for Spanish banks looking to bolster their capital buffers. With regulatory pressure building on lenders, many may see synthetics as a complement to tapping the equity market or retaining earnings.

    "Northern European players have dominated Europe's synthetic market so far, with the most recent deals originated by banks in the UK, Germany and .......

    News Round-up 6 May 2016

  • Hedging operation

    Debut oprisk ILS prepped

    Credit Suisse is prepping a unique Sfr700m ILS deal. Referred to as OperationalRe, it will utilise catastrophe bond and ILS technology to hedge a portion of the bank's operational risk and is believed to be the first transaction of its kind.

    Although Credit Suisse is reportedly seeking to close the deal by the end of the month, a number of .......

    News Analysis 12 April 2016
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