Capital Relief Trades
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Actuarial approach
Alphidem co-founder Ken Sutter outlines how the quantitative...
In light of the current regulatory and interest rate environment, it could be assumed that capital relief trades enjoy great popularity, even outside of the dedicated investor community. However, despite growth and positive market trends, the asset class still leads a niche existence and sticks to its esoteric label. This is even more astonishing considering that many alternative credit managers .......
Talking Point 25 May 2021
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Strategic credit commitment inked
Sector developments and company hires
Strategic credit commitment inked
Market Moves 20 May 2021
The Investment Management Corporation of Ontario (IMCO) has closed a US$500m commitment with a new strategic partner, Ares Management Corporation. IMCO has allocated US$400m of the commitment to a fund of one structure and US$100m to Ares Pathfinder Fund, a flagship global alternative credit fund. Pathfinder pursues a differentiated strategy of providing tailored financial solutions for .......
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Lone Star rising
A soup to nuts profile of TCBI's inaugural CRT
It took Texas Capital Bank nine months to finalise its landmark capital relief trade, becoming the first US regional bank to tap the risk transfer market (SCI passim). This CRT Premium Content article tracks the deal’s progress from inception to launch.
When Texas Capital Bank began to contemplate issuing a capital relief trade in late spring of ......
News Analysis 13 May 2021Premium Content
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Risk transfer round-up - 11 May
CRT sector developments and deal news
Bank of Montreal has called Muskoka Series 2020-1. The US$132m financial guarantee was executed in April 2020, becoming the first post-Covid capital relief trade (SCI 15 May 2020). The lender exercised another call option on 9 February for Muskoka Series 2017-2 (SCI 9 February).
....... News 11 May 2021
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Tight pricing
Standard Chartered prints CRT
Standard Chartered has finalised a US$180m CLN that references a US$2bn portfolio of around 130 US and European corporate exposures. Dubbed Chakra Five, the capital relief trade is the most tightly priced Chakra deal to date.
The trade printed in the high single-digits and features tranches that amortise sequentially over a an approximately three-year weighted average life and .......
News 5 May 2021
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APAC ESG expansion eyed
Sector developments and company hires
APAC ESG expansion eyed
Market Moves 27 April 2021
Moody’s is set to expand its Singapore office with the aim of spearheading ESG, climate and sustainable finance efforts in the Asia Pacific region, as well as fostering the ESG ecosystem in Singapore. Included in the firm’s plans are several initiatives, such as the establishment of an ESG Centre of Excellence for investor outreach, engagement and .......
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Risk transfer round-up - 27 April
CRT sector developments and deal news
Credit Suisse has redeemed and delisted two Magnolia Finance Five transactions. Magnolia Finance Five Series 2017-1 is a US$400m CLN that matures in 2024. The other transaction, dubbed Magnolia Finance Five series 2017-2, is a US$75m CLN that matures in 2025.
....... News 27 April 2021
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Downgrades for 'lower quality' mall CMBS
Sector developments and company hires
Downgrades for ‘lower quality’ mall CMBS
Market Moves 26 April 2021
Moody's has downgraded 119 principal and interest, 26 interest-only and 11 exchangeable classes from 36 US CMBS and placed eleven P&I, one exchangeable and three IO classes under review for possible downgrade from a further two CMBS. The rating actions affect approximately US$6.2bn of securities and were prompted primarily by increased loss expectations and .......
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Texas template
TCB CRT establishes blueprint for US banks, say SCI speakers
The recent $275m 3-year CLN capital relief trade from Texas Capital Bank (TCB) has established a precedent that all US banks in the US should be scrutinizing, agreed panellists involved in the roundtable discussion of the deal at SCI’s fifth annual risk transfer and synthetics seminar.
The seminar was held April 21-22, and the speakers at the .......
News 23 April 2021
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Uncertainty highlighted
UK banks unclear on project finance slotting
The application of the slotting approach to synthetic securitisations referencing project finance assets remains unclear. The other option for UK banks is ratings, but that approach is accompanied by its own challenges.
According to Steve Gandy, head of private debt mobilisation, notes and structuring at Santander Corporate and Investment Banking: ‘’The PRA has stated publicly that it .......
News Analysis 23 April 2021
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Third 2021 STACR prints
With Fannie Mae still on the sidelines, Freddie corners CRT space
Freddie Mac yesterday (April 19) printed its third STACR deal of the year, designated STACR 2021-DNA3, via joint book-runners Nomura and Barclays.
The $910m trade consisted of four tranches. The $211m M-1 tranche, rated BBB+/A- by KBRA and S&P, was priced to yield SOFR plus 75bp, has a 2% credit enhancement (CE) and a 1.72 year weighted average life (WAL).
The $317m M-2 .......
News 20 April 2021
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RWA boost
ECB reveals TRIM findings
The ECB has published the findings from its targeted review of internal models (TRIM). The exercise has resulted in a 12% RWA boost and confirmed the continued use of internal models, but for a certain number of models, restrictions or modifications in their use was considered appropriate to cover the underlying risk.
The TRIM exercise aims to reduce .......
News Analysis 20 April 2021
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Federal preemption challenges continue
Sector developments and company hires
Federal preemption challenges continue
Market Moves 15 April 2021
Two US courts have heard actions that are of significance to marketplace lenders and their funding sources so far this month, Chapman and Cutler reports. In Maryland, a state regulatory action purporting to require licensing of a sponsor bank and its fintech service providers has been removed to federal court. Conversely, a California federal court has dismissed .......
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Trailing Texas
Banks with large warehouse loan books set to follow TCBI
Regional banks with large warehouse mortgage lending books will be soon following the lead of TCBI in the CRT market, suggest analysts that follow the sector closely.
In particular, First Horizon, headquartered in Memphis, Tennessee, Flagstar Bank, based in Michigan, Texas-based Independent Bank Corporation and Veritex Community Bank, headquartered in Dallas, Texas, have been singled out as especially likely suspects.
“I bet we .......
News 14 April 2021
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Green auto feasibility assessments underway
Sector developments and company hires
Green auto feasibility assessments underway
Market Moves 13 April 2021
CO2 emissions data reporting by auto loan lenders is likely to be crucial to classifying auto loan securitisations as ‘sustainable’ or ‘green’, in order to tap demand from ESG-oriented investors, Fitch says. However, the rating agency notes that discussions with lenders imply that creating the basis for detailed CO2 emissions reporting is challenging, as the .......
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