Capital Relief Trades
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First EGF guarantee inked
Sector developments and company hires
First EGF guarantee inked
Market Moves 14 October 2020
The EIB has approved €5.1bn of new financing to support investment by companies most impacted by Covid-19, alongside backing clean energy, water, sustainable transport and urban development. This includes up to €2.66bn of support – comprising €1bn of EIB-linked risk-sharing products and €1.66bn EIF guarantee and equity products - backed by the new European Guarantee Fund, .......
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Risk transfer round-up - 12 October
CRT sector developments and deal news
Barclays is rumoured to be prepping a corporate capital relief trade that is set to close in 4Q20. The lender finalised its last corporate CRT from the Colonnade programme in June (see SCI’s capital relief trades database).
....... News 12 October 2020
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Growth opportunities
Chapter five of SCI's Autumn 2020 CRT Research Report
The fifth and final chapter of SCI’s Autumn 2020 Capital Relief Trades Research Report outlines the need for sensible significant risk transfer rules and the growth opportunities for the synthetic securitisation market once these are achieved. This section of the report consists of interviews with representatives from Integer Advisors, PCS and PGGM.
The future seems bright for synthetic ......
News Analysis 9 October 2020Premium Content
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Finnish lift off
Latest KIMI deal completed
Santander has completed a €650m full-stack significant risk transfer trade backed by Finnish auto loans. Dubbed KIMI 9, the transaction differs from previous post-Covid full-stack SRTs in that the first loss tranche was not preplaced or privately placed before the deal’s announcement.
Santander notes that given the track record of the KIMI programme, the firm was confident that .......
News 8 October 2020
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Transatlantic challenges
Contributed thought leadership by Mayer Brown
Complying with EU and US CRT rules simultaneously
A number of law firms have developed excellent synthetic securitisation practices in Europe, but few firms are at the forefront of developing synthetic securitisation in the US, and even fewer have a practice which can navigate EU and US synthetic securitisation rules at the same time. Mayer Brown stands out as the .......
Talking Point 8 October 2020
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Stepping up
Chapter four of SCI's Autumn 2020 CRT Research Report
The fourth chapter of SCI’s Autumn 2020 Capital Relief Trades Research Report highlights the role of the EIF in supporting European SMEs via synthetic securitisation and guarantees. This section of the report covers the EIF’s Covid-19 support measures, as well as its efforts to promote new lending and catalyse private capital across the European SME sector. For further information ......
News Analysis 8 October 2020Premium Content
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Absolute attraction
Absolute 2021-1 shows growth of US CRT market and pass-through appetite
The sale of Absolute 2021-1‘s pass-throughs - the $184.8m repack of two CLNs from Goldman Sachs which closed on September 25 - represents further evidence that investor appetite for higher yielding repackaged pass-through securities is growing.
An S&P analyst who worked on the rating of the deal confirmed that the CLNs were reconfigured as a repack to suit investor needs, but .......
News 7 October 2020
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Seeking clarity
Chapter three of SCI's Autumn 2020 CRT Research Report
The third chapter of SCI’s Autumn 2020 Capital Relief Trades Research Report examines the impact of payment holidays on the SME significant risk transfer sector, as well as concerns over performance and data availability, and the emergence of multi-bank portfolios. This section of the report comprises interviews with representatives from Chorus Capital, the EIF, Integer Advisors, Intesa Sanpaolo, Latham & ......
News Analysis 7 October 2020Premium Content
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'Quick fix' draft legislation published
Sector developments and company hires
‘Quick fix’ draft legislation published
The European Parliament has published draft legislative resolutions on amendments to the Securitisation Regulation and CRR in connection with STS synthetics and non-performing exposures.Among the proposals is a tightening of the definition of an NPE securitisation and the introduction of stricter language on risk retention, according to Rabobank credit analysts. The regulatory treatment .......
Market Moves 6 October 2020
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SRT for the real economy
Chapter two of SCI's Autumn 2020 CRT Research Report
The second chapter of SCI’s Autumn 2020 Capital Relief Trades Research Report explores how significant risk transfer can drive economic growth, supported by the recent High Level Forum recommendations, the European Commission’s Covid-19 recovery package and the STS synthetics framework. This section of the report comprises interviews with representatives from AFME, the High Level Forum, Intesa Sanpaolo, PCS and Santander.
News Analysis 6 October 2020
Premium Content
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Synthetics seminar line-up finalised
Fireside chat, CRT workshop on the agenda
The line-up for SCI’s 4th Annual Risk Transfer & Synthetics Seminar has been finalised. Hosted virtually on 7 and 8 October, highlights of the event include a fireside chat between Clifford Chance’s Timothy Cleary and Christofferson Robb & Co’s Richard Robb, as well as a Mark Fontanilla & Co workshop on the US credit risk transfer market.
A market overview .......
News 6 October 2020
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Range of moratoria take-up 'stark'
Sector developments and company hires
Range of moratoria take-up ‘stark’
Market Moves 5 October 2020
With payment holiday concentrations having fallen over the past few remittance periods, the range of payment holiday take-up across UK RMBS is stark, according to JPMorgan’s latest Covid-19 Payment Holiday Tracker. Reflecting data reported primarily through September and August, the report identifies zero percent (in the case of the MORTI 2020-1 deal) and 0.6% (TWIN .......
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Risk transfer round-up - 5 October
CRT sector developments and deal news
Lloyds is rumoured to be readying its third mortgage significant risk transfer trade from the Syon programme for 4Q20. The last Syon transaction closed in February (see SCI’s capital relief trades database). Fitch placed Syon Securities 2019 and 2020 under rating watch negative (RWN) in April, but removed them from RWN last month (SCI 25 September).
....... News 5 October 2020
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Transmitting credit
SRT and the real economy explored
SCI will be publishing a chapter of our Autumn 2020 CRT Research Report each day this week. While today’s instalment - the introduction – is available to all subscribers, the subsequent chapters will be available to premium subscribers only.
To enquire about SCI’s premium content, email jm@structuredcreditinvestor.com (new subscribers) or ta@structuredcreditinvestor.com (existing customers). For further information on the risk transfer and synthetic .......
News 5 October 2020
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SME boost
Commerzbank completes CRT
Commerzbank, the EIF and the EIB have completed a €125m mezzanine guarantee that references a €1.9bn German SME and midcap portfolio. The guarantee will enable Commerzbank to provide new lending of up to €500m to SMEs and mid-caps in Germany as a countermeasure to the ongoing Covid-19 crisis.
The transaction benefits from the support of the European Fund .......
News 2 October 2020
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'Dual-track' approach touted for SRT
Sector developments and company hires
‘Dual-track’ approach touted for SRT
Market Moves 1 October 2020
The EBA is finalising its report on significant risk transfer and hopes to be able to publish it by year-end, according to Pablo Sinausia, policy expert at the authority. He disclosed during a TSI Congress 2020 panel today that the report builds on the EBA’s recent report on STS synthetics and will address structural features that .......
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Latest Magdalena finalised
Santander prices first post-Covid SME SRT
Santander, the EIF and the EIB have completed a €55m and €143m CLN that references a €2.2bn Spanish SME portfolio. Dubbed Magdalena Four, the transaction is Santander’s first post-Covid SME significant risk transfer trade.
The transaction consists of a €1.969bn retained senior tranche, a €55m senior mezzanine tranche (priced at three-month Euribor plus 1.6%), a €143m junior mezzanine tranche (plus 6%) and a €33m retained first loss tranche. .......
News 29 September 2020
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Risk transfer round up - 28 September
CRT sector developments and deal news
BNP Paribas is rumoured to be readying a full-stack consumer significant risk transfer trade for 2H20.The transaction would be the lender’s first post-Covid full stack SRT following the finalisation of E-CARAT 11 in February (see SCI’s capital relief trades database).
....... News 28 September 2020
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Calabrian calibration
FHFA silent on the implication of the director's comments about GSE CRT last week
The Federal Housing Finance Authority (FHFA) has been unable provide more details about what director Mark Calabria’s meant at last week’s Congressional hearings when he apppeared to envisage a reduced place for CRT deals offered by the GSEs in the future.
Calabria was speaking before the House Financial Services Committee at a hearing entitled “Prioritizing Fannie’s and Freddie’s Capital over America’s Homeowners .......
News Analysis 25 September 2020
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Tight pricing
BNP Paribas completes SRT
BNP Paribas has finalised a €324m funded financial guarantee and is scheduled to complete a €100m insurance policy before the end of 3Q20. Dubbed Resonance Five, the tranches reference a static €8bn global corporate portfolio that consists of both drawn and undrawn commitments. The transaction is so far the most tightly priced corporate capital relief trade of the year.
The .......
News 25 September 2020
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Revolver exposures on offer
Sector developments and company hires
Revolver exposures on offer
Goldman Sachs is in the market with a balance sheet synthetic securitisation referencing a portfolio of predominantly investment-grade senior unsecured revolving loan facilities. Dubbed Goldman Sachs Bank USA credit-linked notes due 2025, the transaction comprises two classes of S&P-rated CLNs for a total of US$184.8m.The transaction documentation links the ability of Goldman Sachs to .......
Market Moves 25 September 2020