Capital Relief Trades
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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
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Risk transfer round-up - 25 September
CRT sector developments and deal news
Goldman Sachs is rumoured to be prepping two US corporate significant risk transfer deals for 4Q20 and the lender is believed to have closed another corporate deal in 3Q20. The trades would be the bank’s first SRTs (see SCI’s capital relief trades database).
....... News 25 September 2020
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Syon safe
Fitch affirms ratings for Lloyds SRTs
Fitch has removed the Syon Securities 2019 and 2020 transactions from rating watch negative (RWN), after having placed them there in April following the coronavirus outbreak. The class C and D notes of Syon 2019 and class C notes of Syon 2020 were placed on RWN due to an expectation of weakening asset performance.
Syon Securities 2019 and .......
News 25 September 2020
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JP Morgan at CRT again
The US bank is reportedly readying a corporate/SME loan deal
JP Morgan Chase is preparing a capital relief trade (CRT) referencing corporate and SME loans, say well-placed market sources.
It is getting ready to place the trade among a “small club” of investors before the end of financial year, add the sources.
JP Morgan has been unavailable for comment.
The deal represents a broadening of asset classes referenced by risk transfer deals .......
News 24 September 2020
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Doubling up
Record year anticipated for the EIF
The bulk of European SME capital relief trades in 1H20 were public, with the EIF a particularly active participant, given its mandate to support the sector. Indeed, it is shaping up to be a record year for the organisation in terms of synthetic securitisation, with easily double the volumes than issued under normal circumstances.
“Part of the EIF’s .......
News Analysis 22 September 2020
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Auto SRT priced
Santander unveils its first post-Covid Spanish auto SRT
Santander this week priced a full stack auto significant risk transfer trade (SRT) referencing a static €520m portfolio of Spanish auto loans, constituting the bank’s first post-Covid lockdown Spanish auto SRT.
Dubbed Santander Consumer Spain 2020-1, marketing for the deal began in last month (SCI 28 August).
Class A pays three-month Euribor plus 39bp, class B pays three-month Euribor plus 95bp, class .......
News 16 September 2020
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SYME securitisation underway
Sector developments and company hires
SYME securitisation underway
Market Moves 11 September 2020
Supply@ME Capital (SYME) reports that it has received offers, subject to contract, from a number of large, global institutional investors for a securitisation note issuance via StormHarbour, in order to monetise more than €300m of inventory (SCI 24 April). The company says it is currently analysing whether to syndicate this first securitisation issuance or work on .......
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Volksbank debuts
Delayed Italian SRT inked
Volksbank has completed a financial guarantee with the EIF and the EIB that references a static €700m Italian SME portfolio of roughly 3600 borrowers. The transaction is the Italian bank’s first significant risk transfer transaction.
Martin Schweitzer, cfo and deputy ceo at Banca Popolare dell’Alto Adige, notes: “It’s an important transaction for us in several respects, not least because of .......
News 11 September 2020
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APAC SRTs eyed
Balance sheet optimisation in focus
Asia Pacific banks are eyeing synthetic securitisations to optimise their balance sheets and as Basel 4 is incorporated into local laws. However, portfolios tend to be structured as blind pools, which could potentially limit future investor interest.
APAC SRTs are not a new phenomenon, as the activity of Standard Chartered and Credit Suisse demonstrates. Credit Suisse, for instance, closed three APAC .......
News Analysis 11 September 2020
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Multi-level Libor exposure eyed
Sector developments and company hires
Multi-level Libor exposure eyed
Market Moves 9 September 2020
Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of Japanese structured finance transactions the agency rates have Libor exposure and, in some cases, there is Libor exposure through notes, as well .......
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Risk transfer round-up - 9 September
CRT sector developments and deal news
Commerzbank is rumoured to have significantly upsized a corporate and SME significant risk transfer trade that is expected to close in 4Q20, following the alleged replacement of PGGM as counterparty with another private investor. The German lender’s last capital relief trade was closed with the EIF in February (see SCI’s capital relief trades database).
....... News 9 September 2020
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Reporting template RTS published
Sector developments and company hires
Reporting template RTS published
Market Moves 4 September 2020
Seven Commission Delegated and Implementing Regulations comprising the technical standards in connection with the details to be made available by the originator, sponsor and SSPE in a securitisation transaction subject to the Securitisation Regulation have been published in the EU Official Journal. Publication means that the reporting templates RTS will be effective on 23 September, after .......
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Risk transfer round-up - 4 September
CRT sector developments and deal news
Intesa Sanpaolo is rumoured to be readying a corporate capital relief trade from its GARC programme for 2H20. The Italian lender closed its first post-Covid significant risk transfer deal and last GARC transaction in June. The latter deal referenced leasing assets (see SCI’s capital relief trades database).
....... News 4 September 2020
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View from an investor Part II
Last week DuPont Capital's Karlis Ulmanis told us where he s...
Things not to like
CRT
Three GSE CRT bonds have been issued since early March, when the lockdown began. These were the most recent $1.088bn (upsized from $1.038bn) STACR DNA4 priced by Freddie on August 18, the $1.1bn STACR 2020-DNA3 printed at the beginning of July which re-opened the market and the $835m STACR 2020-HQA3 printed at the end of .......
Talking Point 1 September 2020
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EGF expression of interest launched
Sector developments and company hires
EGF expression of interest launched
Market Moves 1 September 2020
The EIF has issued a call for expression of interest in participating in its Pan-European Guarantee Fund (EGF), which forms part of the overall package of measures agreed by the Eurogroup on 9 April and further endorsed by the European Council on 23 April (SCI passim). The EGF has a target size of €25bn and .......
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Seeking stability
Stimulus complicating SME SRT analysis
Coronavirus-related stimulus schemes are complicating the analysis of European SME significant risk transfer deals. While a small number of such transactions are being discussed with investors, the EIF’s involvement is anticipated for the vast majority of them – given that its mandate is to support the sector – until further clarity emerges regarding SME performance.
Prior to the .......
News Analysis 1 September 2020
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Risk transfer round-up - 28 August
CRT sector developments and deal news
BNP Paribas is rumoured to be prepping its fifth corporate capital relief trade from the Resonance programme, which is expected to close in 2H20. The French lender closed another corporate deal in September 2019 that is believed to be Resonance Four and inked Resonance Three in December 2018 (see SCI’s capital relief trades database).
....... News 28 August 2020
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CECL eligibility expanded
Sector developments and company hires
CECL eligibility expanded
Market Moves 28 August 2020
The FDIC, OCC and the US Fed have finalised a rule that allows institutions that adopt the current expected credit losses (CECL) accounting standard in 2020 to mitigate the estimated effects of CECL on regulatory capital for two years (SCI 31 March). Under the rule, eligible institutions have the option to mitigate the estimated capital effects .......
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Auto SRT prepped
Santander readies capital relief trade
Santander is marketing a full-stack auto significant risk transfer trade that references a €520m static portfolio of 49,547 Spanish secured auto loans. Dubbed Santander Consumer Spain Auto 2020-1, the transaction differs from previous auto SRTs due to more conservative levels of excess spread.
Rated by Scope and Moody’s, the transaction consists of €450m AA/Aa1 rated class A notes, .......
News 28 August 2020
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View from an investor
SCI hears from an US MBS buyer about what he likes in the market... and next week what he doesn't
Karlis R. Ulmanis, CFA, is a portfolio manager at DuPont Capital. In these waning days of summer, he gave an hour of his time last week to sit down (virtually, of course…) with SCI to discuss where he sees value in the current somewhat fractured and definitely jittery MBS market, agency and non-agency. We publish the first half of .......
Talking Point 25 August 2020
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Car capital relief
JPM Chase tests the auto loan waters with new CRT deal
Investors and analysts have given a cautious welcome to the latest JP Morgan CRT deal - a $1.8bn auto loan securitization, which also marks the bank’s return to the auto loan sector market after an absence of 14 years.
The deal is being marketed at the moment. The loan pool consists of a prime retail auto loan portfolio consisting of 82,824 reference .......
News 21 August 2020