Capital Relief Trades
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Fannie takes a step back
As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules
Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Federal Finance Housing Authority (FHFA) on May 20 is causing Fannie Mae to hold back from CRT issuance, confirm market sources close to the agency.
“They’re trying to evaluate what the new capital rules might mean before they take the next step,” says one consultant.
At the beginning .......
News Analysis 14 July 2020
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ACIS activated
Freddie Mac brings first ACIS CRT deal since March
Following its recent re-opening of the CRT bond market with a $1.1bn STACR deal, Freddie Mac last Friday (July 10) priced its first ACIS deal since March. Like the STACR deal, this transaction was also over-subscribed and issue size was doubled to $425m.
The deal, designated ACIS 2020 DNA3, consisted of four tranches. The M1, for an issue size .......
News 13 July 2020
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Risk transfer round up - 10 July
CRT sector developments and deal news
Commerzbank is rumoured to be readying a corporate capital relief trade that is expected to close in 2H20. The German lender’s last significant risk transfer trade closed in February and referenced German SME exposures (see SCI’s capital relief trades database).
Meanwhile, Lloyds is believed to be readying another agricultural loan SRT from the Fontwell programme for 3Q20. .......
News 10 July 2020
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Arch restarts MILNs
The relaunched Bellemeade Re 2020-1 from Arch Capital, priced at the end of last week, secured more investors than any previous mortgage insurance-linked note (MILN) from this borrower, confirms Jim Bennison, executive vice president for alternative markets.
The original Bellemeade Re 2020-1 was pulled on March 9 as markets fissured and investor interest evaporated. But buyers have come back to the MILN .......
News Analysis 9 July 2020
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CPR for CRT from Freddie
Freddie Mac's new upsized STACR shows market is healthy
Freddie Mac has demonstrated that reports of the death of the CRT bond market are greatly exaggerated with its upsized $1.1bn STACR 2020-DNA3 deal priced at the end of last week and announced on Monday, July 6. This was the first single family GSE CRT offering since March.
The deal was worth $500m at launch but was more than doubled to $1.1bn due .......
News Analysis 9 July 2020
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Restructuring events?
Uncertainty over CRE values weighs on CRTs
Restructuring credit events in capital relief trades backed by commercial real estate loans will likely occur over the next six months, following an end to coronavirus-related payment holiday schemes. Given uncertainty over the long-term impact of the pandemic on CRE collateral values, disagreements between banks and investors over the appropriate workout strategy and the related issue of control rights .......
News Analysis 9 July 2020
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Polish SRT inked
Santander completes capital relief trade
Santander has completed a synthetic securitisation of Polish leasing receivables with the EIF. The transaction references an approximately PLN2bn (€450m) portfolio and is Santander’s first significant risk transfer transaction following the coronavirus crisis.
Georgi Stoev, head of CEE and Northern European securitisation at the EIF, notes: “The coronavirus crisis has led to negative rating migrations in portfolios and .......
News 9 July 2020
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Risk transfer round-up - 3 July
CRT sector developments and deal news
Details have emerged of three corporate capital relief trades issued by Barclays last month. The risk transfer transactions are the lender’s first following the coronavirus crisis. The combined first loss tranches total US$380m and reference a US$3.8bn global portfolio.
....... News 3 July 2020
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Spanish SRT inked
BBVA launches capital relief trade
BBVA has completed an €87m mezzanine guarantee with the EIF. Dubbed Vela Four, the transaction references a static €1.25bn Spanish SME and mid-cap portfolio and has a simpler structure compared to previous capital relief trades from the same programme.
According to Pablo Sanchez Gonzalez, structured finance manager at the EIF: “We have used a much simpler structure this .......
News Analysis 3 July 2020
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Fast amortisation
SSPAIN deleveraging highlighted
Scope Ratings has published a monitoring report for Santander’s 2019 US auto significant risk transfer deal SSPAIN (see SCI’s capital relief trades database). The assigned ratings remain the same and the rated notes have benefited from deleveraging and lower than expected portfolio losses. However, back-loaded default scenarios are plausible, given Covid-19 uncertainties - although the impact of the .......
News 2 July 2020
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Risk transfer round-up - 1 July
CRT sector developments and deal news
NatWest is rumoured to be readying a capital relief trade backed by mid-market corporate loans for 3Q20. The transaction would be the issuer’s first post-Covid significant risk transfer deal, following the announcement of Project Grasshopper in December 2019. The latter deal referenced project finance loans (see SCI’s capital relief trades database).
....... News 1 July 2020
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Structuring negotiations
CRT origination trends evolving
Investors appear to be able to extract more than they used to during structuring negotiations for capital relief trades, following the coronavirus-driven repricing of risk. Portfolio composition is also evolving, reflecting concerns over industries that are perceived to be riskier, according to SCI’s latest CRT Research Report.
Frank Benhamou, md and head of funding and capital solutions at .......
News Analysis 26 June 2020
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Impact SRTs eyed
Newmarket launches asset management business
Newmarket has launched its asset management business, which will focus on the nexus of structured solutions and impact investing. Newmarket has spun out of Mariner Investment Group and will build upon a history of risk transfer investing. Along with this launch, Newmarket has formally assumed the management of the IIFC strategy, launched seven years ago at Mariner.
Molly .......
News Analysis 23 June 2020
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Risk transfer round-up - 22 June
CRT sector developments and deal news
Deutsche Bank has completed a US$125.58m six-year CLN that references a US$1.932bn global corporate portfolio. Dubbed CRAFT 2020-3, the capital relief trade follows the lender’s first post-Covid SRT from the same programme that was completed earlier this month (SCI 12 June).
The transaction priced at three-month Libor plus 10.75%. It features a weighted average life equal to 3.5 years .......
News 22 June 2020
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Sicilian CRT launched
BAPR completes SME securitisation
The EIF and Banca Agricola Popolare di Ragusa (BAPR) have completed a synthetic securitisation referencing Sicilian SMEs. The €22m guarantee references an approximately €200m portfolio and is the Italian lender’s first capital relief trade.
“We are pleased to sign this agreement with Banca Agricola Popolare di Ragusa, a regional financial intermediary committed to supporting local SMEs. The operation .......
News 19 June 2020
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Lift off
Credit Suisse finalises SRT
Credit Suisse has priced an Sfr130.5m equity tranche that references a Sfr1.8bn blind pool of medium to large Swiss corporate borrowers. Dubbed Elvetia Finance Series 2020-1, the transaction is the Swiss lender’s first capital relief trade following the outbreak of the coronavirus.
The transaction’s pricing hasn’t been disclosed, but it’s believed to be in the double digits. The last Elvetia .......
News 19 June 2020
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SRT debut
Sabadell completes first synthetic securitisation
Sabadell has completed a €96m mezzanine guarantee with the EIF. The transaction references a €1.6bn Spanish SME portfolio and is the Spanish lender’s first synthetic securitisation.
The guarantee will enable the issuer to provide €576m of financing, primarily to self-employed, SME and mid-cap borrowers. The structure comprises senior and mezzanine tranches that amortise on a pro-rata basis, and .......
News 18 June 2020
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Bridging gaps
Linking SRT originating banks with insurance partners
Texel is aiming to help insurers and banks bridge gaps in their understanding of how each sector approaches significant risk transfer transactions. With insurers expected to become more active in the capital relief trades market, the firm’s structured and bespoke solutions group last month recruited former Qbera Capital securitisation advisory head Paul Petkov (SCI 15 May), who .......
Market Moves 17 June 2020
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Risk transfer round-up - 17 June
CRT sector developments and deal news
Credit Suisse is rumoured to be readying a capital relief trade from the Elvetia programme that is scheduled to close in 2Q20. The Swiss lender’s last Elvetia SRT was closed in May 2019 and referenced SME loans. Elvetia transactions are typically backed by Swiss corporate and SME loans (see SCI’s capital relief trades database).
....... News 17 June 2020
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Risk transfer rebound
Deutsche Bank completes SRT
Deutsche Bank has completed a US$325m CLN that references a disclosed US$5bn global portfolio of large corporate revolvers. Dubbed CRAFT 2020-2, the transaction is the lender’s first capital relief trade following the Coronavirus crisis and the second post-Covid SRT to be issued after Bank of Montreal’s trade last month (SCI 15 May).
News Analysis 12 June 2020
Yuri Greenfield, head of risk and portfolio .......
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Euro ABS 'game changer' recommended
Sector developments and company hires
Euro ABS ‘game changer’ recommended
Market Moves 11 June 2020
The European High-Level Forum (HLF) on the capital markets union (CMU) has published its final report, which proposes 17 inter-connected “game changers” – measures that the EU needs to implement to remove the biggest barriers in its capital markets. The European Commission stresses that completing the CMU has become particularly urgent in order to speed .......