Capital Relief Trades
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Economic efficiency
Standardised bank SRT pros, cons weighed
Various factors should be considered when contemplating whether to execute a significant risk transfer transaction, especially from a standardised bank perspective. The key is to choose the most economically efficient portfolio and the rest is optimisation, according to SCI’s inaugural CRT Research Report.
Steve Gandy, md and head of private debt mobilisation, notes and structuring at Santander Corporate and .......
News Analysis 16 December 2019
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Risk transfer round-up - 16 December
CRT sector developments and deal news
Deutsche Bank is rumoured to be readying a capital relief trade from the CRAFT programme. The last CRAFT significant risk transfer deal - a US$382.5m CLN that references corporate loans - was completed in March. It remains the only CRAFT transaction of the year (see SCI’s capital relief trades database).
...... News 16 December 2019Premium Content
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Mixed motivations
THRP sets stage for US bank CRT
A combination of macro and micro factors are understood to have influenced the issuance of JPMorgan’s recent Chase 2019-CL1 synthetic RMBS (SCI 10 October). Notably, the US Treasury’s aim of harmonising regulatory frameworks across the mortgage market – as outlined in its Housing Reform Plan (SCI 6 September) – arguably helped create the right conditions for the bank .......
News 13 December 2019
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CET1 ratios eyed
Disposals, securitisations to protect bank capital
European bank CET1 ratios have stabilised over recent years, as Basel 3 capital requirements and other supervisory measures have been fully phased in. However, further RWA inflation could result from the ECB’s TRIM exercise or the Basel 4 output floors.
Banks have adapted to the post-crisis regulatory environment by lowering RWAs and/or by retaining more earnings. Indeed, for over a .......
News Analysis 12 December 2019
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Mutual agreement
BPPB SRT debuts
Further details have emerged about the EIF and Banca Popolare di Puglia e Basilicata’s (BPPB) €60m financial guarantee under the SME Initiative Italy (SCI 6 December). Referencing a €120m Italian SME portfolio, the transaction is BPPB’s first risk transfer trade and is the first under the SME Initiative Italy to free up mutual guarantees known as confidi.
“This is .......
News 9 December 2019
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Grattan refinanced
Bank of Ireland completes CRT
Bank of Ireland has originated a €265m funded and unfunded financial guarantee that references a partially disclosed €2bn Irish and UK corporate portfolio. Dubbed Vale Securities, the transaction is a refinancing of a 2016 capital relief trade called Grattan Securities (see SCI’s capital relief trades database).
The refinancing follows the exercise of an optional early termination right for Grattan .......
News 6 December 2019
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Confidentiality issues persist
Disclosure questions unresolved for CRT market
ESMA’s updated questions and answers on the Securitisation Regulation, clarifies different aspects of the European Commission’s draft technical standards on securitisation disclosures (SCI 18 October). However, as with the Commission’s paper, the document doesn’t explain how CRT issuers can comply with the disclosure requirements while preserving client confidentiality.
David Saunders, structurer at Santander, comments: “The confidentiality issues remain, so .......
News 2 December 2019
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Full-stack debut
BDK completes first auto SRT
Bank Deutsches Kraftfahrzeuggewerbe (BDK) has debuted its first full-stack capital relief trade. Dubbed Red & Black Auto Germany 6, the €1bn German true sale auto ABS differs from previous transactions from the same programme due to the existence of pro-rata amortisation and the fact that it has been undertaken for both capital relief and funding purposes.
According to Laurent Mitaty, .......
News 2 December 2019
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Spanish SRT inked
Banco Cetelem completes full-stack auto ABS
Banco Cetelem has completed the first full-stack Spanish auto significant risk transfer transaction from BNP Paribas’ Autonoria programme. The €1bn Autonoria Spain 2019 true sale ABS differs from previous Autonoria deals in that the class G notes have been assigned a rating.
The deal is the first capital relief trade from the programme that references Spanish auto loans and it .......
News 2 December 2019
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Risk transfer round-up - 28 November
Risk transfer round-up - 28 November
HSBC is rumoured to be readying a UK and European corporate loan SRT. This is one of two rumoured corporate SRTs that the bank is believed to be prepping. The second transaction is thought to reference UK corporate loans.
The deals would follow a four year gap from the issuer’s last transaction, dubbed Metrix Portfolio Distribution (see SCI’s capital relief trades .......
News 2 December 2019
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Italian SRT inked
UBI Banca seals the triple
UBI Banca has completed its third capital relief trade (CRT) following its inaugural transaction two years ago. Dubbed UBI 2019 RegCap3, this trade differs from the previous two, given the use of pro-rata amortisation and a replenishment period for prepaid loans.
“We received strong interest from investors thanks to the solid performance of the previous transactions. The new .......
News 26 November 2019
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SCI Start the week - 25 November
A review of securitisation activity over the past seven days
Transaction of the week
Alpha Bank is set to securitise a €12bn mixed portfolio of retail secured and unsecured loans, mortgage and wholesale non-performing loans in 1H20. Dubbed Project Galaxy, the transaction protects shareholders from dilution and is one of the first to utilise the Greek government's Hercules asset protection scheme (HAPS) (SCI 11 October).
Alpha .......
News 25 November 2019
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Template concerns
Paper proposes mitigants for unintended consequences
Major risk-sharing transaction investor PGGM has published a position paper on the ESMA securitisation disclosure templates (SCI 1 November). The paper proposes changes to mitigate the unintended consequences of applying true sale ABS reporting standards to balance sheet synthetic trades.
Mascha Canio, head of credit & insurance linked investments at PGGM, explains: “We wanted to highlight these .......
News Analysis 22 November 2019
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Ramping up
Standard Chartered boosts corporate issuance
Standard Chartered has completed a US$135m CLN that references a US$1.5bn portfolio of US and European corporate revolvers. Dubbed Chakra 4, the deal was carried out for both credit risk management and capital relief purposes.
The disclosed pool totals approximately 150 loans - mainly undrawn commitments - with a replenishment period equal to three years and weighted average life equal .......
News 21 November 2019
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US CRT pick-up?
Volumes to remain restricted to large banks
The US capital relief trades market is witnessing a long-awaited uptick, with three deals reportedly being readied. JPMorgan’s recent landmark synthetic RMBS appears to have boosted issuance (SCI 10 October), although volume is expected to remain restricted to large banks that will have to tackle a number of regulatory challenges.
US banks have been seeking to .......
News Analysis 18 November 2019
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Full-stack trend continues
FCA completes Italian auto SRT
Fiat Chrysler Automobiles (FCA) has completed a €912.6m true sale significant risk transfer securitisation backed by Italian auto loans. Dubbed A-BEST 17, the full-stack ABS differs from previous transactions from the same programme, given the inclusion of pro-rata amortisation and a deferred purchase price mechanism.
Rated by Fitch and DBRS, the transaction consists of €810m class A notes .......
News 15 November 2019
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Risk transfer round-up - 15 November
CRT sector developments and deal news
Santander is rumoured to be prepping a synthetic securitisation of German consumer loans. This is one of two synthetic consumer ABS deals it is said to be readying this quarter, following a slew of consumer SRTs issued by the bank this year (see SCI’s capital relief trades database).
...... News 15 November 2019Premium Content
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Choose risk
Richard Robb, ceo of Christofferson, Robb & Company...
Q: How is CRC involved in the capital relief trade or risk sharing market?
A: We continue to invest in bilateral risk sharing transactions with European banks, as we have since 2003. Eighty-five percent of our deals are synthetic. Our AUM is around US$5bn, covering around US$80bn in reference assets.Q: Anything new?
The Structured Credit Interview 13 November 2019
A: Three years ago, we launched a .......
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Risk transfer return
Bank of Ireland issues mezzanine tranche
Bank of Ireland has issued an additional mezzanine tranche on top of the junior tranche of a 2017 capital relief trade dubbed Mespil Securities (SCI 29 November 2017). The bank issued the note as the one-year grandfathering period for pre-2019 capital relief trades comes to an end in December (SCI 20 September).
The US$68.4m CLN is due .......
News 8 November 2019
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Risk transfer round-up - 8 November
CRT sector developments and deal news
BMO will call a capital relief trade dubbed Muskoka Series 2017-1 in December. The senior secured and senior unsecured US and Canadian corporate loan deal is due in 2022. The lender’s last capital relief trade was completed in July and was called Manitoulin USD Algonquin 2019-1 (SCI’s capital relief trades database).
...... News 8 November 2019Premium Content
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Rollover prepped
NPL CRT to be refinanced
Hoist Finance is readying a rated securitisation backed by Italian unsecured non-performing loans with a gross book value of €5bn, as of end-September. The capital relief trade is the firm’s first public securitisation of NPLs consisting solely of unsecured consumer and SME loans and follows an unrated NPL securitisation that was completed in August (SCI 1 August).
The .......
News Analysis 7 November 2019