Capital Relief Trades
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Esoteric opportunities
Structured solutions to address corporate risk transfer needs
The newly-formed CAC Specialty (SCI 21 August) is seeking to capitalise on the convergence of the insurance and capital markets on a broader basis than that represented by the ILS market. Indeed, the firm aims to transfer the more esoteric risks via insurance and place them in a structured format.
“Insurance brokerage and investment banking have a .......
News 30 August 2019
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Risk transfer round-up - 28 August
CRT sector developments and deal news
Credit Suisse has called two transactions from its Magnolia Finance V programme. The transactions were issued in 2013 and 2014 and both risk transfer trades referenced US and Swiss corporate loans. The exercise of the calls concerned the underlying US loans.
One transaction, dubbed Magnolia Finance V series 2013-1, was an eight-year US$75m CLN that printed in .......
News 28 August 2019
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Counterintuitive results
EBA consultation incentivises unfunded SRT format
The EBA’s consultation on the determination of the weighted average maturity of a securitisation tranche (SCI 2 August) is seen as a positive step for synthetic securitisations, since it takes into account the conditional payments of the underlying assets. However, by not recognising the effect of prepayments and pool amortisations, the proposal creates counterintuitive results that incentivise banks .......
News Analysis 23 August 2019
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Risk transfer round-up - 16 August
CRT sector developments and deal news
UBI Banca is rumoured to be prepping an SME and corporate SRT for 3Q19. The alleged transaction is riding a wave of Italian SRT issuance that includes a number of standardised banks.
Banca Popolare di Bari completed the first SRTs between a standardised bank and a private investor last month (SCI 2 August). Banca Popolare dell'Alto Adige .......
News 16 August 2019
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Tweaking tradition
Dutch securitisation evolving across established sectors
The Dutch securitisation market is seeing innovation and growth away from its traditional strong focus on prime RMBS. This trend is evolutionary rather than revolutionary, as participants seek to build on the sector’s well-established foundations.
Some asset classes are simply returning to life, notably CMBS. “CMBS has been picking up since last year and the two big issuers, .......
News Analysis 13 August 2019
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Senior mezz eyed
CRT issuers target asset managers
Banks are targeting asset managers for the senior mezzanine tranches of dual-tranche capital relief trades, given that the market for the senior mezzanine remains less deep relative to that of the junior mezzanine tranche. Asset managers are drawn to the risk/return profile of the senior mezzanine, although their approach to capital relief trades will likely remain opportunistic going forward. .......
News Analysis 9 August 2019
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Risk transfer round-up - 9 August
CRT sector developments and deal news
BNP Paribas is rumoured to be prepping a corporate capital relief trade for 3Q19. The lender’s last risk transfer transaction closed last month. Dubbed AutoFlorence 1, the true sale deal is its first post-crisis Italian SRT (SCI 22 July).
The BNPP transaction follows rumours of another risk transfer trade from Societe Generale. The bank is believed to .......
News 9 August 2019
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Dual-tranche deal finalised
Standard Chartered targets wide distribution
Standard Chartered has completed a dual-tranche capital relief trade that references an undisclosed US$2bn portfolio of corporate loans from the UK, Dubai, India and Africa. Dubbed Gongga CLO, the transaction is the bank’s second application of the dual-tranche technique (SCI 14 November 2018) and it is set to continue utilising a wide distribution strategy.
The transaction is split .......
News 2 August 2019
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Landmark SRTs inked
BP Bari completes capital relief trades
Banca Popolare di Bari has completed two capital relief trades that reference respectively a €1.1bn Italian SME portfolio and a €1.8bn Italian residential mortgage portfolio. This is the first time that transactions have been carried out between an Italian standardised bank and a private investor.
The risk transfer trades were arranged by Banca IMI and they are funded .......
News 2 August 2019
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COSME tapped
SME risk-sharing agreement signed
Italian national promotional bank Cassa Depositi e Prestiti (CDP) has tapped the EU's COSME loan guarantee facility that is managed by the EIF and backed by the European Fund for Strategic Investments, which provides first-loss guarantees. The agreement is expected to provide €3.75bn in counter-guarantees for Italy’s Guarantee Fund for SMEs, thereby facilitating up to €5.8bn of loans to .......
News 1 August 2019
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New podcast now live
The operational steps to setting up a CRT and more...
In this week's podcast, the team discuss the operational steps taken when putting together a capital relief trade, as well as some of the concerns surrounding disclosure requirements in securitisation and capital relief trades. It then rounds off with an insight into the recent securitisation from impact investor, ResponsAbility, which helps fund small businesses in emerging markets, throughout the globe.
News 31 July 2019
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BMO SRT launched
BMO expands mid-market exposure
Bank of Montreal (BMO) has completed a five-year financial guarantee that references US and Canadian senior secured and unsecured corporate loans. Dubbed Manitoulin USD Algonquin 2019-1, the transaction differs from previous Manitoulin deals due to the additional numbers of mid-sized corporate borrowers in the portfolio.
The risk transfer trade features a replenishment period and complies with risk retention rules. .......
News 26 July 2019
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Benchmark SRT inked
Bank of Scotland completes unusual synthetic UK RMBS
Bank of Scotland has launched its first post-crisis synthetic UK RMBS. Dubbed Syon Securities 2019, the £150m CLN references a £1bn portfolio of UK residential mortgages.
Synthetic securitisations of UK mortgages are highly unusual, with only two post-crisis transactions having been completed thus far (see SCI’s capital relief trades database). However, Syon Securities is expected to act .......
News Analysis 25 July 2019
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Risk transfer round-up - 24 July
CRT sector developments and deal news
Banca Popolare dell ‘Alto Adige is believed to be readying a capital relief trade that is expected to close in 4Q19. The transaction would be the bank’s first risk transfer transaction and is riding a wave of Italian securitisation issuance (SCI 24 July).
Indeed, as part of the same trend, BNP Paribas completed its debut Italian auto .......
News 24 July 2019
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Revving up
Italian auto SRT completed
BNP Paribas has completed a €950m significant risk transfer transaction of Italian auto loans. Dubbed AutoFlorence 1, the true sale securitisation is the bank’s first post-crisis Italian capital relief trade.
According to Boudewijn Dierick, head of ABS markets at BNP Paribas: “We successfully passed both phases of the SRT tests. First, there’s the SRT tests, where you have .......
News 22 July 2019
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Squaring the circle
CRT issuers struggling with borrower anonymity
Capital relief trade issuers are attempting to anonymise loan-by-loan data in transactions, while simultaneously complying with ESMA’s requirement to disclose such data as part of the new securitisation regulation (SCI 22 February). Market participants are concerned that unless regulators address this tension, it could cause a breach of confidentiality provisions.
According to one legal expert: “The problem is more .......
News Analysis 19 July 2019
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Risk transfer round-up - 19 July
CRT sector developments and deal news
Monte dei Paschi di Siena is rumoured to be prepping an Italian SME significant risk transfer transaction for 4Q19. The securitisation would be the lender’s first capital relief trade.
....... News 19 July 2019
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Operational issues
CRT key steps outlined
The operational issues involved in prepping a risk transfer transaction are often overlooked. Indeed, three key steps should be in place before a bank considers executing a capital relief trade.
“Each department of a bank – whether it’s the front, middle or back office – naturally tends to run its own individual processes and prioritise its own responsibilities; .......
News Analysis 19 July 2019
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Czech mate
SME CRT inked
The EIB, the EIF and Česká spořitelna (ČS) have inked a capital relief trade. The synthetic securitisation will channel €306m of new financing into SME businesses in the Czech Republic.
Backed by the European Fund for Strategic Investments, the transaction features a €76.5m mezzanine guarantee to cover potential losses on an existing portfolio of around €1bn SME and .......
News 18 July 2019
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Risk transfer round-up - 11 July
CRT sector developments and deal news
Standard Chartered is believed to be readying a corporate capital relief trade that is expected to close this month. The bank’s last risk transfer transaction was completed in June and is a US$90m CLN called Chakra 3, which references a US$1bn portfolio of corporate revolvers (SCI 21 June). Additionally, Societe Generale is rumoured to be closing an SME .......
News 11 July 2019
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New deals surge
Quarterly SCI data update
2Q19 saw a surge in new issuance volume across securitisation markets either side of the Atlantic. The second quarter typically sees an uptick over the previous quarter (SCI 11 April 2019), but this year's boost in European volumes was a reflection of greater regulatory certainty as the new STS rules bedded in and pent-up supply met pent-up demand.
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News Analysis 10 July 2019