Capital Relief Trades
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Maintaining flexibility
Fiona Walden, vp, credit and financial lines at RenaissanceRe, answers SCI's questions
Q: How and when did RenaissanceRe became involved in the securitisation market?
The Structured Credit Interview 22 February 2019
A: We were set up 25 years ago as a property catastrophe company. We have a long track record of credit reinsurance for our insurance company clients. More recently, we applied this knowledge and expertise to structured credit transactions - including significant risk transfer transactions - by providing .......
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Risk transfer round-up - 15 February
CRT sector developments and deal news
The first quarter of this year is expected to see reduced capital relief trade issuance, due to ESMA’s securitisation disclosure requirements, although market sources expect volumes to pick up in Q2. Among the transactions that are believed to be closing next quarter is a US corporate capital relief trade from Mitsubishi. Another deal that is set to close this ......
News 15 February 2019Premium Content
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Risk transfer round-up - 1 February
CRT sector developments and deal news
Bank of Montreal has printed a US and Canadian leveraged loan capital relief trade dubbed Manitoulin. The US$92.5m 7.3-year financial guarantee pays Libor plus 12.75%.
Rated by DBRS the deal comprises triple-A class A notes, single-A class B notes and triple-B class C notes. Further features include the presence of replenishment, a sequential amortisation structure and early termination of the protection.
News 1 February 2019
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Minerva closed
Innovative guarantee completed
Banca Nazionale Del Lavoro has closed a €100m mezzanine guarantee with the EIF. Dubbed Minerva, the transaction was completed with funds from the European Fund for Strategic Investments (EFSI) and is expected to release €600m for lending to Italian SMEs. The guarantee is the first SRT transaction that the EIB Group has executed for Italian corporate loans and includes .......
News 25 January 2019
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Risk transfer round-up - 25 January
CRT sector developments and deal news
Deutsche Bank issued a leveraged loan capital relief trade in December among a flurry of risk transfer transactions (SCI 21 December 2018). Dubbed LOFT 2018-1, the US$240m 10-year CLN was priced at 13.25%. According to SCI data, it is the widest print of the year.
The deal is non-callable and features an eight-year weighed average life. The leveraged finance ......
News 25 January 2019Premium Content
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CLOs retain top ranking
Quarterly SCI data update
CLOs remained the top asset class in terms of deal count for European and US new issuance in 4Q18, according to SCI data - although the numbers are down on those posted in Q3 (SCI 23 October 2018), reflecting market volatility in the final quarter of the year. In contrast, CLO BWIC volumes rose in both regions.
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News Analysis 24 January 2019
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CRT growth continues
Tighter pricing trend points to expanding market
The year 2018 saw a flurry of capital relief trades referencing various asset classes that were priced at tighter levels compared to previous years. Such activity is a reflection of the good performance of the underlying collateral and increased investor allocations in the market, suggesting a growth trend that is set to continue in 2019.
According to James ......
News Analysis 18 January 2019Premium Content
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Risk transfer round-up - 11 January
CRT sector developments and deal news
The fourth quarter of 2018 saw a slew of risk transfer deals typical of year-end issuance (SCI 21 December 2018). Among the deals that are believed to have been completed last month are two corporate trades from BNP Paribas. One is understood to be a club deal, while the other is rumoured to be a bilateral deal with .......
News 11 January 2019
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Credit events synchronised
BBVA completes innovative IFRS 9 hedge
BBVA has completed an innovative transaction that synchronises credit events with IFRS 9 lifetime expected loss provisions, while also being the first synthetic securitisation to incorporate blockchain technology (SCI 21 December 2018). Dubbed Vela Corporate 2018-1, the €60m financial guarantee references a €1bn Spanish corporate portfolio.
The EIF acted as counterparty to BBVA by providing a guarantee ......
News Analysis 11 January 2019Premium Content
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Mezz opportunity
Insurer interest in risk transfer on the rise
The facility recently inked by Texel Finance and Liberty Specialty Markets (SCI 9 November 2018) signals an increasing interest among insurers in providing meaningful risk transfer solutions for structured finance opportunities. One key area being targeted by the facility is mezzanine risk transfer for SRT transactions, following the coming into force of the new securitisation framework.
Alan .......
News Analysis 10 January 2019
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Risk-sharing boost
Cajamar SRT sets tone for standardised banks
BCC Grupo Cajamar has completed a €972.1m Spanish true sale significant risk transfer transaction with the EIF, ICO and hedge fund investors. Dubbed IM BCC Capital 1, the transaction is the first cash SRT issued by a standardised bank and the first risk-sharing transaction by a standardised bank that involves both the EIF and private investors, paving the way .......
News Analysis 9 January 2019
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Landmark consumer SRT launched
Santander completes synthetic auto loan ABS
Santander has launched an unusual synthetic securitisation of auto loans, dubbed Santander Consumer Spain Synthetic Auto 2018-1. The transaction comprises a €60.6m twelve-year CLN that references a €1.01bn portfolio of Spanish auto loans paying Euribor plus 8.90%.
Synthetic securitisations of granular, consumer portfolios are uncommon, as the structures are typically used for concentrated, non-granular portfolios. This is due to ease of .......
News Analysis 2 January 2019
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Synthetic slew
CRT issuances hit before year-end
A slew of synthetic securitisations have hit the market before year-end. The risk transfer issuances include a trio of EIF financial guarantees, one of which is supported by blockchain technology, and a pair of Colonnade deals.
The blockchain transaction – which marks the first time a corporate loan securitisation has been executed via distributed ledger technology in the .......
News 21 December 2018
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Consumer SRT completed
Santander opts for true sale format
Santander last month priced Kimi 7, a €665.3m true sale significant risk transfer transaction that securitises a portfolio of Finnish auto loans. The deal was executed for both capital relief and liquidity purposes, with the bank selling both the mezzanine and senior tranches.
Compared to previous Kimi deals, mezzanine investors don’t benefit from any excess spread. According to .......
News Analysis 19 December 2018
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Programmatic issuance
UBI Banca completes second CRT
UBI Banca has completed its second-ever capital relief trade, paving the way for more programmatic issuance in the future. Dubbed UBI RegCap2, the €100m financial guarantee references a €2.2bn portfolio of secured and unsecured Italian SME and corporate loans.
According to Simone Tufo, head of capital strategy at UBI Banca: “We intend to proceed with more programmatic issuance, .......
News 19 December 2018
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Wetherby 2 completed
SONIA-linked synthetic securitisation debuts
Lloyds has completed a £142.5m 7.25-year financial guarantee referencing a £1.5bn UK commercial real estate portfolio. Dubbed Wetherby 2 Securities 2018, the transaction is the first synthetic securitisation to reference the new SONIA interest rate benchmark and the third structured as a dual tranche trade (SCI 26 January).
The £82.5m first loss tranche (0%-5.5%) pays SONIA plus ......
News 17 December 2018Premium Content
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TRAFIN relaunched
Deutsche Bank replaces trade finance CRT
Deutsche Bank has refinanced its TRAFIN 2015-1 deal with the issuance of a new trade finance capital relief trade dubbed TRAFIN 2018-1. The US$216.125m five-year CLN references a US$3.5bn trade finance portfolio.
Deutsche Bank called and replaced the 2015 transaction last month with a new deal in order to lock in a better coupon. “High demand for trade finance CRTs .......
News Analysis 5 December 2018
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Colonnade issuance continues
Barclays completes corporate capital relief trade
Barclays has completed Colonnade Global 2018-2, a US$110m financial guarantee that references a US$1.33bn portfolio of mostly US corporate loans (see SCI's capital relief trades database). The transaction is typical of Colonnade Global risk transfer deals in the sense that the credit protection covers both principal and accrued interest.
Rated by DBRS, the transaction consists of US$1.1bn triple-A rated .......
News 5 December 2018
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Tighter pricing
Latest Elvetia trade completed
Credit Suisse has completed a Swiss corporate and SME significant risk transfer trade from its Elvetia programme, dubbed Elvetia Finance Series 2018-6. The trade printed at tighter levels compared to previous Elvetia corporate and SME deals, due to wide syndication. The transaction was completed under the new securitisation framework, which stipulates thicker tranches and was also a driver of the ......
News 30 November 2018Premium Content
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Tough approach
PRA guidance puts UK CRT issuers at a disadvantage
The UK PRA’s latest significant risk transfer guidance is putting UK capital relief trade issuers at a disadvantage compared to their European peers, mainly due to the regulation’s provisions on excess spread and the capital treatment of standardised portfolio transactions. The regulation is broadly in line with a consultation from May that sparked a market backlash (SCI .......
News Analysis 30 November 2018
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Basel 4 impact will 'vary massively'
Regulatory changes represent 'complete overhaul'
Regulatory changes coming into effect next year will have a major impact on the way European banks calculate risk weighted assets (RWAs), resulting in a greater incentive for some banks to utilise risk transfer mechanisms. However, it is expected that a nuanced picture will emerge, with regulatory changes impacting banks’ RWA calculations differently depending on a range of factors, such .......
News Analysis 29 November 2018