Capital Relief Trades
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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
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Risk transfer round-up - 23 November
CRT sector developments and deal news
Credit Suisse is believed to be pricing a risk transfer transaction from its Elvetia programme on Monday. The issuer’s last Elvetia transaction was a Sfr300m ticket referencing a Sfr5bn portfolio (see SCI’s capital relief trades database).
Further details have also emerged regarding the pricing of Standard Chartered’s trade finance transaction, Sealane 4 (SCI 14 November). The ......
News 23 November 2018Premium Content
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Risk transfer round-up - 16 November
Capital relief trade sector developments and deal news
Deutsche Bank is rumoured to be executing a bilateral trade finance capital relief trade from its TRAFIN programme this month, as a replacement trade for TRAFIN 2015-1. TRAFIN 2015-1 was due for November 2022 (see SCI’s capital relief trades database), but the German lender has decided to call it and reportedly replace it with a new deal. The ......
News 16 November 2018Premium Content
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Dual speed
Standard Chartered follows with tranche carve-up
Standard Chartered has completed a US$297.5m financial guarantee that references a US$3.5bn trade finance portfolio. Dubbed Sealane 4, the transaction is a replacement trade for Sealane 3 - which matures in December - and is structured as a dual mezzanine tranche to appeal to a broad base of investors and address the EU Securitisation Regulation’s higher capital requirements.
News Analysis 14 November 2018
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Stress test
IFRS 9 impact limited
The EBA’s recent stress tests point to a limited capital impact from the implementation of IFRS 9. The stress test results follow the release of bank quarterly results, which also highlighted a limited impact from the first-time adoption of IFRS 9 (SCI 14 May).
The negative impact of IFRS 9 first implementation on banks’ aggregate CET1 ratio .......
News Analysis 9 November 2018
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Unpredictable factors
Macro and micro challenges highlighted
European market participants are facing three unpredictable factors in 2019, all of which will drive ABS activity and supply in the new year. ECB monetary policy evolution, Brexit execution and securitisation legislation implementation represent challenges from both macro and micro perspectives.
Among these challenges is the Basel 4 output floor. Alexander Batchvarov, md at BofA Merrill Lynch Global .......
News Analysis 9 November 2018
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Leveraged loan CRT prepped
Risk transfer sector developments and deal news
Deutsche Bank is believed to be readying a leveraged loan capital relief trade for 4Q18. According to SCI’s capital relief trades database, this would be the German lender’s first leveraged loan transaction.
Deutsche Bank has been one of the most active issuers this year, having issued a corporate deal and an SME deal from the CRAFT and GATE programme ......
News 9 November 2018Premium Content
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Risk transfer round-up - 2 November
CRT sector developments and deal news
Santander is believed to be readying two consumer capital relief trades and a corporate deal to print this quarter. The Spanish lender has been one of the most active issuers in 4Q18, having issued a commercial real estate deal, a project finance deal and an SME deal (see SCI capital relief trades database).
...... News 2 November 2018Premium Content
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Mixed outlook
Risk transfer diversity set to increase
The outlook for risk transfer issuance volumes is mixed, according to panellists at SCI’s Capital Relief Trades Seminar last week. However, they agreed that the market will continue to increase in diversity, in line with bank origination channels and balance sheet needs.
The traditional Northern European CRT jurisdictions have seen a lot of activity over the last couple .......
Talking Point 26 October 2018
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CLOs in demand
Quarterly SCI data update
Analysis of SCI's databases underlines the significant demand for CLO paper seen in 3Q18, in both primary and secondary markets. Meanwhile, a bias towards Northern European jurisdictions is evident in capital relief trade volumes.
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News Analysis 23 October 2018
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New ground for CRTs
Capital relief trades report now available
CRTs – in which banks transfer credit risk to non-bank investors – have become better established and more widely used. New issuance jurisdictions and greater variety of reference assets, issuers and investors have brought the market into new territory, but the regulatory environment remains challenging and there are concerns that growth could stall.
SCI has published its latest special report .......
News 23 October 2018
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Risk transfer round-up - 19 October
CRT sector developments and deal news
Credit Suisse is believed to be readying a Swiss corporate deal from its Elvetia programme. The issuer’s last Elvetia transaction was a Sfr300m ticket referencing a Sfr5bn Swiss mortgage portfolio (see SCI capital relief trades database).
...... News 19 October 2018Premium Content
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Market moves update
Company hires and sector developments in structured finance
CRT poll results
Market Moves 17 October 2018
The results from SCI’s ‘What’s in a name?’ survey are in. Delegates at SCI’s Capital Relief Trades Seminar yesterday were polled as to what the most appropriate term should be for capital relief trades from 11 different choices. Out of over 80 responses, 22% voted for ‘credit risk transfer’, 20% for ‘risk-sharing transaction’, 18% for ‘capital relief .......
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Second wave
Synthetic CRE transactions launched
Santander and NatWest have completed two commercial real estate risk transfer transactions and the market is expecting another CRE deal in 4Q18. This marks the second wave of synthetic CRE transactions, following the first wave last year, with the issuance of three transactions by Santander, Lloyds and Barclays (see SCI’s capital relief trades database). The second synthetic CRE .......
News Analysis 15 October 2018
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Risk transfer round-up - 12 October
CRT sector developments and deal news
Deutsche Bank is believed to be prepping a trade finance transaction from its TRAFIN risk transfer programme for 4Q18. The rumoured deal would be the German lender’s first TRAFIN deal in three years and follows two issuances in June from the GATE and CRAFT programme (see SCI’s capital relief trades database).
...... News 12 October 2018Premium Content
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Compliance costs
Private securitisations caught by disclosure requirements
ESMA’s regulatory technical standards (RTS) regarding securitisation disclosures (SCI 6 September) are expected to boost compliance costs for private deals, given the tight implementation timeframe of the Securitisation Regulation. Market consensus points to a transition period as one potential fix, but that option is fraught with its own challenges.
The RTS notes that all securitisations must .......
News Analysis 5 October 2018
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Risk transfer round-up - 5 October
CRT sector developments and deal news
BNP Paribas is rumoured to be readying a replacement trade for a risk transfer transaction that it completed in 2016. Dubbed Resonance II, it references a €5bn portfolio of corporate loans (see SCI’s capital relief trades database).
Dutch pension fund PGGM made a second loss investment in the 2016 deal. The new transaction is expected to close in ......
News 5 October 2018Premium Content
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Regulatory boost
Positive prospects for project finance CRTs
Santander has completed Fitzroy 2018-1 CLO, a financial guarantee and significant risk transfer transaction that references a £1.12bn portfolio of UK project finance loans. Regulatory clarity over acceptable structures could pave the way for further project finance CRT issuance in the future.
Fitzroy is Santander’s second project finance transaction in two years, following Renew Project Finance CLO 2017-1 .......
News Analysis 3 October 2018
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Risk transfer round-up - 28 September
CRT sector developments and deal news
Santander is believed to be the third capital relief trade issuer readying a commercial real estate transaction in 4Q18, along with Lloyds and RBS.
The lender’s last CRE risk transfer deal was issued in December 2017. Dubbed Red 1 Finance CLO 2017-1, the £87.1m financial guarantee referenced a £916.8m UK CRE portfolio.
The transaction printed alongside two other debut ......
News 28 September 2018Premium Content
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Risk transfer return
Standard Chartered completes trade finance CRT
Standard Chartered has printed its first capital relief trade in three years, dubbed Trade Finance Transaction 2018-1. The bank’s last public trade was a US$135m corporate CLN called Baruntse, which was completed in 2015 (see SCI’s capital relief trades database). It also rolled the Shangren III (Trade Finance) into a new deal in June.
Rated by Moody’s, .......
News 27 September 2018
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CRT line-up finalised
SCI seminar to assess regulatory threats and opportunities
The line-up for SCI’s 4th Annual Capital Relief Trades Seminar – taking place on 16 October at One Bishops Square, London – has been finalised. With Basel 4 impacting all approaches to the calculation of risk-weighted assets, credit institutions are being forced to optimise their portfolios once again. A major theme of the event is therefore how market participants .......
News 25 September 2018