SCI CRT Awards Issue Oct 19
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Arranger of the Year<br />
Elvetia 11<br />
Credit Suisse<br />
(Switzerland) Ltd<br />
Reference portfolio<br />
Collateralised<br />
Deposit<br />
CHF[202.5m]<br />
20% side-by-side retention<br />
6%-100%<br />
(retained)<br />
Mezzanine<br />
tranche<br />
4.5%- 6%<br />
CHF 67.5m<br />
Equity tranche<br />
0%- 4.5%<br />
CHF 202.5m<br />
CS has a direct claim under the insurance policy<br />
CDS<br />
Spread<br />
Protection<br />
payments on<br />
mezzanine tranche<br />
Spread<br />
Protection<br />
payments on<br />
equity tranche<br />
SPV<br />
Premium<br />
Loss insurance<br />
Coupon<br />
CHF 202.5m<br />
issuance price<br />
Insurance policy<br />
CHF 67.5m<br />
Credit linked notes<br />
CHF 202.5m<br />
Syndicate of<br />
insurance<br />
companies<br />
Sold to sole<br />
investor<br />
Note proceeds<br />
Source: Credit Suisse<br />
against the insurers. The transaction is callable at<br />
the bank’s option quarterly from <strong>Oct</strong>ober 2022.<br />
Wilhelm anticipates that insurers will<br />
become increasingly more active in the capital<br />
relief trades space, especially in mezzanine<br />
tranches. “Insurance appetite for risk transfer is<br />
important for banks because under the standardised<br />
approach, banks must be able to hedge<br />
thicker tranches of 15%-20%. Insurers are able<br />
to transact on an unfunded basis and have the<br />
required rating of single-A minus or above.”<br />
Wilhelm suggests the fact that his team is<br />
based in the corporate bank is a significant differentiator<br />
in terms of structuring capital relief<br />
trades. “Often we’re executing risk transfer<br />
transactions for our commercial bank: the<br />
“<br />
INSURANCE APPETITE FOR RISK<br />
TRANSFER IS IMPORTANT FOR BANKS<br />
BECAUSE UNDER THE STANDARDISED<br />
APPROACH, BANKS MUST BE ABLE<br />
TO HEDGE THICKER TRANCHES<br />
”<br />
core difference is that the deals reflect how the<br />
business works and the products being offered.<br />
It’s a bottom-up approach in that we construct<br />
the CDS to fit the credit risk management and<br />
recovery processes of the underlying portfolios,”<br />
he concludes.<br />
HONOURABLE MENTION: BANCA IMI<br />
Banca IMI is the leader in the Italian <strong>CRT</strong><br />
market, demonstrating significant capacity<br />
for innovation, development and execution.<br />
From September 2018, the bank’s Global<br />
Markets Solutions & Financing team acted<br />
as financial advisor and structurer on capital<br />
relief trades referencing €14bn of underlying<br />
portfolios across SME, midcap, large corporate<br />
and residential mortgage assets. Around<br />
€5.5bn of total RWA was released at closing of<br />
these deals, which involved six investors for a<br />
total of circa €850m of junior tranches sold.<br />
As well as placing two synthetic<br />
securitisations for Intesa Sanpaolo, the bank<br />
executed two landmark deals for Banca<br />
Popolare di Bari and UBI Banca’s second<br />
<strong>CRT</strong> during the awards period, with a handful<br />
of transactions in the pipeline.<br />
10 <strong>SCI</strong> Capital Relief Trades <strong>Awards</strong> | <strong>Oct</strong>ober 20<strong>19</strong> www.structuredcreditinvestor.com
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