Wealth management unit completes synthetic ABS

Credit Suisse’s wealth management arm has finalised a significant risk transfer transaction referencing a US$2bn portfolio of loans collateralised by financial and real assets, such as private jets, yachts and real estate. Dubbed Athena, the capital relief trade is the first issued by the lender’s wealth management division, with the risk transfer achieved via financial guarantees.

The transaction consists of an US$80m funded first loss tranche, which priced at SOFR plus 11.5%, and a US$10m unfunded second loss tranche. The tranches amortise sequentially over an approximately three-year portfolio weighted average life.

Further features include a 2.5-year replenishment period and a time call that can be exercised following the end of the replenishment period. The pool comprises over 100 borrowers.

The transaction is strategic in nature, featuring a multi-issuance vehicle, as the bank seeks to expand this line of business. Hence, further issuance is expected.

The utilisation of synthetic securitisation technology for expanding certain lines of business is a strategy that has been gaining a foothold in the market, as evidenced by this year’s capital call SRTs and transactions issued by LBBW as well as Lloyd’s Syon programme (see SCI’s capital relief trades database).

Stelios Papadopoulos