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SCI CRT Awards 2020

Category: Capital Relief Trades ABS

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Issuer of the Year: Intesa Sanpaolo

Intesa Sanpaolo has won the Issuer of the Year category at SCI’s Capital Relief Trades Awards for drastically expanding both its investor base and the asset classes it securitises via significant risk transfer transactions. Key to this success has been the holistic approach of the active credit portfolio steering (ACPS) unit.

Intesa Sanpaolo began its famous GARC programme in early 2014 as an SME programme and progressively expanded in terms of both investor base and range of asset classes and structures, with IMI C&IB - Global Markets Solutions & Financing acting as arranger and placement agent.

Indeed, over the last year the Italian lender finalised an unfunded mortgage transaction with AmTrust International, an SME and a corporate deal, as well as four SME transactions with the Italian guarantee fund. Innovation continued into the post-Covid period and in June the bank closed a capital relief trade backed by leasing assets, as well as another SME trade with the EIF in September.

According to Elisabetta Bernardini, head of credit portfolio management at Intesa Sanpaolo: “We started planning for an expansion of the asset classes we cover well before the pandemic, but the crisis led us to revisit our action plan by focusing on selected projects and taking into consideration the new issues that emerged. We acknowledged that the Covid pandemic created uncertainty across the market regarding the evolution of credit portfolios, following the expiration of payment holidays and other government programmes.”

As with other banks, Intesa enhanced the credit quality of underlying portfolios by excluding Covid-affected industries and higher risk borrowers. Payment holidays were permitted, since Italian moratoria have a broad enough scope that is not specifically aimed at struggling borrowers. Furthermore, extensive due diligence has been performed with the involvement of the CFO, CRO, CLO and other relevant business units, while the strong track record of the GARC programme has visibly paid off.

However, key to the bank’s dramatic expansion has been the active credit portfolio steering unit within the CFO area. The unit was one of the leading initiatives of the 2018-2021 industrial plan and it was created for credit portfolio management purposes.

The ACPS mandate is to actively manage credit portfolios by supporting units to achieve a better risk/return profile through more targeted credit origination and a more dynamic management of both performing and non-performing loans. ACPS activities are carried out holistically across broad cross-functional teams, from CFO to CRO, business and credit officers, with direct access to all key decision-makers.

Biagio Giacalone, head of the active credit portfolio steering unit, comments: “In recent years, due to more conservative regulatory requirements, rising margin pressures and a need for a more forward-looking approach to credit risk, the role of credit portfolio management has acquired a broader scope. The ACPS unit was set up within the CFO area to address these changing needs and requirements. The purpose is clear: enabling the achievement of a target credit portfolio, which is sustainable and coheres with the risk appetite of the Group.”

ACPS is still evolving its role, by focusing on each phase of the credit value chain, such as steering credit portfolio at origination, pricing adjustments for more attractive sectors, dynamically managing the performing portfolio, executing credit risk transfer transactions to optimise economic and regulatory capital for supporting new lending and identifying strategic NPL de-risking initiatives and partnerships with specialised investors.

Giacalone concludes: “This holistic approach can contribute to an active reshaping of the portfolio through risk-sharing and steering, enabling more credit flows at the business level for various asset classes and a larger base of private and public investors.”

Honourable mention: Santander
Santander remains a leader in the significant risk transfer market, in terms of transaction volumes, diversity and structural innovation. The bank has completed 12 capital relief trades and broken new ground on several fronts during the awards period.

Most notably, it became the first issuer to syndicate an unfunded synthetic securitisation across multiple re/insurers. Providing first-loss protection on a portfolio of revolving credit facilities, the transaction features a novel portfolio referencing mechanism.

For complete coverage of SCI’s 2020 CRT Awards, click here.