SRT market update

Morgan Stanley’s latest CRT transaction referencing subscription lines is reportedly about to price even tighter than originally thought.

The spread is now thought to be in the low to mid 400s. As reported previously it’s a funded deal with 0-12.5% first loss position (SCI, 6 August).

It follows a slew of tight subline deals, including Goldman Sachs and at least one other US issuer. Market insiders say spreads have been tightening even more dramatically in response to a combination of factors, including heavy supply, demand imbalance and funds needing to deploy.

There has been a steady drip of interest away from CRT and many funds may go undeployed.

Joe Quiruga