Capital Relief Trades
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Fannie signs off for 2023
Multi-family CAS and last 2023 CIRT for the GSE
Fannie Mae has executed its third multi-family CAS deal and also its ninth and final CIRT trade of the year.
Placed by structuring manager and lead bookrunner Bank of America, the US$595m MCAS 2023-01, consists of 423 multi-family loans with an unpaid principal balance (UPB) of US$24bn.
The US$154.6bn M7 tranche was priced at SOFR plus 400bp and has 3.5% credit support. The .......
Market Moves 20 November 2023
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BlackRock launches Article 8 ABS fund
Market updates and sector developments
BlackRock has launched the BlackRock Senior Securitised Fund (BSSF), its new flagship securitisation fund, in the existing BlackRock Specialist Strategies Fund range. The firm says that BSSF is designed to meet the strong demand for securitised assets from both institutional and wealth clients seeking to diversify their fixed income exposures. Clients have demonstrated a desire for the diversification benefits, .......
Market Moves 20 November 2023
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Stand by, CRT
CRT boom but adverse regulations loom, say SCI conference speakers
Echoing what is now a familiar refrain, speakers at SCI’s inaugural esoterics conference in New York Last week said that the US CRT market is set to get very big.
“Every bank is now looking at assets that don’t justify a 100% risk weighting,” said one.
The rise of subscription credit facilities means that CRT deals that offer synthetic exposure to this class .......
News 17 November 2023
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CAS and out
Fannie Mae prints 8th and final CAS of 2023
Fannie Mae has printed its US$609m CAS 2023-08, the eighth and final CAS offering of 2023.
Morgan Stanley was the lead structuring manager, and joint bookrunner. Wells Fargo is the co-lead and also joint bookrunner.
There are three tranches to the trade. The A-/A- US$278m M1 has been priced at 30-day SOFR plus 150bp, the BBB/BBB+ US$206m M2 at SOFR plus 250bp and .......
Market Moves 17 November 2023
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Risk transfer round-up - 16 November
The week's CRT developments and deal news
Market news
News 16 November 2023
Freddie Mac last week priced the high-LTV STACR 2023-HQA3 deal, its first CRT transaction since the end of June, introducing a new deal structure. The trade included an A1 class structured as a three-year bullet-like bond, which is pro-rata to the senior retained AH class from day one, but receives all AH cashflows at the three-year mark and .......
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Value covered
LibreMax Capital cio Greg Lippmann and ABS head Kevin Tyler...
Q: How has the evolution of the banking system and regulatory environment over time shaped private credit markets?
The Structured Credit Interview 16 November 2023
GL: Before the global financial crisis (GFC), there were certain aggressive financial products which enabled consumers to become overleveraged, as well as light bank capital charges for investment bank holdings of structured products, which ultimately brought Lehman Brothers to default and spurred .......
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Inflection point?
Dennis Heuer, partner at White & Case, discusses the...
Q: Having historically been secretive and opaque, is the SRT market likely to transition from highly private to increasingly more syndicated deals? Are we witnessing an inflection point?
Talking Point 15 November 2023
A: I wouldn’t describe it as a clear shift but rather something I can foresee happening. Currently the market is divided between small club (often anchored by one lead investor) or bilateral .......
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Ares flies high
Top alt credit investor predicts CRT boom
Ares Management, founded in 1997, is a leading investor in alternative credit products. It has US$395bn under management, of which some US$32bn, or a little under 10%, is invested in alternative credit. It recently closed Pathfinder II, one of its alternative credit funds devoted to illiquid instruments, with US$6.6bn in commitments, measurably more than the US$5bn target. It is also almost .......
The Structured Credit Interview 14 November 2023
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Basel 4 series: SRT game changer - video
Market participants share their views on the extent to which...
In the first instalment of SCI's Basel 4 video series, Alantra md Holger Beyer provides a brief outline of what's new in Basel 4 and SCI's Kenny Wastell asks market participants whether the new regulations will be a game changer for the SRT market.
....... News Analysis 14 November 2023
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Motor Securities 2023-1 prices
Santander completes UK capital relief trade
Santander has executed Motor Securities 2023-1, a synthetic securitisation of UK auto loans.
Similarly to last year, the transactions consists of two placed tranches; a £26.7m class D tranche (with an expected AAA rating from ARC and KBRA) and a £41.2m unrated class E tranche. The D tranche priced at SONIA plus 400bp, while the E tranche landed at .......
News 9 November 2023
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Glass half full?
PRA publishes discussion paper on capital requirements for securitisation transactions
Following consultations by the PRA and FCA, which set out proposed non-prudential rules for the UK securitisation market as part of the broader post–Brexit regulatory framework, the PRA has recently published a discussion paper on certain securitisation prudential regulation issues, all of which are relevant to, and potentially impactful for, synthetic securitisations.
One of the measures .......
News Analysis 9 November 2023
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A global market
Matthew Moniot, co-head of credit risk sharing at Man GPM, answers SCI's questions
Q: Could you tell us about your recent move to Man GPM?
A: We joined Man Group in 2022, from Elanus Capital, the firm I founded back in 2010. By 2020 two things were apparent. Firstly the SRT market had grown significantly and was starting to attract large, institutional managers and secondly, technology, an area of focus at Elanus, would be an .......
The Structured Credit Interview 8 November 2023
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Canadians coming
Scotia back in the CRT market
Scotia Bank is back in the SRT market, only three months after it sold its inaugural deal in this sector, say well-placed sources.
It is selling a synthetic securitization of a US$4bn pool of loans, some 20%-25% of which are non-investment grade, add sources.
It is selling a first loss position of 0%-7.5% and the price range is between 9.25% and 9.50%, .......
News 8 November 2023
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Scope sees ratings drift reverse in Q3
Market updates and sector developments
Ratings drift in structured finance instruments improved in the third quarter of 2023 for the first time in more than a year, Scope Ratings has revealed. The metric measures the ratio between upgrades minus downgrades and the total number of monitored ratings over the past year.
While the agency oversaw just 12% of 294 instruments upgraded against 17% .......
Market Moves 7 November 2023
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SRT Market Update
Project finance transactions in focus
SRT market conditions currently remain stable, with banks and investors looking to close trades before the end of the year, notably in the project finance sector. But pricing is poised to rise and spreads to widen heading into 2024.
Corporate and SME transactions typically dominate the lion’s share of SRT issuance, but activity in the project finance and .......
News 3 November 2023
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GSEs glisten
CAS and STACR look good versus comps as supply dwindles
Agency CRT bonds continued to outperform rates and both high yield and investment grade product in October, making it the seventh month in a row that the sector has recorded positive returns, according to data compiled by industry leader Mark Fontanilla and Co.
The CRTx, the company’s flagship index, returned 0.49% for the month, in the face of considerable market volatility occasioned .......
News 2 November 2023
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Latest SRTx fixings released
Volatility spikes in November index values
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Notably, the volatility indexes have widened considerably across the board, in response to the conflict in the Middle East.
.......
News 2 November 2023
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Depletion analysis
CRT loan mods stress-tested
Excessive loan modifications could result in credit support depletion for US agency credit risk transfer transactions, according to S&P. A scenario analysis undertaken by the rating agency on typical CRT structures suggests that the presence of an associated coupon on the most subordinate B3H class, along with an elevated SOFR mitigates modification losses - particularly under higher interest rate .......
News 2 November 2023
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PRA consults on CRR rules
Market updates and sector developments
The UK PRA has launched a consultation on draft rules to replace firm-facing requirements regarding securitisation under the CRR in 2H24. As such, it has published a discussion paper (DP) that raises certain key issues for feedback, in order to inform its approach - including the use of unfunded credit risk mitigation (CRM) in SRT transactions.
In particular, the .......
Market Moves 1 November 2023
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Growing the core
Overcoming hurdles in unfunded CRT execution
(Re)insurer interest in CRTs is rising, but execution of unfunded transactions remains limited. This Premium Content article outlines the hurdles that still need to be overcome.
(Re)insurer participation in the capital relief trades sector is seeing continued growth, with an estimated 30 unfunded deals anticipated to close by year-end. Nevertheless, unfunded protection providers still only account for ......
News Analysis 30 October 2023Premium Content
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Job swaps weekly: Antares beefs up team after strategy launch
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Antares Capital hiring multiple senior executives, as it closes its debut broadly syndicated loan CLO. Elsewhere, Prosperise Capital has appointed PC2 Capital’s founder as partner and head of CRE following its acquisition of the firm, while S&P Global has promoted three securitisation execs to md in the Americas.
Antares Capital .......
Market Moves 27 October 2023