Capital Relief Trades
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STACR six priced
Sixth low-LTV STACR of 2022 priced
Freddie Mac priced STACR 2002-DNA6, its sixth low LTV STACR of the year, on Friday (September 16) afternoon. The GSE was reported to be in the market last week.
The bookrunners were Bank of America and Morgan Stanley, while the co-managers were Amherst Pierpoint, Cantor, Citigroup and StoneX.
The offering consists of three investment grade tranches - a $388m M1-A priced to .......
News 19 September 2022
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Branching out
Thomas Majewski, managing partner and founder of Eagle Point...
Q: Eagle Point recently announced its expansion into the ABS, MBS and SRT markets, which will be led by Karan Chabba as head of ABS, MBS, SRT and speciality finance (SCI 19 July). What were the motivations behind branching out into these markets?
The Structured Credit Interview 15 September 2022
A: In terms of relative interest, the order we are looking at these is SRT, ABS .......
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Risk transfer round up-8 September
CRT sector developments and deal news
Market Moves 8 September 2022
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Reinsurance roll call
Call for new counterparties to avoid CRT overcapacity and widening prices
The reinsurance market has thus far soaked up the CRT extra volume thrust its way this year, but unless new names enter the space both capacity and pricing will be squeezed, suggest sources.
Around 30 reinsurers regularly absorb GSE product through the ACIS and CIRT programmes, but only 15 or so take risk from mortgage insurers (MIs).
“There’s definitely room for growth. There’s .......
News Analysis 6 September 2022
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Supply story
Helpful technicals boost GSE CRT performance
CRT assets performed well for the second month in succession during August, boosted by supportive technical factors.
The CRTx Aggregate, the flagship index of Mark Fontanilla & Co, rose 3.21% last month and convincingly outperformed most major fixed income assets as inflationary and rates worries ate into prices.
"Higher rates in 2022, led initially by the back end, followed by the belly of the .......
News 2 September 2022
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Not fit for purpose
EIOPA conclusions 'conceptually flawed'
Following its consultation paper in response to the European Commission’s call for advice on the review of the securitisation prudential framework under Solvency 2 (SCI 16 June), EIOPA has affirmed that it “considers that the current framework is fit for purpose.” However, this conclusion has failed to convince the securitisation industry of its validity.
EIOPA’s broad assessment .......
News Analysis 22 August 2022
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L-Street open?
Prior buyers hopeful L-Street will go live again, others sceptical
Fannie Mae is unlikely to re-open the L-Street Securities lender risk-sharing scheme, believe experienced CRT market players.
West coast lender Pennymac was this week reported to be “optimistic” about resuming the programme, which was discontinued in 2020, but others aren’t so sure.
“I personally don’t believe it. Some lenders have been saying it on their earnings call, but I don’t think it is .......
News 19 August 2022
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US CRT return?
US impasse raises corporate and leveraged loan CRT prospects
News Analysis 19 August 2022
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ADB co-financing agreement inked
Sector developments and company hires
ADB co-financing agreement inked
Market Moves 19 August 2022
The Asian Development Bank (ADB) has signed an agreement with five global insurers that will mobilise up to US$1bn of co-financing capacity to support lending to financial institutions in Asia and the Pacific. The Master Framework Program for Financial Institutions will allow ADB to increase its lending to both commercial banks and non-bank financial institutions in .......
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Proportional representation
Scaling factor suggested for capital charges
A new Risk Control paper puts forward a scaling factor as a more risk-sensitive method of calibrating capital formulae under SEC-SA. The objective is to encourage European authorities to rectify the incoherence in securitisation prudential rules that exists between actual risk and capital charges at the mezzanine level, and make the senior tranche floor proportional to pool risk weights .......
News Analysis 19 August 2022
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MBS social index proposed
Sector developments and company hires
Fannie Mae has published a proposed methodology for single-family social disclosure, which aims to provide MBS investors with insights into socially-oriented lending while preserving the confidentiality of borrowers. At the core of the methodology are three key outcomes that the GSE is seeking to achieve with its Single-Family Social Index: prioritise borrowers; allow investors to identify pools with high concentrations of .......
Market Moves 18 August 2022