Capital Relief Trades
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Juicy CRT
Historical wides entice fast money
Spread levels in GSE CRT securities at the bottom end of the capital stack are now so cheap relative to comparable ABS assets that they are attracting attention from hedge fund and private equity money, say analysts.
Five-year B2 notes are currently priced close to 1100bp over SOFR, more than twice the levels at which high yield ABS .......
News Analysis 18 May 2022
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Reinsurance resurgence
The CRT reinsurance market takes larger share of risk
Mortgage reinsurance through the ACIS and CIRT programmes is becoming an increasingly important part of the GSE CRT landscape as the capital markets programmes have suffered volatile market conditions in 2022, note onlookers.
When the GSEs unveiled CRT in 2013, the capital markets platforms (CAS for Fannie and STACR for Freddie) absorbed about 75% of the risk sold to the private sector .......
News Analysis 13 May 2022
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PIMCO push
Kruzel hire suggests new SRT focus
Mark Kruzel has joined PIMCO as a senior vice president in the new capital markets group (PCM), according to an internal announcement seen by SCI.
He will report to Sean Meeker, who leads the credit effort in PCM. Meeker reports to Rick LeBrun, head of alternatives business management, and Jamie Weinstein, head of portfolio management.
Kruzel’s appointment means there are now three members .......
News 11 May 2022
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New CAS, tighter spreads
Fannie prints fifth CAS of 2022
Fannie Mae priced CAS 2022-R05, its fifth CAS of the year, this afternoon, the GSE reported.
The $952m four tranche note references a pool of close to 127,000 single family loans with unpaid principal balance of $38.5bn. This is a high LTV deal, with LTVs between 80% and 97%, which were acquired between May 2021 and July 2021.
The $292.9m M-1 was priced .......
News 3 May 2022
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CAS continuity
Fifth CAS of 2022 in the market
Fannie Mae is in the market with another CAS REMIC deal, designated CAS 2022-R05, according to reports.
Wells Fargo and Bank of America are the lead managers. Barclays, Citi, Morgan Stanley and StoneX are co-managers.
This is the fifth CAS deal of 2022 - a year in which there is expected to be record-breaking CRT issuance. Fannie and Freddie Mac are expected to .......
News 29 April 2022
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Another Algonquin
BMO brings SRT trade referencing NA corporate loans
Bank of Montreal is back in the market with another SRT trade priced off its Algonquin platform, designated Algonquin Series 2022-2.
It is only two weeks since the borrower priced and settled Algonquin Series 2022-1,which was the first transaction through this platform since January 2020.
It is used to securitize mid-sized US and Canadian secured and unsecured corporate loans.
The notes are issued .......
News 28 April 2022
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Dead CIRT
Fannie Mae places 4th CIRT of 2022
Fannie Mae has placed its fourth CIRT deal of 2022, a little over a week after its fourth CAS transaction of the year, the GSE announced today (April 19).
The transaction, designated CIRT 2022-4, transferred $844.8m of mortgage credit risk to 22 insurance and reinsurance firms.
The reference pool for CIRT 2022-4 is comprised by 76,600 mortgages with an unpaid principal balance .......
News 19 April 2022
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Large Algonquin
BMO prices first Algonquin SRT since 2020
Bank of Montreal has priced and settled Algonquin 2022-1, its first deal off this platform since January 2020, say sources close to the deal.
The five tranche SRT trade references a $7.5bn portfolio of mid-sized Canadian and US corporate loans, and as such it is the largest deal of this kind the borrower has ever sold.
The unrated E tranche, with a face value .......
News 14 April 2022
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