Capital Relief Trades
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Capital trouble
The final ECRF rule fails to remove impediments, say market experts
The FHFA’s failure to incorporate more far-reaching changes to the final Enterprise Regulatory Capital Framework (ERCF) rule, published on February 28, has excited considerable disappointment among some in the credit risk transfer market.
While the final rule of the new capital framework, which was initially unveiled in the summer of 2021, is much better than its predecessor, it still contains flaws .......
News Analysis 4 March 2022
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Transitioning to green
Call for EU GBS to be extended to securitisation
In a new report examining how to foster transparency and credibility across the EU sustainable securitisation market, the EBA suggests that it would be “premature” to establish a dedicated framework for ‘green’ securitisation. Instead, the authority believes that the forthcoming EU Green Bond Standard (GBS) regulation should also apply to securitisation, providing some adjustments are made to the standard.
News Analysis 2 March 2022
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ERCF final rule published
Sector developments and company hires
The FHFA has published a final rule that amends the Enterprise Regulatory Capital Framework (ERCF) by refining the prescribed leverage buffer amount and risk-based capital treatment of retained credit risk transfer (CRT) exposures for Fannie Mae and Freddie Mac. The amendments reflect the feedback the FHFA received last year and aim to advance its mission of ensuring the enterprises are .......
Market Moves 28 February 2022
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Compare and contrast
US auto CLN issuance examined
Santander’s recent auto CRT echoed those previously issued by JPMorgan Chase. This Premium Content article examines the similarities and differences between the transactions.
Last December, Santander returned to the US capital relief trade market with its first synthetic securitisation of auto loans since 2019. The structure of the deal mimicked to a large extent similar CLNs previously brought by ......
News Analysis 23 February 2022Premium Content
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Greater progression
Sector developments and company hires
Maples Group has announced the hire of two new structured finance professionals, expanding its offering in its London and Jersey offices. Emma Tighe will join the firm in its London office as vp, having spent more than 14 years working in structured finance and most recently serving as relationship manager on the US Bank CLO team. Tighe has expertise across .......
Market Moves 17 February 2022
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Aligning interests
Greek NPL market tipped for further growth
Activity across the Greek non-performing loan market is gathering pace. New players are expected to enter the sector this year, with a further uptake seen under the HAPS programme.
“There will be further uptake of HAPS – it has worked well to allow people to manage the size of investments that [they] made in the NPL space, so .......
News Analysis 16 February 2022
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Spread surge
GSEs face sharply higher costs for CRT as spreads widen
The last couple of weeks have seen significant spread widening in the GSE CRT market, making the mechanism less friendly to the balance sheets of Freddie Mac and Fannie Mae.
This week, Freddie Mac priced its second DNA STACR of the year at levels considerably wider than STACR 2022-DNA1 priced on January 20.
The most recent M-1A tranche came in at .......
News Analysis 11 February 2022
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Super-size STACR
Biggest ever $1.9bn STACR prices
The largest STACR in the history of the programme, designated STACR 2022-DNA2, has been priced.
Sized at $1.9bn in five tranches, it outweighs any deal since the first STACR printed in the summer of 2013, confirmed the GSE. It will settle on February 11 2022.
Both M1 tranches are in excess of $500m. The $576m M1-A priced at SOFR plus 130bp while the .......
News 9 February 2022
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Tender two
Freddie concludes second STACR tender offer
Freddie Mac concluded its second tender offer of old STACR notes yesterday (February 8) at 5pm EST.
Twelve tranches, all M2s and M3s, from 2015, 2016, 2017 and 2018 had been offered for tender, though the bulk - 10 of the 12 - date from 2016 and 2017.
The most popular tranches for tender were the STACR 2017 DNA M2 and the STACR .......
News 8 February 2022
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Sea sick CRT
GSE CRT investments punished by January blues
The GSE CRT market provided only a very thin positive return in January as inflationary pressures build and the yield curve moves into bear flattening mode.
The CRTx, the flagship index of Charlotte, NC-based consultancy Mark Fontanilla & Co, provided only a 6bp return last month, according to data released at the beginning of this week.
“It was the worse monthly returns for .......
News Analysis 4 February 2022