Capital Relief Trades
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Innovative SRT finalised
Bank of Ireland executes synthetic RMBS
Bank of Ireland has finalised a €265m synthetic securitisation that references a €1.4bn portfolio of restructured Irish mortgages (SCI 8 September). Dubbed Glen Securities Finance, the transaction is the first capital relief trade to be backed by restructured residential mortgages.
Rated by KBRA and S&P, Glen Securities Finance consists of €66.4m A-/A- rated class A notes, €83.8m .......
News 20 October 2021
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CAS prices
Expected Fannie Mae CAS, the return to CRT, hits the tape
Fannie Mae, as expected, priced its $1.2bn CAS Series 2021-R01 REMIC this afternoon (October 19) via joint bookrunners Bank of America and Nomura.
This represents its first CAS trade since Q1 2020, and it now intends to bring another CAS trade next month - this time referencing high LTV mortgages.
“We are pleased with the execution of CAS 2021-R01, which was met with .......
News 19 October 2021
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CAS calling
Fannie Mae in the market with its first CAS deal since Q1 2020
Fannie Mae is in the market with its 40th CAS transaction, designated Connecticut Avenue Securities (CAS) Series 2021-R01 Notes, and the deal is expected to price imminently.
The arranger, trustee and custodian is Wells Fargo.
This is the first CAS trade Fannie has issued since Q1 2020, after which it took a leave of absence from the market originally because of the Covid .......
News 19 October 2021
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SRT prints
KIMI X prices tight
Santander has finalised a full-stack capital relief trade backed by a €450m portfolio of Finnish auto loans. Dubbed KIMI X, the transaction priced at pre-Covid levels (see SCI’s capital relief trades database).
Rated by S&P and Fitch, the transaction consists of €411.8m AAA/AAA rated class A notes (which priced at one-month Euribor plus 13bp), €17.6m A/AA+ rated class B .......
News 18 October 2021
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Landmark guarantee inked
ThinCats and BBB seal agreement
The British Business Bank and alternative lender ThinCats have finalised a guarantee agreement via the former’s ENABLE Guarantee programme. The guarantee will provide up to £300m of additional funding for UK SMEs and midcaps. The transaction features a warehouse facility provided by Citi and it is the first under the ENABLE programme to facilitate lending to smaller businesses from .......
News Analysis 8 October 2021
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CRT crush
Mayer Brown working with 'many' imminent issuers
Mayer Brown is currently working on “many” US private label capital relief trades which will “come to fruition” in the near future, according to partner Carol Hitselberger. She was speaking yesterday (4 October) at the Structured Finance Association (SFA) annual conference in Las Vegas.
Two US regionals – Texas Capital Bank and Western Alliance Bancorporation – have issued .......
News Analysis 5 October 2021
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CRTs in the air
Another two warehouse loan banks said circling the market
Two unnamed US regional banks are currently in the throes of putting together new capital relief trades and issuance is tentatively expected in Q1 or maybe Q2 2022, say well-placed market sources.
The issuers are looking to securitize warehouse loans, as did debutant Texas Capital Bank (TCBI) in March and then Western Alliance Bancorporation (WAL) at the end of June.
Both .......
News 29 September 2021
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Freddie prints again
The seventh STACR of 2021 and third HQA prices
Freddie Mac has priced its latest STACR deal, designated 2021-HQA3 and worth $1.07bn, via Morgan Stanley and Citi. This is its seventh STACR of the year and, is common, will likely be accompanied by an ACIS transaction.
The trade is the last STACR of Q3, and is the third HQA deal – which signify higher LTVs – of the year.The GSE .......
News 28 September 2021
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Mobilising capital
Call for risk transfer adoption in development finance
Aid agencies, development finance institutions (DFIs) and multilateral development banks (MDBs) must make development finance work harder to achieve impact, according to a new OECD policy briefing. Entitled ‘Making blended finance work for sustainable development: the role of risk transfer mechanisms’, the report calls for the adoption of portfolio approaches that connect large-scale commercial finance supply with small-scale borrower .......
News 28 September 2021
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Fraud charges for Honor Finance pair
Sector developments and company hires
Fraud charges for Honor Finance pair
Market Moves 24 September 2021
The US SEC has announced fraud charges against James Collins and Robert DiMeo, the former principals of Honor Finance, for misleading investors about the subprime automobile loans that backed its US$100m offering. The SEC's complaint, filed in US District Court for the Northern District of Illinois, alleges that the pair were responsible for false .......
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Fannie is back
New capital rules bring Fannie Mae in from the cold
Fannie Mae is back in the market only five days after the Federal Housing Finance Authority (FHFA) released a proposal to significantly alter the capital treatment of CRT debt
The GSE has announced that it will recommence issuance of CAS bonds next month after an absence of 19 months.
CAS issuance will be accompanied by credit insurance risk transfer (CIRT) deals and .......
News 20 September 2021
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Pagaya goes public via SPAC
Sector developments and company hires
Pagaya goes public via SPAC
Fintech securitisation issuer Pagaya Technologies and EJF Acquisition Corp (EJFA), a publicly traded SPAC, have entered into a definitive business combination agreement. As a result of the transaction, which values the combined company at an estimated enterprise value of approximately US$8.5bn at closing, Pagaya will become a publicly listed entity.Founded in 2016 by .......
Market Moves 20 September 2021
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CRT love
FHFA promotes CRT usage and tempts Fannie back into the mix
The Federal Housing Finance Agency (FHFA) hopes to both lure Fannie Mae back to the CRT market and increase access to affordable housing with its proposed amendments to the Enterprise Regulatory Capital Framework (ECRF) unveiled two days ago, suggest sources.
By replacing the fixed leverage buffer with a dynamic leverage buffer, it becomes more likely that risk-based capital will become the binding constraint .......
News Analysis 17 September 2021
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Tight pricing
Santander sets post-Covid record
Santander has completed a €580.8m 14-year full-stack significant risk transfer transaction that references a portfolio of Spanish auto loans. Dubbed SC Spain Auto 2021, the transaction’s first loss tranche achieved the tightest print at that level for a full-stack SRT following the onset of the coronavirus crisis, as pre-pandemic dynamics return to the ABS market (SCI 15 September).
News 17 September 2021
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NPR issued on GSE capital framework
Sector developments and company hires
NPR issued on GSE capital framework
Market Moves 16 September 2021
The FHFA is seeking comment on a notice of proposed rulemaking that would amend the Enterprise Regulatory Capital Framework (ERCF) for Fannie Mae and Freddie Mac. The proposed amendments would refine the prescribed leverage buffer amount (PLBA) and the capital treatment of credit risk transfers (CRT) to better reflect the risks inherent in the .......