Capital Relief Trades
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FHFA approves second mortgage pilot
Market updates and sector developments
The FHFA has provided conditional approval for Freddie Mac to engage in a limited pilot to purchase certain single-family closed-end second mortgages (SCI 14 May). The aim of the pilot is to explore whether such a product effectively advances Freddie Mac’s statutory purposes and benefits borrowers, particularly in rural and underserved communities.
The conditional approval of the pilot .......
Market Moves 24 June 2024
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Growing up fast
CEE SRT benefitting from breadth and depth
The Central and Eastern Europe (CEE) SRT market is on the cusp of maturity, benefitting from a clear regulatory framework and increasing issuer and investor interest. Indeed, auto and consumer loan portfolios, for example, are being referenced sooner than is usual for a developing synthetic securitisation market.
“Before Covid, there was some sporadic activity [in the CEE region], .......
News Analysis 24 June 2024
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EIB Group and BBVA partnership
SRT market update
Details have emerged of an EIB Group investment in Spanish bank BBVA’s synthetic securitisation from March 2024. The international financial institution’s involvement in the transaction included a commitment of €76m from the EIB, and €25m from the EIF in an upper mezzanine tranche. Private investors – including a re-insurance company – also invested in other tranches of the securitisation .......
SRT Market Update 21 June 2024
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Embracing diversity
Regulators urged to recognise importance of internal models
Recent proposals regarding the application of the revised Basel 3 standards in the UK and the US favour the standardised approach and include strict restrictions on the use of internal models for calculating regulatory capital. A new paper from PGGM outlines the firm’s concerns that such standardised risk weights oversimplify the diversity in the real world and could disincentivise .......
Talking Point 19 June 2024
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Special situations
Jean-Francois Leclerc and Carlo Perri of Polar Asset Managem...
Q: Can you give us some background to SRT at Polar?
CP: Polar has been investing in SRTs since the mid-2010s and more broadly in structured credit for over 15 years. Historically, we have focused on what we call ‘special situations’ - new issuers, new asset classes, innovative structures and difficult market conditions.Last year we added JF Leclerc .......
The Structured Credit Interview 18 June 2024
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Norway gets SecReg green light
Market updates and sector developments
The EU Securitisation Regulation was incorporated into the EEA Agreement on 12 June and it is widely expected that the rules will come into force in Norway on 1 January 2025. The regulation covers both true sale and synthetic securitisations, as well as rules on STS securitisations.
Legislative rules implementing the Securitisation Regulation in Norwegian law have already .......
Market Moves 14 June 2024
Low supply?
SRT Market Update
Some slight pessimism about SRT deal flow ahead of the summer break is emerging, with one source suggesting that the market is “more silent than expected” at this point in the year.
“It has been a strange six months, where investors have upskilled and come online, but the issuance is yet to increase exponentially. It’s still a good .......
SRT Market Update 14 June 2024
Credit risk sharing: Raising the bar for ESG requirements - video
PGGM Investments' Alien Pauw speaks to SCI about ESG and investing in credit risk sharing
Alien Pauw, director and senior investment manager at PGGM Investments, speaks to SCI's Vincent Nadeau about ESG and investing in credit risk sharing. Pauw discusses the pension fund investor’s relationships with partner banks, how it differentiates CRS transactions from capital relief trades or risk transfers, the role that CRS transactions can play in the context of ESG goals and the climate .......
News Analysis 13 June 2024
Ratings rapture
US reg cap deals seek AAAs, but not so European
Recent risk-sharing CLNs from US banks have been structured to receive the highest possible credit ratings, according to a recent report from Fitch, but this remains a feature unique to the US market, say observers.
All the US transactions have .......
News Analysis 12 June 2024
Latest SRTx fixings released
While the broader macro backdrop (notably geopolitics and ce...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. While last month’s figures highlighted a nuanced shift towards increased risk, the latest data points to an incrementally better market sentiment overall.
SRTx Spread Indexes have tightened across the board, with the US (-14.5%) corporate segment leading the way (-3.9% in Europe). Similarly for .......
News 11 June 2024
CIRT X 4
Market updates and sector developments
Fannie Mae has completed its fourth CIRT deal of 2024, transferring US$284.8m of mortgage risk to 25 insurers and reinsurers.
The loan pool for CIRT 2024-H2 comprises around 34,000 single family mortgages with an unpaid principal balance of approximately US$12.1bn. .......
Market Moves 11 June 2024
Job swaps weekly: Paul Hastings poaches private credit team
People moves and key promotions in securitisation
This week’s round-up of securitisation job swaps sees Paul Hastings poach a team of restructuring, private credit and special situations lawyers from King & Spalding. Elsewhere, Apollo-allied credit solutions provider Cadma Capital Partners continues to beef up its leadership team, while Kirkland & Ellis has lured a structured private credit lawyer to its debt finance group.
Collectively, the .......
Market Moves 7 June 2024
Top of the pops
Private risk sharing volumes hit €1trn
Private risk sharing exceeded €1trn of cumulated volumes across over 500 transactions between 2016 and 2023, according to IACPM’s latest annual synthetic securitisation survey. Last year alone saw around €200bn of new issuance from the 40 banks involved in the survey, with over €600bn of bank loans covered by €55bn of junior tranches.
In the EU, €300bn of .......
News 6 June 2024
ILS opportunity set revealed
Market updates and sector developments
A recent SIGLO Capital Advisors study estimates that the global ILS market is slightly over US$100bn in size and, as such, equates to roughly 20% of overall global risk-bearing reinsurance capital. The private ILS market segment accounts for around 60% of this total, while the public catastrophe bond market segment accounts for the remainder. The top 20 ILS managers were .......
Market Moves 6 June 2024