Capital Relief Trades
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Downgrades for 'lower quality' mall CMBS
Sector developments and company hires
Downgrades for ‘lower quality’ mall CMBS
Market Moves 26 April 2021
Moody's has downgraded 119 principal and interest, 26 interest-only and 11 exchangeable classes from 36 US CMBS and placed eleven P&I, one exchangeable and three IO classes under review for possible downgrade from a further two CMBS. The rating actions affect approximately US$6.2bn of securities and were prompted primarily by increased loss expectations and .......
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Texas template
TCB CRT establishes blueprint for US banks, say SCI speakers
The recent $275m 3-year CLN capital relief trade from Texas Capital Bank (TCB) has established a precedent that all US banks in the US should be scrutinizing, agreed panellists involved in the roundtable discussion of the deal at SCI’s fifth annual risk transfer and synthetics seminar.
The seminar was held April 21-22, and the speakers at the .......
News 23 April 2021
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Uncertainty highlighted
UK banks unclear on project finance slotting
The application of the slotting approach to synthetic securitisations referencing project finance assets remains unclear. The other option for UK banks is ratings, but that approach is accompanied by its own challenges.
According to Steve Gandy, head of private debt mobilisation, notes and structuring at Santander Corporate and Investment Banking: ‘’The PRA has stated publicly that it .......
News Analysis 23 April 2021
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Third 2021 STACR prints
With Fannie Mae still on the sidelines, Freddie corners CRT space
Freddie Mac yesterday (April 19) printed its third STACR deal of the year, designated STACR 2021-DNA3, via joint book-runners Nomura and Barclays.
The $910m trade consisted of four tranches. The $211m M-1 tranche, rated BBB+/A- by KBRA and S&P, was priced to yield SOFR plus 75bp, has a 2% credit enhancement (CE) and a 1.72 year weighted average life (WAL).
The $317m M-2 .......
News 20 April 2021
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RWA boost
ECB reveals TRIM findings
The ECB has published the findings from its targeted review of internal models (TRIM). The exercise has resulted in a 12% RWA boost and confirmed the continued use of internal models, but for a certain number of models, restrictions or modifications in their use was considered appropriate to cover the underlying risk.
The TRIM exercise aims to reduce .......
News Analysis 20 April 2021
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Federal preemption challenges continue
Sector developments and company hires
Federal preemption challenges continue
Market Moves 15 April 2021
Two US courts have heard actions that are of significance to marketplace lenders and their funding sources so far this month, Chapman and Cutler reports. In Maryland, a state regulatory action purporting to require licensing of a sponsor bank and its fintech service providers has been removed to federal court. Conversely, a California federal court has dismissed .......
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Trailing Texas
Banks with large warehouse loan books set to follow TCBI
Regional banks with large warehouse mortgage lending books will be soon following the lead of TCBI in the CRT market, suggest analysts that follow the sector closely.
In particular, First Horizon, headquartered in Memphis, Tennessee, Flagstar Bank, based in Michigan, Texas-based Independent Bank Corporation and Veritex Community Bank, headquartered in Dallas, Texas, have been singled out as especially likely suspects.
“I bet we .......
News 14 April 2021
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Green auto feasibility assessments underway
Sector developments and company hires
Green auto feasibility assessments underway
Market Moves 13 April 2021
CO2 emissions data reporting by auto loan lenders is likely to be crucial to classifying auto loan securitisations as ‘sustainable’ or ‘green’, in order to tap demand from ESG-oriented investors, Fitch says. However, the rating agency notes that discussions with lenders imply that creating the basis for detailed CO2 emissions reporting is challenging, as the .......
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Non-resident Aussie RMBS debuts
Sector developments and company hires
Non-resident Aussie RMBS debuts
Market Moves 8 April 2021
Brighten Home Loan is readying its inaugural RMBS - the A$250m Solaris Trust 2021-1 – which is backed by loans predominantly to non-Australian resident borrowers. S&P notes that the portfolio is not only exposed to macroeconomic events and policies that affect Australia, but also to events and policies that affect the borrowers’ countries of residence. Consequently, .......
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Positive prospects
Margin loan CRTs on the agenda
Credit Suisse is expected to close a capital relief trade referencing Asian margin loans this quarter (SCI 15 March), with further such transactions anticipated amid rising current and future IPO issuance. Although senior management and regulators remain to be convinced, synthetic securitisations appear firmly on the agenda as a tool for managing the capital impact of an increase .......
News Analysis 8 April 2021
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Show me the money
Debut US regional bank CRT yields too thin for traditional buyers
Traditional capital relief trade buyers would not have been attracted to the recent Texas Capital Bank deal, as the yield was insufficiently alluring, say investors.
“Libor plus 400bp is too low; we’re looking at an absolute return of 8%-12%. We’d have to use leverage to get it up to those levels and we don’t do that. This .......
News Analysis 29 March 2021
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Corporate failures
Default study sheds light on governance
Governance failures have been shown to be a contributing factor in a large percentage of corporate defaults, according to a new study. Nevertheless, economic downturns remain the driving factor for most defaults.
According to a new Fitch study, economic downturns are the driving factor for most corporate defaults. However, in the observed period, weaknesses in governance were also .......
News 25 March 2021
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