Capital Relief Trades
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Record fundraising
Chorus exceeds SRT fund targets
Chorus Capital has concluded fundraising for Chorus Capital Credit Fund IV, its latest dedicated significant risk transfer fund. The firm has amassed US$1.4bn of capital commitments, well above the initial target of US$1bn. The fund represents Chorus Capital’s largest commingled investment vehicle to date and one of the largest private credit funds raised in Europe since the start of .......
News Analysis 25 February 2021
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Morgan mulled
Latest JP Morgan CRT trade cited as fresh evidence of US take-off
The new JP Morgan Chase capital relief trade, for which Moody’s released the pre-sale report at the end of last week, continues to attract market comment. While the US CRT market is still some way behind the European CRT market, this latest trade has been cited as further evidence that the US market is at take-off stage.
"This latest deal shows .......
News Analysis 24 February 2021
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Through thick and thin
JPMorgan set to price its new CRT at wafer thin margins
The tightness of the pricing and the thinness of the tranches of JPMorgan’s latest capital relief trade, designated JP Morgan Wealth Management Reference Notes Series 2021-CL1 (SCI 17 February), has raised eyebrows in the marketplace.
According to well-placed sources, the deal’s first loss tranche covers losses between 0% and 0.40%, and price talk is SOFR plus 775bp-825bp. .......
News Analysis 22 February 2021
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Faster Fannie, faster
GSEs grew appreciably in 2020 and can now retain earnings
Fannie Mae’s net worth increased by US$10.7bn last year to reach US$25.3bn, the GSE reported in its 4Q20 results. Under an agreement reached last month, it will be allowed to retain extra earnings in a bid to build up capital.
Hitherto, any excess earnings beyond a designated buffer layer had to be surrendered to the US Treasury to .......
News 17 February 2021
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'Unique' CLN deal readied
Sector developments and company hires
‘Unique’ CLN deal readied
Market Moves 17 February 2021
JPMorgan Chase Bank (JPMCB) is prepping the debut CLN issuance from the JPMorgan Wealth Management Mortgage (JPMWM) platform to transfer credit risk to noteholders through a hypothetical tranched CDS on a reference pool of mortgages. Dubbed JP Morgan Wealth Management Reference Notes Series 2021-CL1, principal payments on the notes are based on the performance of a US$2.36bn .......
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Maritime financing facility agreed
Sector developments and company hires
Maritime financing facility agreed
Market Moves 16 February 2021
Maritime and offshore alternative capital provider Fleetscape Capital has entered into an innovative financing structure with Macquarie that provides a more efficient offer to vessel owners seeking higher leverage situations. The structure utilises securitisation principles and enables Fleetscape to provide sale-and-leaseback or unitranche financing on competitive terms. Coupled with Fleetscape’s transaction execution capabilities and streamlined documentation, the .......
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MBIA litigation settled
Sector developments and company hires
MBIA litigation settled
MBIA Insurance Corporation has entered into an agreement to settle the litigation it filed in 2009 against Credit Suisse and certain affiliated entities (SCI passim). The settlement follows a post-trial decision by the Court awarding MBIA Corp approximately US$604m in damages and, pursuant to the settlement, Credit Suisse has paid MBIA Corp US$600m.This amount materially .......
Market Moves 15 February 2021
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Consumer SRT prints
Santander finalises capital relief trade
Santander has priced Santander Consumo Four, its latest full-stack capital relief trade. Backed by a €1.5bn Spanish consumer loan portfolio, the transaction is significant for its size and can only be matched by a German full-stack deal that the lender completed in October 2020 (SCI 29 January).
Rated by DBRS and Moody’s, the transaction consists of €1.26bn .......
News 15 February 2021
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UK industrial CMBS prepped
Sector developments and company hires
UK industrial CMBS prepped
Bank of America is in the market with a £340.1m CMBS sponsored by Blackstone. Dubbed Taurus 2021-1 UK, the transaction is backed by a two-year floating rate loan (with three one-year extension options) secured by the borrower’s interests in 45 industrial assets across the UK totalling 4.1 million square-foot of floor area.The largest asset .......
Market Moves 10 February 2021
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Special situations strategy launched
Sector developments and company hires
Special situations strategy launched
Bardin Hill Investment Partners has announced the final close of the Bardin Hill Opportunistic Credit Fund and a parallel side-car vehicle, with total commitments of approximately US$600m. The firm’s flagship closed-end strategy received backing from new institutional investors globally, as well as from existing Bardin Hill clients.The strategy identifies and executes on stressed, distressed, .......
Market Moves 9 February 2021
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Constructive outlook
Deborah Shire, global head of structured finance at AXA Inve...
Q: What were the drivers behind restructuring the AXA IM business into two key divisions – the Alts unit and the Core unit?
The Structured Credit Interview 9 February 2021
A: The business was restructured in March last year (SCI 11 March 2020), with the objective of developing two strategic businesses and boosting the commercial momentum behind them. The aim was to create a dedicated salesforce .......
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Muskoka called
BMO exercises call option
Bank of Montreal has decided to call a capital relief trade backed by senior secured and senior unsecured US and Canadian corporate loans. Dubbed Muskoka Series 2017-2, the transaction was finalised in 2017 and was first eligible to be called in September 2020.
Capital relief trades often feature time calls, which allow banks to call their trades following .......
News 9 February 2021
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NPL SRT agreement inked
Sector developments and company hires
NPL SRT agreement inked
Hoist Finance has signed a co-operation agreement with Magnetar Capital that provides for new portfolio investments on a pan-European level and will create a framework for future purchases in the current regulatory environment. The aim is to make securitisation an integral part of a sustainable business model for Hoist and strengthen its purchase capabilities.The .......
Market Moves 8 February 2021
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Credit manager merger
Sector developments and company hires
Credit manager merger
Market Moves 3 February 2021
Cairn Capital Group is set to acquire and merge with Bybrook Capital, a specialist distressed credit manager based in London. The merger will create a diversified alternative credit manager with approximately US$8bn in assets under management across public, private, performing and distressed investment opportunities. Through the transaction, Mediobanca will reaffirm its position as a majority shareholder in .......
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Positive prospects
Secondary CRT market gains traction
The coronavirus crisis has increased the prospects for a more active secondary market for capital relief trades. Nevertheless, relatively small clip sizes and a dearth of syndicated transactions means that it will be some time before activity matches last year’s all-time record.
According to investor data, approximately US$1bn notional in CRT paper was traded last year as the .......
News Analysis 28 January 2021
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2021 STACR debut (update)
Freddie Mac prints first CRT trade of 2021 inside guidance
Freddie Mac yesterday priced STACR 2021-DNA1, its first CRT debt markets transaction of 2021, the GSE has informed SCI. The underwriters were Bank of America and Barclays.
The trade consists of four tranches for a final size of $970m. The 208m M-1, rated BBB/BBB+, printed at SOFR plus 65bp, carries a 2% credit enhancement (CE) and a weighted average life (WAL) of .......
News 27 January 2021