Capital Relief Trades
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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
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CLO team finds new home
Sector developments and company hires
CLO team finds new home
Fidelity International has established a new private credit capability with experienced hires from AnaCap-owned MeDirect Bank. Concurrently, the firm has been awarded the delegation of management for the €400m Grand Harbour CLO 2019-1 transaction. Fidelity says it will continue to engage with MeDirect to explore further strategic opportunities.The private credit team will continue .......
Market Moves 20 January 2021
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Euro CLO equity yields dip
Sector developments and company hires
Euro CLO equity yields dip
Market Moves 18 January 2021
Annualised equity dividend yields across European CLOs averaged 12.9% in 2020, down from 15.1% in 2019 and below the 15% yearly average for the 2014-2020 2.0 era, according to research from Bank of America. However, the research suggests that in light of the pandemic disruption, the dip was moderate and mainly driven by a drop .......
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Capital boost
Greek banks eye CRTs to tackle NPLs
SCI publishes regular in-depth analysis of trends and developments across the capital relief trades market, in addition to our usual news output. In this latest CRT Premium Content article, we explore how Greek banks are utilising synthetic securitisation to generate capital to offload their non-performing loans.
To upgrade your subscription to access all CRT premium content for a year, .......
News Analysis 14 January 2021
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Landmark Pan-Asian ILS launched
Sector developments and company hires
Landmark Pan-Asian ILS launched
Market Moves 11 January 2021
MS Amlin Underwriting has launched Phoenix 1 Re, the first locally issued ILS to provide capacity to a local cedant, solely focused on the Pan-Asia region. The special purpose reinsurance vehicle (SPRV) is domiciled in Singapore and provides US$42m of collateralised capacity to support MS Amlin Syndicate 2001’s Asia reinsurance portfolio through its Singapore-based underwriting platform.
Phoenix .......
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Canadian CRT in the wings
Canadian bank said to ready CRT
A Canadian bank, rumoured to be Scotia, is working on a new CRT trade, say well-placed market sources.
Timing is uncertain, and it is also not clear if the bank has gone out to investors yet.The asset base is believed to be SME or large corporate loans, but, again, this is surmise at the moment.
Scotia Bank has declined to comment.
There is a .......
News 6 January 2021
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CRT consolation
It's a more credit-positive story for CRT than delinquency data indicates
Just before Christmas, Fitch Ratings placed 372 classes of GSE-issued CRT bonds on ratings watch negative, but the agency concedes that many of these securities will do better than this action might suggest.
“We take the view that cure rates will likely be better than we indicate. We’re being a bit conservative with our loss projections but we have a limited amount .......
News 29 December 2020
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Agricultural SRT priced
Lloyds finalises Fontwell II
Lloyds has priced the second transaction from its Fontwell programme. Dubbed Fontwell II Securities 2020, the eight-year synthetic securitisation is backed by a static £1.4bn portfolio of UK agricultural mortgages (SCI 17 December). Despite significant headwinds from the Brexit negotiations, the notes were successfully placed with UK and international investors.
Rated by Fitch and KBRA, the transaction consists of .......
News 24 December 2020
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Trilogue agreement finalised
Excess spread concerns highlighted
The trilogue agreement on the European Commission’s ‘quick fix’ proposals was finalised last week and has received an overall positive reception from capital relief trades players, given that it extends the STS framework to synthetic ABS structures and provides greater standardisation. However, market participants have raised concerns about the proposed treatment of excess spread as a first loss tranche.
News Analysis 24 December 2020
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Divergent regimes?
STS synthetics onshoring awaited
Formal adoption by the EU of the STS synthetics regime will not realistically occur until 1Q21, after the text has been translated into the languages of the various member states - despite the recent trilogue agreement regarding targeted changes to the Securitisation Regulation and CRR (SCI 11 December). As such, the framework will not be onshored as part .......
News Analysis 22 December 2020
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Issuance forecasts lowered on TFSME extension
Sector developments and company hires
Issuance forecasts lowered on TFSME extension
The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.JPMorgan international ABS analysts expect eligible banks and .......
Market Moves 18 December 2020
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