Capital Relief Trades
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Greater progression
Sector developments and company hires
Maples Group has announced the hire of two new structured finance professionals, expanding its offering in its London and Jersey offices. Emma Tighe will join the firm in its London office as vp, having spent more than 14 years working in structured finance and most recently serving as relationship manager on the US Bank CLO team. Tighe has expertise across .......
Market Moves 17 February 2022
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Aligning interests
Greek NPL market tipped for further growth
Activity across the Greek non-performing loan market is gathering pace. New players are expected to enter the sector this year, with a further uptake seen under the HAPS programme.
“There will be further uptake of HAPS – it has worked well to allow people to manage the size of investments that [they] made in the NPL space, so .......
News Analysis 16 February 2022
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Spread surge
GSEs face sharply higher costs for CRT as spreads widen
The last couple of weeks have seen significant spread widening in the GSE CRT market, making the mechanism less friendly to the balance sheets of Freddie Mac and Fannie Mae.
This week, Freddie Mac priced its second DNA STACR of the year at levels considerably wider than STACR 2022-DNA1 priced on January 20.
The most recent M-1A tranche came in at .......
News Analysis 11 February 2022
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Super-size STACR
Biggest ever $1.9bn STACR prices
The largest STACR in the history of the programme, designated STACR 2022-DNA2, has been priced.
Sized at $1.9bn in five tranches, it outweighs any deal since the first STACR printed in the summer of 2013, confirmed the GSE. It will settle on February 11 2022.
Both M1 tranches are in excess of $500m. The $576m M1-A priced at SOFR plus 130bp while the .......
News 9 February 2022
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Tender two
Freddie concludes second STACR tender offer
Freddie Mac concluded its second tender offer of old STACR notes yesterday (February 8) at 5pm EST.
Twelve tranches, all M2s and M3s, from 2015, 2016, 2017 and 2018 had been offered for tender, though the bulk - 10 of the 12 - date from 2016 and 2017.
The most popular tranches for tender were the STACR 2017 DNA M2 and the STACR .......
News 8 February 2022
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Sea sick CRT
GSE CRT investments punished by January blues
The GSE CRT market provided only a very thin positive return in January as inflationary pressures build and the yield curve moves into bear flattening mode.
The CRTx, the flagship index of Charlotte, NC-based consultancy Mark Fontanilla & Co, provided only a 6bp return last month, according to data released at the beginning of this week.
“It was the worse monthly returns for .......
News Analysis 4 February 2022
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Risk transfer boost
Barclays tops annual SRT issuance
Barclays has finalized twelve significant risk transfer transactions from the Colonnade programme last year which all total US$1.6bn in equity tranche notional. The number of deals renders Barclays the most active SRT originator of 2021 as capital relief trades continue their post-Covid surge.
According to Frank Benhamou, head of funding and capital solutions at Barclays, ‘’SRT transactions help us improve .......
News Analysis 4 February 2022
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Freddie fever
Freddie in the market with 2nd STACR of 2022, 4th GSE CRT deal
The frenetic start to the new year in the GSE market shows no sign of abating as news spread today that Freddie Mac is in the market with a new STACR deal.
The $1.92bn trade, designated STACR DNA 2022-2, is Freddie’s second of 2022 and comes in the same week as Fannie Mae’s CAS 2022-R02. The latter was also Fannie Mae’s .......
News 3 February 2022
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Fannie CAS prices
New high LTV CAS, second CAS of 2022, prints
Fannie Mae has priced the $1.2m CAS 2022-RO2, reported to be in the market on Monday.
The transaction consists of four tranches. The $357.5m 2M-1, rated BBB/BBB, has priced at 1m SOFR plus 120bp. The $378.5m 2M-2, rated BB/BBB-, has priced at 1m SOFR plus 300bp, the $273.4m 2B-1 has priced at 1m SOFR plus 450bp while the unrated/B rated $231.4m .......
News 2 February 2022
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Fannie surge
Second CAS of 2022 in the market
Fannie Mae is in the market with its second CRT trade of the year - a $1.24bn transaction designated CAS 2022-R02.
The deal should price in the next day or two.
Its inaugural 2022 CAS deal printed less than three weeks ago. That was a low LTV deal, but the deal now before investors is a high LTV deal in which all .......
News 31 January 2022
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Trigger concerns
EBA complicates CRT thickness requirements
The EBA’s consultation paper on regulatory technical standards (RTS) regarding the specification of performance-related triggers for STS synthetic securitisations has largely been welcomed by originators (SCI 20 December 2021). However, one backward-looking trigger pertaining to the thickness of the protected tranche has raised eyebrows.
The consultation stipulates backward- and forward-looking performance triggers that switch a synthetic .......
News Analysis 28 January 2022
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Risk limits
US corporate SRT issuance to remain constrained
Issuance of capital relief trades referencing US corporate loans is likely to remain constrained, even though a small pick-up in volume has occurred since 2020 with transactions issued by JPMorgan, Goldman Sachs and HSBC USA. Such deals are expected to be driven less by capital relief requirements and more by considerations pertaining to limit relief, profitability and balance sheet growth.
News Analysis 28 January 2022
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SME uplift
Further details on Banco BPM SRT revealed
Further details have emerged in connection with Banco BPM’s significant risk transfer trade with the EIB Group (SCI 22 January). The €91m first loss guarantee references a static €1.57bn portfolio of Italian SME loans and will enable Banco BPM to channel €1bn into the Italian economy.
The guarantee supports the working capital requirements and investments of Italian .......
News 28 January 2022