Capital Relief Trades
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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
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STACR prices
Innovative double M-tranche STACR 2022-DNA1 sets coupons
Freddie Mac has priced STACR 2022-DNA1, reported to be in the market last Friday (January 14), and is expected to settle the trade tomorrow (January 21).
The ground-breaking transaction includes two investment grade tranches - the M-1A and M-1B- rather than one investment grade M tranche. This is due to higher attachment and detachment points than the GSE CRT sector has .......
News 20 January 2022
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SME mission
Alain Godard, EIF chief executive, discusses Europe's post-C...
Q: What are the ways in which the EIF utilises securitisation to further its mission?
A: Central to the EIF’s mandate is, of course, our support to SMEs across Europe. There are naturally many ways or various instruments to achieve that, including securitisation.By facilitating the execution of securitisation transactions, we provide guarantees to banks and financial institutions, allowing .......
The Structured Credit Interview 19 January 2022
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Freddie breaks new ground
Debut 2022 STACR increases detachment points - CRT volume to boom this year
Freddie Mac is in the market with its first CRT deal of the year, designated STACR 2022 DNA-1, and the format of the new trade marks a significant shift from STACRs seen in the past.
The deal, worth $1.35bn, comprises two M tranches rather than the customary one and the investment grade slice of the capital stack has increased.
There is now a A/A- .......
News 14 January 2022
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Fannie off to a flyer
Fannie Mae's inaugural 2022 deal CAS 2022-RO1 prices
Fannie Mae today (11 January 2022) priced its $1.5bn CAS 2022-RO1 reported yesterday to be in the market, the GSE confirms.
The $459.5m M-1, rated A/A-, was priced at SOFR plus 100bp, the $434m M-2, rated BBB/BBB, was priced at SOFR plus 190bp, the $306.4m B-1, rated BB/BB+, was priced at SOFR plus 315bp and the $306m unrated B-2 was priced .......
News 11 January 2022
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Fannie gets 2022 under way
First CAS deal of the year comes in big at $1.5bn
Fannie Mae is in the market with its first CRT deal of 2022 - a $1.5bn four tranche transaction designated CAS 2022-RO1.
The lead managers are Bank of America and Nomura, while co-managers are Barclays, Citi, Morgan Stanley and StoneX.
While this is a large transaction, it is by no means the largest CAS deal in history, say sources. The CAS 2014-C03 was .......
News 10 January 2022
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The year of records
GSE CRT issuance hit peaks in 2021, but 2022 supply set to exceed
The GSE CRT market set records in 2021 and in Q4, according to data produced this week by Mark Fontanilla & Co, the Charlotte, NC-based research and consultancy firm.
Gross benchmark issuance in the CRT market came in at $14.12bn, setting a new high for the sector despite Fannie Mae being absent until September.
“It’s really notable that despite Fannie’s three quarter absence for the .......
News 7 January 2022
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First loss SRT debuts
BBVA executes capital relief trade
BBVA and the EIB group have finalized a €120m financial guarantee that will enable the Spanish lender to channel over €960m into SME lending.
The STS transaction will support working capital and liquidity needs, as well as cover the investment constraints of Spanish SMEs affected by COVID-19. The significant risk transfer trade is also the bank’s inaugural first loss guarantee.
The tranches amortize .......
News 7 January 2022
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Greek wave
Eurobank finalizes SRT
Eurobank has completed a first loss financial guarantee with the EIB group that references a €0.7bn portfolio of Greek SME and large corporate loans. Dubbed Project Wave Two, the transaction is the first capital relief trade of the Greek market to have been structured as a first loss deal under the terms of the European Guarantee Fund (EGF) and is the .......
News 6 January 2022
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Risk transfer return
Santander completes capital relief trade
Santander has finalized a €291.6m synthetic securitisation that references a €5bn portfolio of US, UK, and European undrawn corporate revolvers. Dubbed Bultaco, the transaction is the first confirmed post-covid significant risk transfer trade (SRT) to be backed by such loans.
The tranches amortize on a pro-rata basis over a three-year portfolio weighted average life. The deal was widely syndicated due to good .......
News 4 January 2022
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Angel Oak hits up MILNs
In the third and final in our series of EOY interviews with...
Colin McBurnette handles RMBS allocation for Angel Oak, and in 2021 he expanded the footprint of his portfolio into the mortgage insurance-linked note market for the first time.
Heading into March 2020, Angel Oak had zero dollars in total MI exposure in its flagship Angel Oak Multi Strategy Income Fund (ANGIX), but this year it climbed to a peak of $400m. The fund will continue .......
Talking Point 3 January 2022
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WAB CRT number 2
WAB becomes 1st US regional to do CRT on direct mortgage exposure
Phoenix-based Western Alliance Bank (WAB), a wholly owned subsidiary of Western Alliance Bancorporation (WAL, marked the last days of 2021 with its second CRT trade in four months, designated WAL 2021 CL2.
The $50bn bank first entered the CRT space in September with a trade covering mortgage warehouse loans but this latest transaction transfers risk on direct mortgage exposure.
This makes it the .......
News 3 January 2022
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Decision notice issued against BlueCrest
Sector developments and company hires
Decision notice issued against BlueCrest
The UK FCA has published a decision notice against BlueCrest Capital Management (UK) (BCMUK) setting out its decision to impose a financial penalty of £40.81m on the firm. BCMUK has elected to refer the case directly to the Upper Tribunal, which will determine the appropriate action, if any, for the FCA to take.The .......
Market Moves 24 December 2021
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MCC secures synthetic
Italian SME counter-guarantee deployed
The EIF is set to counter-guarantee a portfolio of 5,652 operations backed by the Guarantee Fund for SMEs, which is managed by Mediocredito Centrale (MCC) on behalf of the Italian Ministry of Economic Development. The total portfolio amount corresponds to €3.2bn of funding, including a direct guarantee from the Fund of €2.8bn.
Under this synthetic securitisation of secured .......
News 23 December 2021
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Double first for the EIB
EGF, first loss guarantee debuts
The EIB Group has closed the first synthetic securitisation backed by the European Guarantee Fund (EGF), an instrument set up by the EIB Group together with EU Member States to mitigate the economic consequences of the Covid pandemic (SCI 27 May 2020). The transaction is also the first whereby the EIB Group has invested in the junior tranche .......
News 22 December 2021
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RFC issued on non-sequential amortisation
Sector developments and company hires
RFC issued on non-sequential amortisation
Market Moves 20 December 2021
The EBA has launched a public consultation on draft regulatory technical standards (RTS) specifying and, where relevant, calibrating the minimum performance-related triggers for STS synthetic securitisations that feature non-sequential amortisation. For the purpose of standardisation, the amended securitisation regulation sets out that sequential amortisation shall be applied to all tranches of STS synthetic securitisations. However, .......
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Greek SRT finalised
Alpha Bank closes capital relief trade
Alpha Bank has completed a €145m synthetic securitisation that references a €1.9bn portfolio of Greek corporate and SME loans. The transaction is the third Greek significant risk transfer trade and the first Greek SRT involving multiple investors.
Indeed, CRC, Anacap and the EBRD all invested in the deal. The EBRD put down €10m of credit protection, but CRC bought the .......
News 20 December 2021
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Spanish private debt fund wins EIF backing
Sector developments and company hires
Spanish private debt fund wins EIF backing
Beka Finance has formed a private debt management unit, dubbed Beka Credit, which it hopes will help consolidate the firm’s growth and leadership position in the alternatives market. The unit is already preparing to launch its first private debt fund, with which it expects to raise around €250m.The Luxembourg-based vehicle will .......
Market Moves 17 December 2021