Capital Relief Trades
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RFC issued on ABS tax policies
Sector developments and company hires
RFC issued on ABS tax policies
Market Moves 1 December 2021
HMRC is seeking feedback on two draft statutory instruments: the Taxation of Securitisation Companies (Amendment) Regulations 2022 and the Securitisation Companies and Qualifying Transformer Vehicles (Exemption from Stamp Duties) Regulations 2022. The UK government consulted on making changes to clarify or reform certain aspects of the taxation of securitisation companies and the stamp duty .......
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Partial placement dropped
Montepio opts for full-stack SRT
Montepio Bank has finalised a full-stack significant risk transfer transaction backed by a €378.3m portfolio of Portuguese consumer and auto loans (see SCI’s Euro ABS/MBS Deal Tracker). Dubbed Pelican Finance Two, the deal is the bank’s first SRT sold to private investors. The lender initially considered a partially placed deal but switched to the typical full-stack form, given .......
News 26 November 2021
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SRT chronicle: part two
In the second of a three-part series on bank risk transfer t...
The SRT market is predominantly European (representing 86% of transactions since 2010), although US banks are accounting for an increasing percentage since 2019 - with JPMorgan now a regular issuer, one transaction by Goldman Sachs in 2020 and a few regional banks entering the market in 2021. Prior to 2019, only Citi and Bank of Montreal were regular issuers in .......
Talking Point 25 November 2021
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Spitfire launched
Santander completes capital relief trade
Santander has finalised a synthetic securitisation of UK auto loans. Dubbed Project Spitfire, the transaction references a £750m portfolio. The deal is the first post-Covid European synthetic auto ABS.
Rated by KBRA and Moody’s, the transaction consists of a £26.5m BBB+/Baa2 rated class C tranche (priced at SONIA plus 300bp) and a £30m unrated class D tranche (SONIA plus 900bp).
News Analysis 24 November 2021
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Upgrades anticipated after CMBS updates
Sector developments and company hires
Moody’s has updated three commercial real estate sector methodologies, following requests for comments on the proposals in July. The rating agency has placed a number of US CMBS tranches on review for upgrade as a result.
One of the updates is in connection with Moody's methodology for rating US and Canadian conduit/fusion CMBS, which replaces the version from September 2020. .......
Market Moves 22 November 2021
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The lessons of history
STACR founder Don Layton talks the early and current days of the market
In the latest Freddie Mac podcast former ceo Don Layton describes the birth of the CRT market and says that following the launch of the first STACR deal in early 2013 he was instructed by the FHFA to share the secret recipe with Fannie Mae.
“Interestingly, we were then told to take our documents and give them to Fannie .......
Talking Point 19 November 2021
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Lower for longer?
SRTs to benefit from inflation
Significant risk transfer transactions are expected to receive a boost from anticipated interest rate rises, following increasing levels of inflation worldwide. Indeed, SRTs are floaters offering positive real returns, along with diversification and access to core bank lending books. However, investors remain cautious over the impact that significant increases in interest rates could have on growth.
If .......
News Analysis 18 November 2021
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GSE scorecard released
Sector developments and company hires
GSE scorecard released
The FHFA has released the 2022 Scorecard for Fannie Mae, Freddie Mac and Common Securitization Solutions (CSS). The purpose of the 2022 Scorecard is to hold the GSEs and CSS accountable for fulfilling their core mission requirements by promoting sustainable and equitable access to affordable housing and operating in a safe and sound manner.
The 2022 Scorecard focuses .......
Market Moves 18 November 2021
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SRT chronicle: part one
In the first of a three-part series on bank risk transfer tr...
The bank balance sheet securitisation market has enjoyed significant growth over the past five years and looks set to continue apace on the back of clearer regulation, an increasing number of banks having acquired the technology and economic incentives for banks to free up risk-weighted assets (RWAs) rather than raising capital. In this series of articles, we will use significant .......
Talking Point 18 November 2021
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New tender, new CAS
Debut Fannie tender and new CAS in the market
Fannie Mae has announced a debut tender offer for seven old CAS notes, with an original principal balance of $3.22bn, following the example set by Freddie Mac two months ago.
The notes are the CAS 2016-C03, class 2M-2, the CAS 2016-C04, class 1M-2, the CAS 2017-C02, class 2M-2, the CAS 2017-C06, class 1M-2, the CAS 2018-C02, class 2M-2, the CAS 2018-C04, .......
News 15 November 2021
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Hedges eyed
CPMs target post-pandemic concentration risks
The International Association of Credit Portfolio Managers (IACPM) has completed its 2021 Principles and Practices in CPM Survey. Conducted every other year, the survey focuses on five key areas of concern to its members, including the evolution of risk and credit portfolio management. The latest survey shows that CPM functions are increasingly concerned about concentration risks, following last year’s .......
News 12 November 2021
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Back to back STACR
Second STACR in just over a week hits the tape
Freddie Mac today priced its second STACR in a little over a week, designated STACR 2021-DNA7. The $1.27bn trade is expected to settle on November 12, says the borrower.
The joint lead managers are Wells Fargo and Citi, while co-managers are Barclays, CS, JP Morgan, and StoneX.
This is the GSE’s final DNA transaction of 2021, while an addition HQA deal will be .......
News 8 November 2021
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Restricted issuance
STS synthetic volumes to remain constrained
STS synthetic securitisation issuance has been growing since the final framework came into effect earlier in the year (SCI 4 August), as the new regime slashes risk weights on retained tranches, while new structures boost insurer interest by allowing them to execute STS-eligible funded deals. Nevertheless, STS synthetic origination will remain constrained, given the homogeneity and collateral requirements.
News Analysis 4 November 2021
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Freddie and Fannie prosper
Net income/ revenue increased YoY and innovation unveiled in 3Q results
Freddie Mac announced its 3Q results at the end of last week and, alongside healthy YoY growth in net income, several notable firsts were attained in the three month period.
New income was $2.9bn, an increase of 19% YoY, driven by higher revenues and the release of a credit reserve. Net revenues grew by 4% YoY to $5.2bn, as a result of .......
News 2 November 2021