Capital Relief Trades
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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
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Freddie's eight
Two STACRs to go before yearend after eventful Q3
Freddie Mac has priced its eighth CRT trade of the year, designated STACR 2021-DNA6, via joint leads Bank of America and Wells Fargo for a face value of $1.48bn.
This is the borrower’s penultimate DNA STACR transaction of 2021. Another HQA deal, which incorporate mortgages with higher LTVs, is also due to be printed before the end of the year, making 10 .......
News 2 November 2021
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Risk-sharing remit
CRT definitions discussed
Most practitioners agree that ‘risk-sharing transactions’ is the most appropriate moniker for capital relief trades, but there remains some divergence around the term. This CRT Premium Content article explores what it means for investors and issuers alike.
The term ‘risk-sharing transactions’ is becoming more common and more widely understood to denote capital relief trades, but divergences remain around what ......
News Analysis 29 October 2021Premium Content
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Rocky road ahead
Output floor implementation questioned
The European Commission has approved the long-awaited CRR3 proposal (SCI 28 October). The latest changes to the capital requirements regulation incorporate the final December 2017 Basel 3 rules into EU law. Nevertheless, banks will likely oppose the Commission’s single stack approach to the implementation of the output floor, with the industry already having called for further adjustments to the .......
News Analysis 29 October 2021
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Disclosure deluge
Proposed quarterly capital disclosures brings GSEs into line with banks
The Federal Housing Finance Authority (FHFA) has proposed new more onerous disclosure requirements for the GSEs.
Under the terms of the new rules, Fannie and Freddie would be obliged to disclose details about regulatory capital on a quarterly basis, as well as information concerning corporate governance and risk management.
As the 38-page Enterprises Disclosure proposal released yesterday (28 October) makes clear, these requirements .......
News 28 October 2021
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New banking rules
Sector developments and company hires
The European Commission has adopted new EU banking rules under CRR 3 and CRD 4, with the aim of ensuring that EU banks become more resilient to potential future economic shocks, while contributing to Europe's recovery from the Covid-19 pandemic and the transition to climate neutrality. The Commission notes that while the overall level of capital .......
Market Moves 28 October 2021
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Risk transfer round-up - 28 October
CRT sector developments and deal news
BCP is believed to be readying a capital relief trade in Poland. The trade would be the second alleged CRT from the jurisdiction, following rumours of a transaction being prepped by mBank (SCI 18 October).
....... News 28 October 2021
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RTS pending
SRT regulatory uncertainty persists
The regulatory technical standards (RTS) pertaining to the EBA’s final report on significant risk transfer that were expected to be published in June have been postponed indefinitely. The RTS focus on the paper’s onerous excess spread provisions, although market participants have been equally concerned about the proposed SRT tests that could be incorporated into the CRR. Indeed, both the .......
News Analysis 22 October 2021
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Innovative SRT finalised
Bank of Ireland executes synthetic RMBS
Bank of Ireland has finalised a €265m synthetic securitisation that references a €1.4bn portfolio of restructured Irish mortgages (SCI 8 September). Dubbed Glen Securities Finance, the transaction is the first capital relief trade to be backed by restructured residential mortgages.
Rated by KBRA and S&P, Glen Securities Finance consists of €66.4m A-/A- rated class A notes, €83.8m .......
News 20 October 2021
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CAS prices
Expected Fannie Mae CAS, the return to CRT, hits the tape
Fannie Mae, as expected, priced its $1.2bn CAS Series 2021-R01 REMIC this afternoon (October 19) via joint bookrunners Bank of America and Nomura.
This represents its first CAS trade since Q1 2020, and it now intends to bring another CAS trade next month - this time referencing high LTV mortgages.
“We are pleased with the execution of CAS 2021-R01, which was met with .......
News 19 October 2021
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CAS calling
Fannie Mae in the market with its first CAS deal since Q1 2020
Fannie Mae is in the market with its 40th CAS transaction, designated Connecticut Avenue Securities (CAS) Series 2021-R01 Notes, and the deal is expected to price imminently.
The arranger, trustee and custodian is Wells Fargo.
This is the first CAS trade Fannie has issued since Q1 2020, after which it took a leave of absence from the market originally because of the Covid .......
News 19 October 2021
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SRT prints
KIMI X prices tight
Santander has finalised a full-stack capital relief trade backed by a €450m portfolio of Finnish auto loans. Dubbed KIMI X, the transaction priced at pre-Covid levels (see SCI’s capital relief trades database).
Rated by S&P and Fitch, the transaction consists of €411.8m AAA/AAA rated class A notes (which priced at one-month Euribor plus 13bp), €17.6m A/AA+ rated class B .......
News 18 October 2021
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Landmark guarantee inked
ThinCats and BBB seal agreement
The British Business Bank and alternative lender ThinCats have finalised a guarantee agreement via the former’s ENABLE Guarantee programme. The guarantee will provide up to £300m of additional funding for UK SMEs and midcaps. The transaction features a warehouse facility provided by Citi and it is the first under the ENABLE programme to facilitate lending to smaller businesses from .......
News Analysis 8 October 2021
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CRT crush
Mayer Brown working with 'many' imminent issuers
Mayer Brown is currently working on “many” US private label capital relief trades which will “come to fruition” in the near future, according to partner Carol Hitselberger. She was speaking yesterday (4 October) at the Structured Finance Association (SFA) annual conference in Las Vegas.
Two US regionals – Texas Capital Bank and Western Alliance Bancorporation – have issued .......
News Analysis 5 October 2021
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CRTs in the air
Another two warehouse loan banks said circling the market
Two unnamed US regional banks are currently in the throes of putting together new capital relief trades and issuance is tentatively expected in Q1 or maybe Q2 2022, say well-placed market sources.
The issuers are looking to securitize warehouse loans, as did debutant Texas Capital Bank (TCBI) in March and then Western Alliance Bancorporation (WAL) at the end of June.
Both .......
News 29 September 2021