Capital Relief Trades
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Collateral Chase
JPMC visits CRT space again with trade referencing prime mortgages
JP Morgan Chase is back in the regulatory capital relief market with a trade referencing 4,862 fixed rate prime mortgages almost a year to the day since its last, and first, similar such deal.
The trade, designated Chase Mortgage Reference Notes 2021-CL1, comprises five tranches which transfer mortgage risk through tranched credit default swaps. The pool of mortgages has a total balance .......
News 21 July 2021
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Angel eyes
Angel Oak Capital Advisors' Sam Dunlap talks value in non-agency MBS
Atlanta-based Angel Oak Capital Advisors’ flagship multi-strategy income fund (ANGLX), this year celebrates its 10-year anniversary. The ANGLX is a dedicated structured credit mutual fund, focussing chiefly on US non-agency residential MBS, and was launched after the Financial Crisis of 2007/2008. In the last decade, ANGLX has achieved average annualised returns of 5.66%, as of 6/30/21, and now has approximately $7bn .......
The Structured Credit Interview 20 July 2021
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Six STACRs - UPDATE
Freddie's sixth STACR of 2021 prints inside previous two
Freddie Mac late yesterday (July 19) priced its sixth STACR deal of the year, designated STACR 2021-DNA5, at levels inside recent DNA and HQA trades.
“Freddie Mac’s single family CRT programme continued to attract strong investor demand, with 66 unique investors participating in the STACR 2021-DNA5 transaction, the most since 2017. The B1 tranche drew 39 investors, the most in programme history. .......
News 20 July 2021
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New CLO committee to tackle 'greenwashing'
Sector developments and company hires
New CLO committee to tackle ‘greenwashing’
Market Moves 15 July 2021
The European Leveraged Finance Association (ELFA) has created a new committee to establish industry best practice and serve investors in the CLO market. The CLO Investor Committee will provide a forum for members to identify CLO investors’ requirements, facilitate discussion on general market progress and key issues, and contribute to the regulatory dialogue on .......
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Bridging the gap
Sustainable SRTs to spur ESG securitisation growth?
A steady stream of renewables significant risk transfer deals is expected to come on to the market in the coming months. This CRT Premium Content article investigates whether synthetics can spur growth across the broader ESG securitisation sector.
Synthetic transactions referencing sustainable portfolios are being touted as a straightforward way to overcome the current paucity of suitable ESG assets ......
News Analysis 14 July 2021Premium Content
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Lift off
BMO programme details revealed
Further details have emerged of a synthetic securitisation programme launched by BMO in late December 2020. Dubbed Sauble, the programme will exclusively focus on leveraged loan issuance and is one of only two programmes dedicated to this segment. BMO has already printed two transactions from the Sauble programme - executed in December 2020 and June this year (SCI .......
News 12 July 2021
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Issuance boost
BNP Paribas leads the pack
BNP Paribas has completed a full-stack significant risk transfer transaction backed by French unsecured consumer loans. Dubbed Noria 2021, the securitisation is the first capital relief trade from the programme to be backed by personal, debt consolidation and sales finance loans. The transaction renders the bank the most active SRT originator this year to date.
According to .......
News 9 July 2021
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Softly softly
US banks reluctant to swallow issuance costs of corporate CRTs
The imminent issue of another CRT trade from JP Morgan Chase, its fourth in a year, appears to support the often widely disseminated view that the US market is at lift-off point.
This view also gained ballast with the inaugural US regional bank deal from Texas Capital Bank in March.
However, the US CRT sector remains a thing of bits and pieces .......
News Analysis 8 July 2021
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Fourth gear
JP Morgan takes to the road again for fourth auto CLN in 11 months
JP Morgan Chase is to issue its second auto loan credit linked note (CLN) of the year and its fourth in less than a year as it continues to expand its use of CRT technology.
The eight-tranche offering, designated Chase Auto Credit Linked Notes Series 2021-2, references 189,931 loans for a notional amount of $4.25bn. This is 28,000 more loans than were .......
News 8 July 2021
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Back into the fold
CRT returns to centre stage with FHFA changing of the guard
The appointment of Sandra Thompson as the new acting director of the Federal Housing Finance Authority (FHFA) following the dismissal of Mark Calabria signals a radical change of direction for the agency and one that is likely to mean an enhanced role for credit risk transfer (CRT) mechanisms, agree market sources.
Firstly, the Biden administration has made clear that extending affordable housing .......
News Analysis 25 June 2021
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Riding a wave
BNP Paribas executes capital call SRT
BNP Paribas has finalised a significant risk transfer transaction backed by capital call facilities. Dubbed Wagner 2021-1, the deal is the French lender’s first such transaction and is riding a wave of capital call SRTs.
Banks that have successfully executed such deals over the last 18 months include Credit Agricole, Standard Chartered, Citi and Societe Generale (SCI .......
News 25 June 2021
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US is coming
Stand by for more US regional bank deals, say panellists at IMN conference
Citigroup is currently having discussions with more US regional banks about issuing CRT transactions, following the lead established by the groundbreaking deal from Texas Capital Bank three months ago, it was revealed at the IMN risk transfer conference at the end of last week.
Seeing Texas Capital achieve regulatory appproval constituted a green light to other banks that have been hovering .......
News 23 June 2021
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Calabria exits
FHFA director removed, GSE stocks nosedive; Fannie comeback?
The Biden administration fired Federal Housing Finance Authority (FHFA) director Mark Calabria this afternoon (June 23) after the much-awaited Supreme Court ruling concerning the FHFA was delivered today.
Little time was wasted in getting rid of Calabria, a Trump appointee, after the Court decided that the FHFA was indeed structured unconstitutionally in that the director is insufficiently accountable to the executive, echoing .......
News 23 June 2021
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SRT debut
LBBW prints first capital relief trade
The EIB Group and LBBW have executed a €95m mezzanine guarantee that references a €1.8bn portfolio of SME and midcap loans. The transaction is the German lender’s first capital relief trade and will enable it to provide up to €570m of SME and midcap financing.
According to Rainer Bohn, head of structured finance at LBBW: ‘’The transaction is .......
News 22 June 2021
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Counting Calabria
The Supreme Court decision on the FHFA is eagerly awaited, but immediate impact may be limited
Market-watchers are still waiting with bated breath for the Supreme Court judgement on whether the executive can dismiss Mark Calabria from the Federal Housing Finance Authority (FHFA), but some say that even if the president is given the authority to appoint a new director things might not change all that much.
Firstly, there is a slew of agency appointments yet to be .......
News Analysis 18 June 2021
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SRT upgraded on CE build-up
Sector developments and company hires
SRT upgraded on CE build-up
Market Moves 18 June 2021
Scope Ratings has affirmed its single-A rating on the class C credit-linked notes issued by SSPAIN 2019-A and upgraded the class D to F notes to triple-B plus, triple-B minus and double-B plus respectively from triple-B minus, double-B and double-B minus. The transaction is a significant risk transfer deal, which closed on 28 June 2019 .......
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Pricing flurry
European ABS/MBS market update
Yesterday saw five new European ABS/MBS price in one of the busiest days the primary market has seen this year. However, volumes are still short of pre-Covid levels.
Despite the flurry of deals yesterday, paper throughout the stack saw strong demand. Indeed every offered tranche priced inside initial price talk.
“Across European ABS/MBS, sentiment has been pretty positive for .......
News 18 June 2021