Capital Relief Trades
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Canadian CRT in the wings
Canadian bank said to ready CRT
A Canadian bank, rumoured to be Scotia, is working on a new CRT trade, say well-placed market sources.
Timing is uncertain, and it is also not clear if the bank has gone out to investors yet.The asset base is believed to be SME or large corporate loans, but, again, this is surmise at the moment.
Scotia Bank has declined to comment.
There is a .......
News 6 January 2021
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CRT consolation
It's a more credit-positive story for CRT than delinquency data indicates
Just before Christmas, Fitch Ratings placed 372 classes of GSE-issued CRT bonds on ratings watch negative, but the agency concedes that many of these securities will do better than this action might suggest.
“We take the view that cure rates will likely be better than we indicate. We’re being a bit conservative with our loss projections but we have a limited amount .......
News 29 December 2020
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Agricultural SRT priced
Lloyds finalises Fontwell II
Lloyds has priced the second transaction from its Fontwell programme. Dubbed Fontwell II Securities 2020, the eight-year synthetic securitisation is backed by a static £1.4bn portfolio of UK agricultural mortgages (SCI 17 December). Despite significant headwinds from the Brexit negotiations, the notes were successfully placed with UK and international investors.
Rated by Fitch and KBRA, the transaction consists of .......
News 24 December 2020
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Trilogue agreement finalised
Excess spread concerns highlighted
The trilogue agreement on the European Commission’s ‘quick fix’ proposals was finalised last week and has received an overall positive reception from capital relief trades players, given that it extends the STS framework to synthetic ABS structures and provides greater standardisation. However, market participants have raised concerns about the proposed treatment of excess spread as a first loss tranche.
News Analysis 24 December 2020
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Divergent regimes?
STS synthetics onshoring awaited
Formal adoption by the EU of the STS synthetics regime will not realistically occur until 1Q21, after the text has been translated into the languages of the various member states - despite the recent trilogue agreement regarding targeted changes to the Securitisation Regulation and CRR (SCI 11 December). As such, the framework will not be onshored as part .......
News Analysis 22 December 2020
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Issuance forecasts lowered on TFSME extension
Sector developments and company hires
Issuance forecasts lowered on TFSME extension
The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.JPMorgan international ABS analysts expect eligible banks and .......
Market Moves 18 December 2020
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Full stack resilience
Volumes down, but not out
Full-stack significant risk transfer deal volume declined this year amid the Covid-19 fallout. Nevertheless, transactions have shown resilience in terms of performance.
Full-stack SRT transactions have a smaller range in terms of size - of between €500m to €1bn – compared to synthetic securitisations. Andrea Modolo, md at UniCredit, says: “Generally, synthetic transactions are around €2bn and this .......
News Analysis 17 December 2020
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Bellemeade 2020-4 comes in at $337m
3-tranche MILN has higher than usual LTV pool
Arch Capital has priced Bellemeade Re 2020-4, which entered marketing last week and will close next week, for a final issue size, in bonds, of $321.39m, confirms the borrower. The joint leads are Bank of America and Credit Suisse.
The mortgage insurance-linked note (MILN), the fourth Bellemeade deal of the year, comprises three tranches. These are, firstly, the $136.264m M-2A, rated Ba3 .......
News 16 December 2020
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STACR 2020-DNA6 prints
All tranches of new STACR print well inside guidance
Freddie Mac’s STACR 2020-DNA6 has now printed for a final deal size of $790m and comprises four tranches, all of which printed appreciably inside price guidance.
The $279m BBB+ M1 tranche pays SOFR plus 90bp compared to price guidance was SOFR plus 95bp-100bp. The weighted average life (WAL) is 2.13 years and credit enhancement (CE) is 200bp.
The $208m BB+ M2 tranches pays .......
News 15 December 2020
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CRT super spreader
Asset manager ArrowMark, a long-time investor in CRT, sees increased US usage
Despite the constraints imposed by Covid 19, this has been a banner year for the CRT market in the US, with headline-making deals from JP Morgan and Goldman Sachs while Citigroup, a longstanding user of the mechanism, has been rumbling along below the radar screen.
Kaelyn Abrell, a partner and portfolio manager at ArrowMark Partners, a $20bn asset manager based in Denver, .......
Talking Point 15 December 2020
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Bellemeade bonanza
The latest Arch trade covers the same insurance vintage as June's 2020-1
Arch Capital is in the market again with its latest mortgage insurance-linked note (MILN), designated Bellemeade 2020-4.The transaction entered marketing yesterday (December 10), is due to be priced next week and should close around December 22.
This is the fourth Bellemeade deal of the year, and the third since Arch re-opened the sector in late June with Bellemeade 2020-1 after the .......
News 11 December 2020
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Finish line
Trilogue agreement finalised
Negotiators from the European Parliament’s Economic and Monetary Affairs Committee (ECON) have reached an agreement with the European Council on targeted changes to the securitisation regulation and the CRR, with respect to the creation of an STS synthetics framework and changes pertaining to non-performing loan securitisations. The final text has not yet been disclosed, although official sources have confirmed .......
News 11 December 2020
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Risk transfer round up-December 9
CRT sector developments and deal news
Santander is believed to have postponed the pricing of Project Spitfire as the lender and the investors were reportedly not able yet to negotiate a pricing for the equity tranche. The synthetic securitisation is allegedly backed by UK auto loans. The transaction would be Santander’s first post-Covid synthetic auto ABS.
....... News 10 December 2020