Capital Relief Trades
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Agency angle
SRT ratings on the rise?
Ratings for GSE credit risk transfer transactions are commonplace, given the US agencies’ desire to appeal to a wide range of investors. However, the volume of both public and private ratings for non-agency capital relief trades appears to be on the rise, as the market prepares for Basel 3 Endgame.
Andreas Wilgen, group credit officer for global structured .......
News 23 May 2024
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Transition finance: Mobilising capital - video
Morningstar Sustainalytics' Begum Gursoy speaks to SCI about...
....... News Analysis 23 May 2024
Lever up
Back leverage for CRT buying on the rise
It is becoming increasingly common for buyers of positions in synthetic capital relief trades to use leverage, say well-placed market sources.
Not only does this procedure enhance returns at a time of diminishing yields, there is a growing number of .......
News 23 May 2024
CAS prices
Market updates and sector developments
Fannie Mae’s US$708m CAS 2024 R04, reported to be in the market earlier this week, closed today.
The US$220.4m A1 tranche, rated A+/A+, was priced to yield SOFR plus 100bp, the US$220.4m M1, rated BBB+/A-, yields SOFR plus 110bp, the .......
Market Moves 23 May 2024
Agile framework
PRA and FCA publish new UK securitisation rules
Last month, the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA) published policy statements and the new securitisation rules. Together, both UK regulators have triggered the countdown to 1 November 2024 when the new UK securitisation framework will come into force.
Structurally, both policy statements thoroughly acknowledge industry feedback (following consultation processes that occurred last year) .......
News Analysis 21 May 2024
New CAS
Market moves and sector developments
Fannie Mae is in the market with a US$707.6m deal, designated CAS 2024-R04 and its fourth CAS deal of the year.
The reference pool consists of 53,682 residential mortgages with an unpaid principal balance of US$18.6bn. All mortgages have an .......
Market Moves 20 May 2024
Freddie fallout
GSE CES buying would gut private label market, says report
Corroborating industry misgivings, Freddie Mac’s proposed purchase of single-family closed end second (CES) mortgages would take a large bite out of the private securitization market, according to a report by KBRA released last week.
If both GSEs initiated CES buying, .......
News 14 May 2024
AI credit analysis project launched
Market updates and sector developments
Stratiphy and Chenavari Financial Group have joined forces to develop custom AI tools aimed at improving the quality of and mitigating the subjectivity within credit analysis. By harnessing the wealth of existing data and employing a range of AI techniques, the project aims to enhance efficiency, pricing capability and precision in forecasting within credit analysis.
Representatives of each .......
Market Moves 13 May 2024
Attraction stations
SRT relative value in focus
The relative value of SRT transactions is attracting a swathe of new as well as former investors to the space, despite the fact that spreads are tightening. Nevertheless, the creation of an active secondary market remains remote.
Several investors have recently returned to the SRT market after long spells away. For instance, Cheyne Capital last month announced it .......
News Analysis 13 May 2024
SRT Market Update
Issuance overview in April
While March precipitated the first significant wave of SRT transactions of the year – notably through seasoned issuers and longstanding programmes – April was, according to investors, quieter on pricing execution.
Reflecting on last month’s pipeline, one SRT investor notes: “I don't think anything – that I’m directly aware of – has closed in April. However what was .......
SRT Market Update 13 May 2024
Job swaps weekly: Western Alliance Trust elevates CLO expert to president and ceo
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Western Alliance Trust Company appointing a new president and ceo with a background in CLOs, levered loans and securities custody. Elsewhere, Aon has hired an executive md of capital advisory, while Eversheds Sutherland has snapped up a Clifford Chance veteran as a capital-markets-focused partner.
Western Alliance Trust has promoted md .......
Market Moves 10 May 2024
European SRT: Shifting prices – video
Alvarez & Marsal's Robert Bradbury speaks to SCI abo...
....... News Analysis 8 May 2024
Efficient frontier
Optimising returns in a post-Basel 4 landscape
With the implementation of Basel 4 (also known as Basel 3.1 or Basel 3 Endgame) looming ever closer[1], banks are yet again facing a shifting regulatory landscape. Against this backdrop, KPMG has put forward a practical solution for advanced banks to proactively manage their capital, notably through the concept of an “efficient frontier.”
The .......
News Analysis 7 May 2024
Latest SRTx fixings released
Following a strong Q1, the April indexes point to rising geo...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. In a shift from last month (SCI 10 April), volatility, liquidity and credit risk indexes all indicate a general shift in risk appetite.
SRTx Spread Indexes have displayed some moderate widening in the SME segment (+1.2% in Europe and +1.1% in the US). .......
News 3 May 2024
Exclusive mandate
RCQ associates point to high demand for CRT specialists
Structured credit head-hunters RCQ Associates (RCQ) have an exclusive mandate to help boost Bank of Montreal’s (BMO) CRT department in Toronto as North American issuers ready themselves for a busy second half of the year.
Edward James, founding director of RCQ, says: “We’re conducting an international search for people looking to make that move in Toronto. .......
News 3 May 2024
Funded vs unfunded divide
SRT Market Update
This week investors and market insiders have highlighted a debate and disagreements regarding the future of unfunded SRT deals.
Commenting on the matter, one SRT investor notes: “The UK regulator doesn’t seem to like unfunded deals – it doesn’t ban them, but it makes them very complex. Doing an unfunded deal requires you to look abroad.”
Another investor .......
SRT Market Update 3 May 2024
Job swaps weekly: Ashurst lures Fried Frank trio
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Ashurst hiring three structured products professionals, including a partner, from Fried Frank. Elsewhere, Capital Four’s US ceo has left the firm after three years, while HFW has appointed two executives from Norton Rose Fulbright to its global shipping and export finance practice.
Ashurst has made three appointments to its US structured products, derivatives and .......
Market Moves 3 May 2024