Capital Relief Trades
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Legacy issue
ECJ ruling a boon for Polish CRTs
The European Court of Justice (ECJ) ruled last month that Polish banks must not charge remuneration from customers when legacy Swiss franc mortgage contracts are annulled (SCI 21 November 2016). As a result, banks could face moderately higher losses from affected portfolios and are likely to speed up their provisioning for such mortgages due to borrower lawsuits. The .......
News Analysis 25 July 2023
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Wider still and wider
GSE CRT spreads blow out in 2023
Freddie Mac CRT spreads have mushroomed this year despite the marked diminution of issuance, confirmed the GSE in its quarterly CRT webinar yesterday.
In some cases, spreads are more than 100% wider than 12 months ago. For example, the STACR 2022 DNA1, priced in January 2022, carried spreads of SOFR plus 100bp, plus 185bp, plus 250bp and plus 710bp for the M1, .......
News 19 July 2023
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Capital loss
Fed's scheduled CET1 increase to shred US bank excess capital
The Federal Reserve’s planned 200bp increase to Common Equity Tier One (CET1) requirements will burn through the US$121bn of excess capital the biggest US banks currently enjoy, suggest analysts.
As a result, banks are likely to be parsimonious with shareholder dividends in the next couple of years as they attempt to build up capital, the research report adds. Buybacks are also .......
News Analysis 18 July 2023
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Vertical rebrands
Market updates and sector developments
Vertical Capital Income Fund has appointed Carlyle Global Credit Investment Management as its investment manager and rebranded as Carlyle Credit Income Fund (CCIF). Following the agreement, CCIF will begin focusing on investing in equity and debt tranches of collateralised loan obligations.
The development is part of an agreement that also sees Carlyle building towards a 40% stake in CCIF. In January, the .......
Market Moves 18 July 2023
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Polish wave continues
Bank Millennium adds to CEE SRT flow
Bank Millennium has finalised a funded synthetic securitisation of Polish leasing assets that references a PLN4bn portfolio. Dubbed Project Medea, the transaction is the bank’s third significant risk transfer trade and adds to the Polish SRT deal flow that began last year (SCI passim).
According to sources close to the transaction, the deal features a retained first loss .......
News 13 July 2023
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SRT boom
IACPM data shows record year for synthetic securitisations
The global volume of synthetic securitisation issuance reached its highest ever level in 2022, with both the number of trades and notional pool size far outstripping pre-pandemic levels, according to the latest IACPM survey. The results suggest that 90 significant risk transfer trades were executed last year with an aggregate underlying pool size at inception of €199bn, surpassing previous .......
News 11 July 2023
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Capital rising
Regulators announce new rules coming soon
As expected, US regulators are poised to increase capital requirements for domestic banks imminently, according to a speech yesterday (July 10) made by Michael Barr, vice chair of supervision at the Federal Reserve, at the Bipartisan Policy Center in Washington, DC.
Large banks, described as those with over US$100bn in assets, could be asked to hold an extra 2% of capital .......
News 11 July 2023
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Latest SRTx fixings released
Improved tone continues in July index values
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. The improved tone seen across the sub-indexes in June’s fixings (SCI 2 June) generally appears to have continued, as market conditions stabilise following March’s banking volatility.
Indeed, the overall improved values for the SRTx Liquidity Indexes and SRTx Volatility Indexes suggest that issues across .......
News 7 July 2023
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O Canada
Perfect storm of factors pushes Canadian banks to SRT
The June 20 decision by the Office of the Superintendent of Financial Institutions (OFSI) to raise the Domestic Stability Buffer (DSB) by another 50bp to 3.50% - only six months after it had been increased to 3% - is another reason for Canadian banks to look long and hard at the SRT market.
Bank of Montreal is the doyen of the Canadian .......
News Analysis 30 June 2023
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Fannie Mae prices fifth CAS deal of 2023
Market updates and sector developments
Fannie Mae has priced a $738m four tranche CAS transaction, its fifth of the year and designated CAS 2023-R05. This trade follows its sixth and seven CIRT credit risk reinsurance deals, announced at the end of last week (SCI 26 June).
The $288.2m M1 tranche, rated A-/A- has been priced at 30-day average SOFR plus 190bp, while .......
Market Moves 30 June 2023
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SCI In Conversation: Terry Lanson, Seer Capital
We discuss the hottest topics in securitisation today
In this latest episode of our SCI In Conversation podcast, Terry Lanson, a managing director at Seer Capital and an established luminary in the regulatory capital relief trade market, discusses the prospects for further growth and development of the SRT market in the US. Although this is well-trod ground, Terry believes that, in the wake of the failure of several .......
News 27 June 2023