Capital Relief Trades
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MILN revival?
Narrowing spreads and diminished volatility to give CPR to MILNs
The mortgage insurance-linked note (MILN) market, which has languished in the doldrums for the best part of 2022, is set to enjoy a pick-up before year-end, say analysts and issuers.
There have been only two MILNs sold this year, for a total of less than $800m, but there could be another $2bn-$4bn in the final four months of this year, they add.
“There has .......
News Analysis 11 August 2022
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Exposure value disclosed
EBA releases long awaited excess spread consultation
News Analysis 11 August 2022
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Regulatory block
US CRT sector is becalmed and regulators are to blame, say sources
US regulators have blocked regulatory capital relief trades at a time when the mechanism would be of particular value to US banks, say well-placed market sources.
So far in 2022, only Western Alliance Bank (WAB) has issued in the CRT market. Issuers that have been regular presence in the market over the past couple of years, pre-eminently Citi and JP Morgan, have .......
News 9 August 2022
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Asset rich WAB loves CRT
Fast-growing Western Alliance Bank at forefront of US CRT
Prodigious asset growth in the last five years has propelled Western Alliance Bank (WAB) into a prominent position in the US CRT market, and though it is not actively shopping a deal at the moment the mechanism is now an established feature of its capital management, say sources close to the lender.
WAB had assets of around $16bn in 2017 but now .......
News 4 August 2022
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Freddie charts fresh waters
Inaugural June ACIS trade, dubbed AFH1, tackles loan warehouse capital charge
The innovatory AFH ACIS reinsurance transaction, unveiled by Freddie Mac in June and designed to reduce capital charges for loan warehouse exposure, has a bright future, says Jeff Shue, senior director, single-family credit risk transfer.
“The transaction was a success by our metrics. It is a great example of the reinsurance market’s ability to execute on a forward basis, and we are likely .......
News 2 August 2022
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TCB test
Chapter 11 filing by TCB debtor puts CRT structure to the test
Texas Capital Bank (TCB) is facing a test of the structure of the CRT it brought in March last year, following the June 30 bankruptcy filing by First Guaranty Mortgage.
The Texas-based mortgage originator was one of the institutions to which TCB lent money through its mortgage warehouse lines, which it then securitized in the debut CRT trade by a US .......
News 29 July 2022
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Risk sharing facility disclosed
Caixabank inks SRT as risk sharing scheme revealed
News 27 July 2022
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Fannie will, Freddie won't
Fannie Mae to place less CAS than predicted, sells another two CIRT deals
While Fannie Mae confided at this week’s SFA conference in Las Vegas that 2022 CAS issuance will be less than was expected at the beginning of the year, Freddie Mac says its forecast is unchanged.
Fannie now anticipates CAS volume this year to be $10bn-$11bn compared to the $13bn-$15bn predicted in January, and will issue another three or four CAS .......
News 22 July 2022
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Capital call CRT
WAB sells subscription CRT to Blackstone, say sources
In addition to its recent CRT deal derived from mortgage assets, Western Alliance Bank (WAB) has been in the market very recently with CRT trades referencing capital call facilities, say well-placed market sources.
The Phoenix-based bank, which is fast becoming the doyen of US regional CRT issuers, has placed least one capital call transaction, add sources.
It is believed to have executed .......
News 22 July 2022
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Golden opportunity?
Basel 4 raises Japanese SRT prospects
Japanese banks have historically been well-capitalised, but implementation of the Basel output floors could change this. Against this backdrop, this Premium Content article investigates the prospects for capital relief trade issuance in the jurisdiction.
Japanese banks are expected to boost their issuance of significant risk transfer transactions as the implementation of the Basel output floors draws near. ......
News Analysis 22 July 2022Premium Content