Capital Relief Trades
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Supply story
Helpful technicals boost GSE CRT performance
CRT assets performed well for the second month in succession during August, boosted by supportive technical factors.
The CRTx Aggregate, the flagship index of Mark Fontanilla & Co, rose 3.21% last month and convincingly outperformed most major fixed income assets as inflationary and rates worries ate into prices.
"Higher rates in 2022, led initially by the back end, followed by the belly of the .......
News 2 September 2022
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Not fit for purpose
EIOPA conclusions 'conceptually flawed'
Following its consultation paper in response to the European Commission’s call for advice on the review of the securitisation prudential framework under Solvency 2 (SCI 16 June), EIOPA has affirmed that it “considers that the current framework is fit for purpose.” However, this conclusion has failed to convince the securitisation industry of its validity.
EIOPA’s broad assessment .......
News Analysis 22 August 2022
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L-Street open?
Prior buyers hopeful L-Street will go live again, others sceptical
Fannie Mae is unlikely to re-open the L-Street Securities lender risk-sharing scheme, believe experienced CRT market players.
West coast lender Pennymac was this week reported to be “optimistic” about resuming the programme, which was discontinued in 2020, but others aren’t so sure.
“I personally don’t believe it. Some lenders have been saying it on their earnings call, but I don’t think it is .......
News 19 August 2022
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US CRT return?
US impasse raises corporate and leveraged loan CRT prospects
News Analysis 19 August 2022
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ADB co-financing agreement inked
Sector developments and company hires
ADB co-financing agreement inked
Market Moves 19 August 2022
The Asian Development Bank (ADB) has signed an agreement with five global insurers that will mobilise up to US$1bn of co-financing capacity to support lending to financial institutions in Asia and the Pacific. The Master Framework Program for Financial Institutions will allow ADB to increase its lending to both commercial banks and non-bank financial institutions in .......
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Proportional representation
Scaling factor suggested for capital charges
A new Risk Control paper puts forward a scaling factor as a more risk-sensitive method of calibrating capital formulae under SEC-SA. The objective is to encourage European authorities to rectify the incoherence in securitisation prudential rules that exists between actual risk and capital charges at the mezzanine level, and make the senior tranche floor proportional to pool risk weights .......
News Analysis 19 August 2022
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MBS social index proposed
Sector developments and company hires
Fannie Mae has published a proposed methodology for single-family social disclosure, which aims to provide MBS investors with insights into socially-oriented lending while preserving the confidentiality of borrowers. At the core of the methodology are three key outcomes that the GSE is seeking to achieve with its Single-Family Social Index: prioritise borrowers; allow investors to identify pools with high concentrations of .......
Market Moves 18 August 2022
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BMO busy
Canadian lender in SRT market with third Algonquin of 2022
Bank of Montreal (BMO) is in the market with Algonquin 2022-03, its third securitization from this platform this year.
The deal is expected to close early next week.
The SPV is called Manitoulin USD Ltd, and the Algonquin platform is used to securitize North American senior secured and senior unsecured corporate loans originated by BMO.
Bank of Montreal was unavailable for comment.
The previous Algonquin .......
News 17 August 2022
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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