Capital Relief Trades
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WAB trio
Western Alliance Bank surfaces in CRT market for the third time
Western Alliance Bank (WAB) has sold another capital relief trade – its third since its debut last year – in the shape of 18 classes of mortgage reference notes designated Western Mortgage Reference Notes Series 2022-CL1 and Series 2022-CL2.
The Phoenix, Arizona-based borrower first entered the CRT market in September 2021, becoming only the second US regional to do such a trade. .......
News 4 July 2022
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Better methods?
New definitions for green, social securitisations
ICMA has released new definitions for green and social securitisations, together with additional resources for climate transition finance under its update of the Green Bond Principles (GBP), Social Bond Principles (SBP), Sustainability Bond Guidelines (SBG) and Sustainability-Linked Bond Principles (SLBP). In a Q&A document published in conjunction with the updates, the association further clarifies that synthetic securitisations require additional .......
News 29 June 2022
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CRT v CLOs
Vast 2022 spread widening makes CRT look cheap to CLOs
CRT debt has widened so much this year that it now offers better value than most other structured finance products, including CLOs, note analysts.
Though CRT widened sharply during the early days of the Covid 19 pandemic, that was during a period of legitimate concern about mortgage credit. At the moment, however, the fundamentals are strong and the outlook for mortgage credit .......
News Analysis 29 June 2022
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EIOPA consults on securitisation review
Sector developments and company hires
EIOPA has published a consultation paper in response to the European Commission’s call for advice (CfA) to the joint committee (JC) of the European Supervisory Authorities (ESAs) regarding a review of the securitisation prudential framework (SCI 28 October 2021). Under the CfA, the Commission sought the assistance of the JC to assess the recent performance of the rules on capital .......
Market Moves 16 June 2022
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Fannie's six
GSE prints 6th CAS deal of 2022
Fannie Mae has priced a $754m CAS REMIC, its sixth such transaction of the year to date, designated CAS 2022-R06.
The bookrunners were Bank of America and Nomura. Co-managers are Amherst Pierpoint, Barclays, Citigroup and Credit Suisse.
The reference pool consists of 83,000 single family mortgages with an unpaid principal balance of $25bn. It is a low LTV deal, with ratios of 60.01% .......
News 7 June 2022