Capital Relief Trades
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Risk transfer boost
Barclays tops annual SRT issuance
Barclays has finalized twelve significant risk transfer transactions from the Colonnade programme last year which all total US$1.6bn in equity tranche notional. The number of deals renders Barclays the most active SRT originator of 2021 as capital relief trades continue their post-Covid surge.
According to Frank Benhamou, head of funding and capital solutions at Barclays, ‘’SRT transactions help us improve .......
News Analysis 4 February 2022
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Freddie fever
Freddie in the market with 2nd STACR of 2022, 4th GSE CRT deal
The frenetic start to the new year in the GSE market shows no sign of abating as news spread today that Freddie Mac is in the market with a new STACR deal.
The $1.92bn trade, designated STACR DNA 2022-2, is Freddie’s second of 2022 and comes in the same week as Fannie Mae’s CAS 2022-R02. The latter was also Fannie Mae’s .......
News 3 February 2022
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Fannie CAS prices
New high LTV CAS, second CAS of 2022, prints
Fannie Mae has priced the $1.2m CAS 2022-RO2, reported to be in the market on Monday.
The transaction consists of four tranches. The $357.5m 2M-1, rated BBB/BBB, has priced at 1m SOFR plus 120bp. The $378.5m 2M-2, rated BB/BBB-, has priced at 1m SOFR plus 300bp, the $273.4m 2B-1 has priced at 1m SOFR plus 450bp while the unrated/B rated $231.4m .......
News 2 February 2022
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Fannie surge
Second CAS of 2022 in the market
Fannie Mae is in the market with its second CRT trade of the year - a $1.24bn transaction designated CAS 2022-R02.
The deal should price in the next day or two.
Its inaugural 2022 CAS deal printed less than three weeks ago. That was a low LTV deal, but the deal now before investors is a high LTV deal in which all .......
News 31 January 2022
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Trigger concerns
EBA complicates CRT thickness requirements
The EBA’s consultation paper on regulatory technical standards (RTS) regarding the specification of performance-related triggers for STS synthetic securitisations has largely been welcomed by originators (SCI 20 December 2021). However, one backward-looking trigger pertaining to the thickness of the protected tranche has raised eyebrows.
The consultation stipulates backward- and forward-looking performance triggers that switch a synthetic .......
News Analysis 28 January 2022
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Risk limits
US corporate SRT issuance to remain constrained
Issuance of capital relief trades referencing US corporate loans is likely to remain constrained, even though a small pick-up in volume has occurred since 2020 with transactions issued by JPMorgan, Goldman Sachs and HSBC USA. Such deals are expected to be driven less by capital relief requirements and more by considerations pertaining to limit relief, profitability and balance sheet growth.
News Analysis 28 January 2022
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SME uplift
Further details on Banco BPM SRT revealed
Further details have emerged in connection with Banco BPM’s significant risk transfer trade with the EIB Group (SCI 22 January). The €91m first loss guarantee references a static €1.57bn portfolio of Italian SME loans and will enable Banco BPM to channel €1bn into the Italian economy.
The guarantee supports the working capital requirements and investments of Italian .......
News 28 January 2022
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STACR prices
Innovative double M-tranche STACR 2022-DNA1 sets coupons
Freddie Mac has priced STACR 2022-DNA1, reported to be in the market last Friday (January 14), and is expected to settle the trade tomorrow (January 21).
The ground-breaking transaction includes two investment grade tranches - the M-1A and M-1B- rather than one investment grade M tranche. This is due to higher attachment and detachment points than the GSE CRT sector has .......
News 20 January 2022
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SME mission
Alain Godard, EIF chief executive, discusses Europe's post-C...
Q: What are the ways in which the EIF utilises securitisation to further its mission?
A: Central to the EIF’s mandate is, of course, our support to SMEs across Europe. There are naturally many ways or various instruments to achieve that, including securitisation.By facilitating the execution of securitisation transactions, we provide guarantees to banks and financial institutions, allowing .......
The Structured Credit Interview 19 January 2022
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Freddie breaks new ground
Debut 2022 STACR increases detachment points - CRT volume to boom this year
Freddie Mac is in the market with its first CRT deal of the year, designated STACR 2022 DNA-1, and the format of the new trade marks a significant shift from STACRs seen in the past.
The deal, worth $1.35bn, comprises two M tranches rather than the customary one and the investment grade slice of the capital stack has increased.
There is now a A/A- .......
News 14 January 2022
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Fannie off to a flyer
Fannie Mae's inaugural 2022 deal CAS 2022-RO1 prices
Fannie Mae today (11 January 2022) priced its $1.5bn CAS 2022-RO1 reported yesterday to be in the market, the GSE confirms.
The $459.5m M-1, rated A/A-, was priced at SOFR plus 100bp, the $434m M-2, rated BBB/BBB, was priced at SOFR plus 190bp, the $306.4m B-1, rated BB/BB+, was priced at SOFR plus 315bp and the $306m unrated B-2 was priced .......
News 11 January 2022
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Fannie gets 2022 under way
First CAS deal of the year comes in big at $1.5bn
Fannie Mae is in the market with its first CRT deal of 2022 - a $1.5bn four tranche transaction designated CAS 2022-RO1.
The lead managers are Bank of America and Nomura, while co-managers are Barclays, Citi, Morgan Stanley and StoneX.
While this is a large transaction, it is by no means the largest CAS deal in history, say sources. The CAS 2014-C03 was .......
News 10 January 2022
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The year of records
GSE CRT issuance hit peaks in 2021, but 2022 supply set to exceed
The GSE CRT market set records in 2021 and in Q4, according to data produced this week by Mark Fontanilla & Co, the Charlotte, NC-based research and consultancy firm.
Gross benchmark issuance in the CRT market came in at $14.12bn, setting a new high for the sector despite Fannie Mae being absent until September.
“It’s really notable that despite Fannie’s three quarter absence for the .......
News 7 January 2022
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First loss SRT debuts
BBVA executes capital relief trade
BBVA and the EIB group have finalized a €120m financial guarantee that will enable the Spanish lender to channel over €960m into SME lending.
The STS transaction will support working capital and liquidity needs, as well as cover the investment constraints of Spanish SMEs affected by COVID-19. The significant risk transfer trade is also the bank’s inaugural first loss guarantee.
The tranches amortize .......
News 7 January 2022
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Greek wave
Eurobank finalizes SRT
Eurobank has completed a first loss financial guarantee with the EIB group that references a €0.7bn portfolio of Greek SME and large corporate loans. Dubbed Project Wave Two, the transaction is the first capital relief trade of the Greek market to have been structured as a first loss deal under the terms of the European Guarantee Fund (EGF) and is the .......
News 6 January 2022
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Risk transfer return
Santander completes capital relief trade
Santander has finalized a €291.6m synthetic securitisation that references a €5bn portfolio of US, UK, and European undrawn corporate revolvers. Dubbed Bultaco, the transaction is the first confirmed post-covid significant risk transfer trade (SRT) to be backed by such loans.
The tranches amortize on a pro-rata basis over a three-year portfolio weighted average life. The deal was widely syndicated due to good .......
News 4 January 2022