Capital Relief Trades
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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
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Portfolio progress
Business model rethink continues apace
The trend of banks rationalising their business models continues apace across Europe. This Premium Content article explores the role of securitisation in their portfolio optimisation efforts.
The need for banks to fundamentally rethink their business models emerged post-financial crisis and continues still across Europe. Beyond disposals of non-performing assets, this entails focusing on core strategies and markets, .......
News Analysis 25 May 2022
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Fannie prints fifth CIRT of 2022
CIRT and ACIS ride high
Fannie Mae has completed its fifth CIRT transaction of 2022, designated CIRT 2022-5, the GSE announced today (May 20).
The deal transferred $733m of mortgage credit risk to 22 insurers and reinsurers.
There are around 67,700 single family mortgages in the covered loan pool with an unpaid principal balance of close to $21bn. All loans in the pool were high LTV mortgages, with .......
News 20 May 2022
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Climate countdown
Green SRT challenges highlighted
A green synthetic securitisation framework remains lacking, despite the current regulatory focus on ESG. This Premium Content article explores why.
Green lending targets in use-of-proceeds synthetic securitisations are expected to become more of an obligation going forward, but such a change should be accompanied by clear parameters and consequences for failing to satisfy that obligation. Nevertheless, a framework for ......
News Analysis 20 May 2022Premium Content
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Juicy CRT
Historical wides entice fast money
Spread levels in GSE CRT securities at the bottom end of the capital stack are now so cheap relative to comparable ABS assets that they are attracting attention from hedge fund and private equity money, say analysts.
Five-year B2 notes are currently priced close to 1100bp over SOFR, more than twice the levels at which high yield ABS .......
News Analysis 18 May 2022
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Reinsurance resurgence
The CRT reinsurance market takes larger share of risk
Mortgage reinsurance through the ACIS and CIRT programmes is becoming an increasingly important part of the GSE CRT landscape as the capital markets programmes have suffered volatile market conditions in 2022, note onlookers.
When the GSEs unveiled CRT in 2013, the capital markets platforms (CAS for Fannie and STACR for Freddie) absorbed about 75% of the risk sold to the private sector .......
News Analysis 13 May 2022
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PIMCO push
Kruzel hire suggests new SRT focus
Mark Kruzel has joined PIMCO as a senior vice president in the new capital markets group (PCM), according to an internal announcement seen by SCI.
He will report to Sean Meeker, who leads the credit effort in PCM. Meeker reports to Rick LeBrun, head of alternatives business management, and Jamie Weinstein, head of portfolio management.
Kruzel’s appointment means there are now three members .......
News 11 May 2022
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New CAS, tighter spreads
Fannie prints fifth CAS of 2022
Fannie Mae priced CAS 2022-R05, its fifth CAS of the year, this afternoon, the GSE reported.
The $952m four tranche note references a pool of close to 127,000 single family loans with unpaid principal balance of $38.5bn. This is a high LTV deal, with LTVs between 80% and 97%, which were acquired between May 2021 and July 2021.
The $292.9m M-1 was priced .......
News 3 May 2022
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