Capital Relief Trades
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CAS continuity
Fifth CAS of 2022 in the market
Fannie Mae is in the market with another CAS REMIC deal, designated CAS 2022-R05, according to reports.
Wells Fargo and Bank of America are the lead managers. Barclays, Citi, Morgan Stanley and StoneX are co-managers.
This is the fifth CAS deal of 2022 - a year in which there is expected to be record-breaking CRT issuance. Fannie and Freddie Mac are expected to .......
News 29 April 2022
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Another Algonquin
BMO brings SRT trade referencing NA corporate loans
Bank of Montreal is back in the market with another SRT trade priced off its Algonquin platform, designated Algonquin Series 2022-2.
It is only two weeks since the borrower priced and settled Algonquin Series 2022-1,which was the first transaction through this platform since January 2020.
It is used to securitize mid-sized US and Canadian secured and unsecured corporate loans.
The notes are issued .......
News 28 April 2022
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Dead CIRT
Fannie Mae places 4th CIRT of 2022
Fannie Mae has placed its fourth CIRT deal of 2022, a little over a week after its fourth CAS transaction of the year, the GSE announced today (April 19).
The transaction, designated CIRT 2022-4, transferred $844.8m of mortgage credit risk to 22 insurance and reinsurance firms.
The reference pool for CIRT 2022-4 is comprised by 76,600 mortgages with an unpaid principal balance .......
News 19 April 2022
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Large Algonquin
BMO prices first Algonquin SRT since 2020
Bank of Montreal has priced and settled Algonquin 2022-1, its first deal off this platform since January 2020, say sources close to the deal.
The five tranche SRT trade references a $7.5bn portfolio of mid-sized Canadian and US corporate loans, and as such it is the largest deal of this kind the borrower has ever sold.
The unrated E tranche, with a face value .......
News 14 April 2022
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Legacy issues
STS amendments prove challenging
The amendment of legacy synthetic securitisations into STS compliant trades has proven to be a much more challenging proposition than initially thought. In fact, most STS synthetics are brand new transactions according to STS verification agents, given the auditing and other issues associated with amending legacy deals into STS trades.
According to Michael Osswald, md at STS verification international (SVI), ‘’legacy trades .......
News Analysis 14 April 2022
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Risk transfer round up-11 April
CRT sector developments and deal news
Intesa Sanpaolo is believed to be readying a synthetic securitisation that is backed by residential mortgages. The Italian lender’s last synthetic RMBS was finalized in September 2021 (see SCI’s capital relief trades database).
....... News 11 April 2022
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New CAS, spreads wider
Q2 GSE CRT issuance gets going after bumper Q1
Fannie Mae this week printed a $1.1bn CAS REMIC deal, its fourth CAS offering of 2022.
Issuance by the GSEs, briefly halted by the Russo/Ukrainian war, now appears back on track but yields remain elevated.
The trade, designated CAS 2022 R04, consists of four tranches. The $415m M-1 tranche, rated A-/A-, was priced to yield SOFR plus 200bp, the $346m M-2, rated BBB-/BBB .......
News 8 April 2022
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