Capital Relief Trades
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STACR three
Freddie Mac completes Q1 CRT borrowing
Freddie Mac issued a US$1.8bn high LTV STACR transaction late on Friday via Bank of America and Nomura.
The bond, designated STACR 2022-HQA1, is the first high LTV deal that Freddie Mac has sold in 2022. It references loans put on in 3Q21 and completes Freddie’s credit risk transfer business for this quarter.
The GSE plans to .......
News 21 March 2022
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Thoughtful approach
Olivier Renault, md, head of risk sharing strategy at Pember...
Q: You joined Pemberton at the beginning of December to establish the firm’s new risk sharing strategy (SCI 1 December 2021). Can you provide some background to this move?
The Structured Credit Interview 21 March 2022
A: The aim of the risk sharing strategy is to leverage Pemberton’s strengths: we have significant origination and credit capabilities, with eight offices across Europe. Although the strategy is global .......
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Risk transfer round up-21 March
CRT sector developments and deal news
Santander is believed to be readying a synthetic securitisation backed by Portuguese corporate loans. The bank’s last such transaction was finalized last year and was called Castelo (SCI 4 August 2021).
....... News 21 March 2022
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Synthetic RMBS unveiled
Unicredit reveals capital relief trade
Details have been revealed of a significant risk transfer transaction that UniCredit and Fidelis finalized in December 2021. The synthetic securitisation is backed by Italian residential mortgages and is the bank’s first SRT to be backed by such exposures and its first with insurers.
The Italian lender structured the transaction under the ARTS (Asset Risk Transfer Sharing) program. The deal references a €600m .......
News 16 March 2022
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Room to run?
MDB CRT challenges persist
A number of challenges continue to constrain multilateral development bank capital relief trade issuance. This Premium Content article investigates whether these obstacles can be overcome.
The African Development Bank’s (AfDB) landmark Room2Run (R2R) transaction marked the first capital relief trade issued by a multilateral development bank (MDB) and heightened expectations for a boost in such issuance (SCI 20 ......
News Analysis 15 March 2022Premium Content
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Test case
CDS market ponders Russian sanctions
Western sanctions on Russia are putting the CDS market in relatively uncharted territory given the challenges it potentially raises for the running of auctions. Indeed, the latter hampers liquidity and the settlement of CDS contracts. The situation is further complicated by the Kremlin’s decision to allow repayment of bonds in roubles since this could trigger more cumbersome restructuring events.
According to .......
News Analysis 8 March 2022
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War time blues
International turmoil adds to CRT distress
If January was bad for the GSE CRT market, February was a lot worse.
To add to the seemingly deep-seated problems of the US economy, a full-blown war between Russia and the Ukraine broke out in the waning days of the month.
The CRTx Aggregate, flagship index of market-leading consultancy and data provider Mark Fontanilla and Co, lost 100bp in the month. This .......
News 4 March 2022
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Capital trouble
The final ECRF rule fails to remove impediments, say market experts
The FHFA’s failure to incorporate more far-reaching changes to the final Enterprise Regulatory Capital Framework (ERCF) rule, published on February 28, has excited considerable disappointment among some in the credit risk transfer market.
While the final rule of the new capital framework, which was initially unveiled in the summer of 2021, is much better than its predecessor, it still contains flaws .......
News Analysis 4 March 2022
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Transitioning to green
Call for EU GBS to be extended to securitisation
In a new report examining how to foster transparency and credibility across the EU sustainable securitisation market, the EBA suggests that it would be “premature” to establish a dedicated framework for ‘green’ securitisation. Instead, the authority believes that the forthcoming EU Green Bond Standard (GBS) regulation should also apply to securitisation, providing some adjustments are made to the standard.
News Analysis 2 March 2022
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ERCF final rule published
Sector developments and company hires
The FHFA has published a final rule that amends the Enterprise Regulatory Capital Framework (ERCF) by refining the prescribed leverage buffer amount and risk-based capital treatment of retained credit risk transfer (CRT) exposures for Fannie Mae and Freddie Mac. The amendments reflect the feedback the FHFA received last year and aim to advance its mission of ensuring the enterprises are .......
Market Moves 28 February 2022
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Compare and contrast
US auto CLN issuance examined
Santander’s recent auto CRT echoed those previously issued by JPMorgan Chase. This Premium Content article examines the similarities and differences between the transactions.
Last December, Santander returned to the US capital relief trade market with its first synthetic securitisation of auto loans since 2019. The structure of the deal mimicked to a large extent similar CLNs previously brought by ......
News Analysis 23 February 2022Premium Content
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