Capital Relief Trades
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New tender, new CAS
Debut Fannie tender and new CAS in the market
Fannie Mae has announced a debut tender offer for seven old CAS notes, with an original principal balance of $3.22bn, following the example set by Freddie Mac two months ago.
The notes are the CAS 2016-C03, class 2M-2, the CAS 2016-C04, class 1M-2, the CAS 2017-C02, class 2M-2, the CAS 2017-C06, class 1M-2, the CAS 2018-C02, class 2M-2, the CAS 2018-C04, .......
News 15 November 2021
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Hedges eyed
CPMs target post-pandemic concentration risks
The International Association of Credit Portfolio Managers (IACPM) has completed its 2021 Principles and Practices in CPM Survey. Conducted every other year, the survey focuses on five key areas of concern to its members, including the evolution of risk and credit portfolio management. The latest survey shows that CPM functions are increasingly concerned about concentration risks, following last year’s .......
News 12 November 2021
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Back to back STACR
Second STACR in just over a week hits the tape
Freddie Mac today priced its second STACR in a little over a week, designated STACR 2021-DNA7. The $1.27bn trade is expected to settle on November 12, says the borrower.
The joint lead managers are Wells Fargo and Citi, while co-managers are Barclays, CS, JP Morgan, and StoneX.
This is the GSE’s final DNA transaction of 2021, while an addition HQA deal will be .......
News 8 November 2021
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Restricted issuance
STS synthetic volumes to remain constrained
STS synthetic securitisation issuance has been growing since the final framework came into effect earlier in the year (SCI 4 August), as the new regime slashes risk weights on retained tranches, while new structures boost insurer interest by allowing them to execute STS-eligible funded deals. Nevertheless, STS synthetic origination will remain constrained, given the homogeneity and collateral requirements.
News Analysis 4 November 2021
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Freddie and Fannie prosper
Net income/ revenue increased YoY and innovation unveiled in 3Q results
Freddie Mac announced its 3Q results at the end of last week and, alongside healthy YoY growth in net income, several notable firsts were attained in the three month period.
New income was $2.9bn, an increase of 19% YoY, driven by higher revenues and the release of a credit reserve. Net revenues grew by 4% YoY to $5.2bn, as a result of .......
News 2 November 2021
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Freddie's eight
Two STACRs to go before yearend after eventful Q3
Freddie Mac has priced its eighth CRT trade of the year, designated STACR 2021-DNA6, via joint leads Bank of America and Wells Fargo for a face value of $1.48bn.
This is the borrower’s penultimate DNA STACR transaction of 2021. Another HQA deal, which incorporate mortgages with higher LTVs, is also due to be printed before the end of the year, making 10 .......
News 2 November 2021
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Risk-sharing remit
CRT definitions discussed
Most practitioners agree that ‘risk-sharing transactions’ is the most appropriate moniker for capital relief trades, but there remains some divergence around the term. This CRT Premium Content article explores what it means for investors and issuers alike.
The term ‘risk-sharing transactions’ is becoming more common and more widely understood to denote capital relief trades, but divergences remain around what ......
News Analysis 29 October 2021Premium Content
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Rocky road ahead
Output floor implementation questioned
The European Commission has approved the long-awaited CRR3 proposal (SCI 28 October). The latest changes to the capital requirements regulation incorporate the final December 2017 Basel 3 rules into EU law. Nevertheless, banks will likely oppose the Commission’s single stack approach to the implementation of the output floor, with the industry already having called for further adjustments to the .......
News Analysis 29 October 2021
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Disclosure deluge
Proposed quarterly capital disclosures brings GSEs into line with banks
The Federal Housing Finance Authority (FHFA) has proposed new more onerous disclosure requirements for the GSEs.
Under the terms of the new rules, Fannie and Freddie would be obliged to disclose details about regulatory capital on a quarterly basis, as well as information concerning corporate governance and risk management.
As the 38-page Enterprises Disclosure proposal released yesterday (28 October) makes clear, these requirements .......
News 28 October 2021
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New banking rules
Sector developments and company hires
The European Commission has adopted new EU banking rules under CRR 3 and CRD 4, with the aim of ensuring that EU banks become more resilient to potential future economic shocks, while contributing to Europe's recovery from the Covid-19 pandemic and the transition to climate neutrality. The Commission notes that while the overall level of capital .......
Market Moves 28 October 2021
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Risk transfer round-up - 28 October
CRT sector developments and deal news
BCP is believed to be readying a capital relief trade in Poland. The trade would be the second alleged CRT from the jurisdiction, following rumours of a transaction being prepped by mBank (SCI 18 October).
....... News 28 October 2021
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RTS pending
SRT regulatory uncertainty persists
The regulatory technical standards (RTS) pertaining to the EBA’s final report on significant risk transfer that were expected to be published in June have been postponed indefinitely. The RTS focus on the paper’s onerous excess spread provisions, although market participants have been equally concerned about the proposed SRT tests that could be incorporated into the CRR. Indeed, both the .......
News Analysis 22 October 2021
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Innovative SRT finalised
Bank of Ireland executes synthetic RMBS
Bank of Ireland has finalised a €265m synthetic securitisation that references a €1.4bn portfolio of restructured Irish mortgages (SCI 8 September). Dubbed Glen Securities Finance, the transaction is the first capital relief trade to be backed by restructured residential mortgages.
Rated by KBRA and S&P, Glen Securities Finance consists of €66.4m A-/A- rated class A notes, €83.8m .......
News 20 October 2021
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CAS prices
Expected Fannie Mae CAS, the return to CRT, hits the tape
Fannie Mae, as expected, priced its $1.2bn CAS Series 2021-R01 REMIC this afternoon (October 19) via joint bookrunners Bank of America and Nomura.
This represents its first CAS trade since Q1 2020, and it now intends to bring another CAS trade next month - this time referencing high LTV mortgages.
“We are pleased with the execution of CAS 2021-R01, which was met with .......
News 19 October 2021