Capital Relief Trades
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Reporting template RTS published
Sector developments and company hires
Reporting template RTS published
Market Moves 4 September 2020
Seven Commission Delegated and Implementing Regulations comprising the technical standards in connection with the details to be made available by the originator, sponsor and SSPE in a securitisation transaction subject to the Securitisation Regulation have been published in the EU Official Journal. Publication means that the reporting templates RTS will be effective on 23 September, after .......
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Risk transfer round-up - 4 September
CRT sector developments and deal news
Intesa Sanpaolo is rumoured to be readying a corporate capital relief trade from its GARC programme for 2H20. The Italian lender closed its first post-Covid significant risk transfer deal and last GARC transaction in June. The latter deal referenced leasing assets (see SCI’s capital relief trades database).
....... News 4 September 2020
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View from an investor Part II
Last week DuPont Capital's Karlis Ulmanis told us where he s...
Things not to like
CRT
Three GSE CRT bonds have been issued since early March, when the lockdown began. These were the most recent $1.088bn (upsized from $1.038bn) STACR DNA4 priced by Freddie on August 18, the $1.1bn STACR 2020-DNA3 printed at the beginning of July which re-opened the market and the $835m STACR 2020-HQA3 printed at the end of .......
Talking Point 1 September 2020
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EGF expression of interest launched
Sector developments and company hires
EGF expression of interest launched
Market Moves 1 September 2020
The EIF has issued a call for expression of interest in participating in its Pan-European Guarantee Fund (EGF), which forms part of the overall package of measures agreed by the Eurogroup on 9 April and further endorsed by the European Council on 23 April (SCI passim). The EGF has a target size of €25bn and .......
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Seeking stability
Stimulus complicating SME SRT analysis
Coronavirus-related stimulus schemes are complicating the analysis of European SME significant risk transfer deals. While a small number of such transactions are being discussed with investors, the EIF’s involvement is anticipated for the vast majority of them – given that its mandate is to support the sector – until further clarity emerges regarding SME performance.
Prior to the .......
News Analysis 1 September 2020
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Risk transfer round-up - 28 August
CRT sector developments and deal news
BNP Paribas is rumoured to be prepping its fifth corporate capital relief trade from the Resonance programme, which is expected to close in 2H20. The French lender closed another corporate deal in September 2019 that is believed to be Resonance Four and inked Resonance Three in December 2018 (see SCI’s capital relief trades database).
....... News 28 August 2020
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CECL eligibility expanded
Sector developments and company hires
CECL eligibility expanded
Market Moves 28 August 2020
The FDIC, OCC and the US Fed have finalised a rule that allows institutions that adopt the current expected credit losses (CECL) accounting standard in 2020 to mitigate the estimated effects of CECL on regulatory capital for two years (SCI 31 March). Under the rule, eligible institutions have the option to mitigate the estimated capital effects .......
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Auto SRT prepped
Santander readies capital relief trade
Santander is marketing a full-stack auto significant risk transfer trade that references a €520m static portfolio of 49,547 Spanish secured auto loans. Dubbed Santander Consumer Spain Auto 2020-1, the transaction differs from previous auto SRTs due to more conservative levels of excess spread.
Rated by Scope and Moody’s, the transaction consists of €450m AA/Aa1 rated class A notes, .......
News 28 August 2020
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View from an investor
SCI hears from an US MBS buyer about what he likes in the market... and next week what he doesn't
Karlis R. Ulmanis, CFA, is a portfolio manager at DuPont Capital. In these waning days of summer, he gave an hour of his time last week to sit down (virtually, of course…) with SCI to discuss where he sees value in the current somewhat fractured and definitely jittery MBS market, agency and non-agency. We publish the first half of .......
Talking Point 25 August 2020
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Car capital relief
JPM Chase tests the auto loan waters with new CRT deal
Investors and analysts have given a cautious welcome to the latest JP Morgan CRT deal - a $1.8bn auto loan securitization, which also marks the bank’s return to the auto loan sector market after an absence of 14 years.
The deal is being marketed at the moment. The loan pool consists of a prime retail auto loan portfolio consisting of 82,824 reference .......
News 21 August 2020
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Risk transfer round-up - 20 August
CRT sector developments and deal news
Banca Carige is rumoured to be readying a capital relief trade referencing corporate loans for 2H20. The transaction would be the Italian lender’s first significant risk transfer deal (see SCI’s capital relief trades database).
....... News 20 August 2020
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SSRT trio revealed
Sector developments and company hires
SSRT trio revealed
Market Moves 19 August 2020
S&P has published its ratings and research on three previously privately-rated risk transfer RMBS issued by Freddie Mac, at the issuer's request. The trio of deals are STACR Single-Seller Risk Transfer (SSRT) Series 2019-CS02 (sized at US$245.2m and closed in March 2019), 2020-CS01 (US$578.36m; April) and 2020-CS02 (US$190.78m; July). The transactions transfer a portion of the risk .......
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Freddie trifecta
Freddie prints its third STACR since lockdown, while Fannie remains on sidelines
Freddie Mac yesterday priced another STACR deal, its third since lockdown conditions began in early March. Its 2020-DNA4 comprised $1.088bn of M1, M2, B1 and B2 tranches, and, like the previous two offerings there will be an associated ACIS insurance policy to transfer additional risk.
The $295m M1 tranche carries a 3% coupon with a weighted average life (WAL) of 2.13 years, .......
News 19 August 2020
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Maximum impact
Full deduction SRTs stage comeback
Supranational and private capital relief trade structures have had to be adjusted following the coronavirus fallout to address the impact of payment holidays on deal performance, according to SCI’s latest CRT Case Study. Both supranational and private investors have treated the issue with equal caution. However, full deduction significant risk transfer deals originated by standardised banks and solely backed .......
News Analysis 17 August 2020
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'Flip clause' complaint dismissed
Sector developments and company hires
‘Flip clause’ complaint dismissed
Market Moves 14 August 2020
The US Court of Appeals for the Second Circuit has ruled that investors should keep roughly US$1bn received from various Lehman Brothers affiliates after the bank’s 2008 bankruptcy filing triggered the liquidation of dozens of CDOs. The case centres on the Bankruptcy Code’s treatment of ‘flip clauses’ in a securitisation waterfall, which reprioritise cashflow upon bankruptcy and .......
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Hertz review reversed
Sector developments and company hires
Hertz review reversed
Market Moves 12 August 2020
Moody's has changed the direction of review for 11 tranches of rental car ABS issued by Hertz Vehicle Financing II (HVF II) to under review for upgrade from under review for downgrade. The action is prompted by: the recent court-approved order requiring Hertz to make lease payments and remit required vehicle sales proceeds (SCI 31 July), .......
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Freddie STACRs them up
New STACR deal was upsized and printed at the tight end across the capital structure
Freddie Mac has confirmed that the B1 and B2 tranches of its $835m STACR REMIC 2020-HQA3 deal, printed at the end of the week of July 20-24, were upsized from $150m to $225m and $75m to $100m respectively.
Each tranche of the four-tranche offering, underwritten by Citi and BNP Paribas, also priced at the tight end of guidance. In addition, .......
News 4 August 2020
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CRT conveyor belt
The second CRT deal from JPM marks a quickening of pace in the bank market
JPM’s second CRT deal in the last nine months, priced two weeks ago, is expected to attain the necessary regulatory approval, while other deals and, indeed, other issuers should follow the same path, say analysts.
The Chase Mortgage Reference Notes 2020-CL1 transferred risk on a $2.002bn reference pool of 8,683 prime quality residential mortgage loans.
“I would definitely expect them to .......
News Analysis 31 July 2020
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Risk transfer round-up - 31 July
CRT sector developments and deal news
Caixabank is rumoured to be readying a capital relief trade backed by consumer loans for 2H20. The lender’s last significant risk transfer trade was finalised in May 2019 and was called Gaudi Synthetic Three (see SCI’s capital relief trades database).
....... News 31 July 2020
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Recovery vehicle
European securitisation 'fixes' on the cards?
The securitisation-related measures included in the European Commission’s capital markets recovery package have been welcomed for, among other things, removing the uncertainty regarding the EBA’s reluctance to recommend recalibrating the CRR for STS synthetics (SCI 24 July). However, the move could potentially also signal policymakers’ willingness to address the remaining securitisation ‘fixes’ that the industry has been calling .......
News Analysis 31 July 2020
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STACR surge
Freddie Mac galvanizes CRT re-opening with another STACR transaction
Freddie Mac has printed its second post-lockdown STACR deal, three weeks after re-opening the CRT debt market, with an upsized four-tranche $835m transaction. The deal was priced at the end of last week, confirmed a Freddie Mac spokesperson.
The offering, designated STACR 2020-HQA3, consisted of a M1 tranche priced at one-month Libor plus 155bp, an M2 tranche at one-month Libor plus 360bp, .......
News 29 July 2020