Monday 28 October 2019 11:18 London/ 06.18 New York/ 19.18 Tokyo

A review of securitisation activity over the past seven days

Transaction of the week
Fannie Mae has priced its first credit risk transfer transaction referencing a pool of multifamily loans. Dubbed Multifamily Connecticut Avenue Securities (MCAS) Series 2019-01, the landmark US$472.7m securitisation complements the GSE's Delegated Underwriting and Servicing (DUS) and Multifamily Credit Insurance Risk Transfer (MCIRT) programmes.
The reference pool for MCAS 2019-01 consists of approximately 340 multifamily mortgage loans with an outstanding unpaid principal balance of US$17.1bn, as of the cut-off date. The pool includes first-lien multifamily loans comprised of collateral underwritten according to Fannie Mae's standards and acquired by Fannie Mae from April 2018 through December 2018.
See SCI 25 October for more.

Stories of the week
Correlation evolution
Tranche trading continues to gain traction
CRE CRT inked
Innovative financial guarantee debuts
Re-bridging concerns dismissed
Re-bridging loans in CRE CLOs "can offer benefits"
Scalable and repeatable
MSR securitisation on the cards?
SCI's latest podcast is now live!
The editorial team discuss the hottest topics in securitisation today...
In this month's exciting edition of the SCI podcast, the team talks about standardised banks and the barriers they face when looking to enter the risk transfer market, Santander's latest securitisation of Finnish auto loans, Kimi 8, as well as a company that is looking to help companies in emerging markets tap synthetic securitisation to optimise their balance sheets.

Other deal-related news

  • The Bank of England recently published a market notice stating that to be eligible for its operations, ABS and covered bond issuers must both fulfil a number of transparency requirements, including completing its ABS-CERT template (SCI 22 October).
  • The EBA has published an opinion on the regulatory treatment of securitisations of non-performing exposures (NPEs), recommending various amendments to the Capital Requirements Regulation (CRR) as well as to the Securitisation Regulation to remove the identified constraints (SCI 24 October).
  • Barclays has structured two new UK RMBS transactions backed by loans from legacy Northern Rock and Bradford and Bingley portfolios. Dubbed Kentmere 1, sized at £752m and Kentmere 2, £171m, the portfolios consist of mortgages currently securitised in Slate No.1 and Slate No.2, respectively (SCI 24 October).
  • Sabal Capital Partners has closed a US$70m refinancing of 17 low-LTV multifamily assets located in the Bronx borough of New York, 15 of which were originally serviced and funded by Sabal through Freddie Mac's Small Balance Loan programme. The portfolio represents five loans secured by a total of 477 rental units and was completed by Sabal's New York-based CMBS team through the lender's S-CRE programme in just 32 days (SCI 25 October).

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