A house

Synthetic RMBS debut

Category: Capital Relief Trades RMBS

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Non-GSE CRT deal prepped

JPMorgan Chase Bank (JPMCB) is marketing what is believed to be the first rated synthetic mortgage risk transfer transaction originated by a US bank – Chase Mortgage Reference Notes 2019-CL1. The deal utilises tranched CDS documentation to transfer credit risk to noteholders, with principal payments based on the actual payments received from a reference pool consisting of 979 prime-quality residential mortgage loans with a total balance of US$757.23m.

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