News Analysis
Capital Relief Trades
Ratings rapture
US reg cap deals seek AAAs, but not so European
Recent risk-sharing CLNs from US banks have been structured to receive the highest possible credit ratings, according to a recent report from Fitch, but this remains a feature unique to the US market, say observers.
All the US transactions have been funded. This means proceeds are placed in a separate account at a third party to secure repayment of principal. Interest payments are also secured through another liquidity account or through a letter of credit.
The March securitisation of US$2.8bn pool of car loans from Bayview, in which the assets were originated by Huntington, stands out as a deal that would not have received the highest rating were it not for these kind of structures.
Recent transactions from US Bank, Huntington Bank and Morgan Stanley have incorporated similar features.
"The market has seen as high as triple A ratings this way. Without the relevant rating enhancement features, this would likely have been single A at best, effectively the counterparty rating,” says Robert Bradbury, head of structured credit execution and advisory at Alvarez & Marsal.
Unfunded deals simply incorporate an obligation to pay. There is no collateralization and the credit ratings these transactions receive are derived from the issuing bank. Funded deals, however, receive a rating independent of that of the issuer.
The purpose of attaining higher ratings is twofold, as Pasquale Giordano, senior director, North American ABS at Fitch in New York, told SCI. “First, reducing the cost of the financing is viewed as an important purpose. Perhaps a connected purpose is also consistency so that credit ratings align with other transactions,” he says.
To achieve a rating above that of the issuing bank and the third-party account, Fitch expects certain remedial triggers to be in place, such as the replacement of the third-party account if it is downgraded beyond a minimum rating, and clear contractual provisions to terminate the deal and repay the CLNs upon insolvency of the issuer.
But all these exigencies remain much more pertinent to the US market than to the European market, In the latter, ratings remain the exception rather than the rule.
In the US market, tranches tend to be perhaps twice as thick as is common in the European market, which makes the attainment of credit ratings more possible. In addition, the US securitization market is more mature with a class of investors that are attracted by a solid credit rating.
"Ratings in SRT aren’t relevant in Europe primarily because tranches aren’t thick enough and securitization market is not as deep as in the US. The combination of these two reasons means it is very hard to get any productive rating out of any asset class,” explains Bradbury.
As tranches are generally half the size of those in the US, investor positions are more usually leveraged up through, for example, the repo market to jack up the yields to a more attractive level. Tranches in the US, in contrast, are thick enough to be re-tranched.
Recent issuance volume in the US has been disappointing, particularly given the fanfare at the beginning of the year. Most US issuers are said to be waiting it out to see if the Federal Reserve rows back from its particularly onerous interpretation of Basel III, generally referred to as Basel III Endgame, before they commit..
The last Federal Reserve letter of approval for a reg cap trade was granted to Ally Financial on May 2. The deal was subsequently brought to market by Bank of America later that month. While approval was granted to Truist Bank for a CLN on March 9, it is not believed that a transaction has been yet come to the market.
Nonetheless, issuance through CLNs from US banks are expected to become increasingly frequent as capital relief is sought, says Fitch. “We expect to see more and more of these transactions completed. Banks are receiving approvals, and we believe that this will be an important funding source for these assets from which banks seek capital relief,” says Ian Rasmussen, another director of North American ABS at Fitch.
A new wedge of alternative investment managers has also become interested in the space in recent months, partially in lieu of M&A opportunities.
The regional banking crisis in 2023, the draconian impositions of the Basel III Endgame (B3E) announced last July and then the Fed guidance clarifying CRT issuance in September have increased the need and have also cleared the way for greater use of risk sharing deals, according to another Fitch report on synthetic securitization at the end of May.
“For alt IMs, SRTs boost capital deployment in an otherwise slow M&A environment, supporting management fee growth and is thus supportive of ratings,” says the report.
Simon Boughey
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News Analysis
Capital Relief Trades
Credit risk sharing: Raising the bar for ESG requirements - video
PGGM Investments' Alien Pauw speaks to SCI about ESG and investing in credit risk sharing
Alien Pauw, director and senior investment manager at PGGM Investments, speaks to SCI's Vincent Nadeau about ESG and investing in credit risk sharing. Pauw discusses the pension fund investor’s relationships with partner banks, how it differentiates CRS transactions from capital relief trades or risk transfers, the role that CRS transactions can play in the context of ESG goals and the climate transition, and how sustainability is integrated and measured in CRS transactions.
SRT Market Update
Capital Relief Trades
Polish SRT incoming
SRT Market Update
A debut SRT transaction issued by a state-owned Polish bank is said to be in advanced stages.
The Polish state holds a minority stake in PKO Bank and 100% of the National Development Bank. PKO is believed to be the issuer of the SRT deal.
The referenced asset class is unknown, with one source suggesting - based on information they received - that it will be a corporate loan portfolio, which has frequently been the first port of call for new Polish issuers. Another source tells SCI that both state-owned banks boast large portfolios, so in theory any SRT deal could reference a variety of assets.
The source adds: “There are various reasons you would want to do synthetic deals, but it’s usually to satisfy capital requirements. I think both the banks have relatively healthy capital levels, so I’m not sure they’d need to do a deal on this basis. On the other hand, securitisation and synthetics may provide some kind of diversification on how they manage their capital.”
Established Polish issuers are also expected to execute transactions in 2H24 with the implementation of Basel 4 looming. There is thus far no confirmation on which banks will be issuing, but mBank and Bank Millennium, as well as subsidiaries of BNP Paribas and Santander have all previously been active in the market. The latter two banks have issued Polish deals invested in by the IFC in the last 12 months.
Joe Quiruga
SRT Market Update
Capital Relief Trades
Low supply?
SRT Market Update
Some slight pessimism about SRT deal flow ahead of the summer break is emerging, with one source suggesting that the market is “more silent than expected” at this point in the year.
“It has been a strange six months, where investors have upskilled and come online, but the issuance is yet to increase exponentially. It’s still a good news story though,” the source notes.
The source adds: “The conversation at the Global ABS conference in Barcelona was very bullish about a significant uptick in issuance. We’re experiencing a calm before the storm, I think.”
Most of the deals anticipated to close before the summer will be repeat issuance from established programmes, as those trying to complete transactions before the holidays “have either got the ball rolling or they’re too late”.
SRT spreads may tighten even further, given the limited supply. The source points out that comparatively, pricing remained “steady” throughout the Covid crisis.
“Even when activity in the CLO market paused due to challenging market conditions, SRT spreads were reasonably predictable within a range. Then within the last 6-9 months, they’ve tightened a lot and I think that’s because there’s far more demand,” the source observes.
Meanwhile, in the run-up to the implementation of Basel 3.1, there is some debate about which asset classes are most likely to be affected by the output floor: “Corporate and SME portfolios are unlikely to be affected, but specialised lending - such as aircraft, shipping and project finance - might be. These assets are quite bespoke to the borrower, but obviously there might be some standardised risk weights attached to such deals,” the source concludes.
Joe Quiruga
SRT Market Update
Capital Relief Trades
Three deals and a print
SRT Market Update
Nordea is prepping a corporate SRT deal, marking its second synthetic securitisation foray of the year.
The Nordic bank’s first transaction referenced mortgage assets, which reportedly priced in Q1 (SCI 25 March). An unfunded dual-tranche structure with protection on a very thin first loss (around 2% according to sources), it is believed to have a low spread and a five-year maturity. Munich Re and Arch are understood to be the protection sellers.
Nordea’s latest corporate transaction is said to have a different structure. It comes ahead of what many believe is set to be a surge in demand in the Nordic SRT market. Indeed, two Nordea SRT vets recently left the firm to set up their own advisory venture in anticipation of this activity (SCI 29 May).
A large corporate deal from an established programme of a French bank is also rumoured to be coming to market. The issuer is said to be neither BNP Paribas nor Societe Generale.
Meanwhile, Bank of Ireland’s latest Mespil transaction is set to price, having reportedly been twice oversubscribed. The leveraged loan deal has a dual-tranche structure, with the junior tranche expected to attach at 0.5% (SCI 24 May), and features synthetic excess spread. The WAL is difficult to ascertain, according to sources, as it depends heavily on prepayments.
Finally, Santander’s most recent Magdalena SME deal has printed. The transaction is understood to have been highly syndicated, with a funded portion pricing at 10% and an unfunded portion described as pricing at a “slightly lower” level. The WAL is thought to be three years and there is a revolving period where loans can be added for six months after closing, while keeping the notional constant (SCI 1 May).
Joe Quiruga
News
Structured Finance
SCI Start the Week - 10 June 2024
A review of SCI's latest content
Last week's news and analysis
Data dynamics
Investor interest in data centre ABS takes off
Five-point plan
EU securitisation reform package mooted
ILS opportunity set revealed
*SIGLO study *Aira inks heat pump ABS *Ambac acquires 60% of Beat
Job swaps weekly: Paul Hastings poaches private credit team
People moves and key promotions in securitisation
Record breakers
B1 tranches hit all-time low new issue print
Top of the pops
Private risk sharing volumes hit €1trn
Treasury survey underlines regulatory constraints
*AFME publishes results *CLO good practices *ECAF accepts Scope *Golub, Nassau team up
Plus
Deal-focused updates from our ABS Markets and CLO Markets services
SCI In Conversation podcast
The latest episode is a special for International Women's Day in which SCI deputy editor Kenny Wastell speaks to Ruhi Patil, a counsel in Dentons' London office, about gender diversity and inclusion in the structured finance industry.
The episode can be accessed here, as well as wherever you usually get your podcasts, including Apple Podcasts and Spotify (just search for ‘SCI In Conversation’).
SRTx benchmark
SCI’s SRTx (Significant Risk Transfer Index), is a benchmark that measures the estimated prevailing new-issue price spread for generic private market risk transfer transactions. Calculated and rebalanced on a monthly basis by Mark Fontanilla & Co, the index provides market participants with a benchmark reference point for pricing in the private risk transfer market by aggregating issuer and investor views on pricing. For more information on SRTx or to register your interest as a contributor, click here.
Upcoming SCI events
Emerging Europe SRT Seminar
18 June 2024, Warsaw
CRT Training for New Market Entrants
14-15 October, London
Women In Risk Sharing
15th October, London
10th Annual Capital Relief Trades Seminar
16 & 17 October 2024, London
2nd Annual European CRE Finance Seminar
November 2024, London
News
SRTx
Latest SRTx fixings released
While the broader macro backdrop (notably geopolitics and central bank expectations) remains volatile, the SRT market – similarly to other spread product markets – is showing positive performance.
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. While last month’s figures highlighted a nuanced shift towards increased risk, the latest data points to an incrementally better market sentiment overall.
SRTx Spread Indexes have tightened across the board, with the US (-14.5%) corporate segment leading the way (-3.9% in Europe). Similarly for the SME sector, figures show a moderate tightening (-7.5% in Europe and -7.9% in the US).
The SRTx Spread Indexes now stand at 895, 646, 971 and 1,037 for the SRTx CORP EU, SRTx CORP US, SRTx SME EU and SRTx SME US categories respectively, as of the 7 June valuation date.
SRTx Volatility Index values have migrated back down towards and below the 50 benchmark, reflecting the tighter spread environment. In this context, all segments have tightened: European (-11.1%) and US (-7.7%) large corporates; European (-11.1%) and US (-11.1%) SMEs.
The SRTx Volatility Index values now stand at 47, 50, 47 and 50 for the SRTx CORP VOL EU, SRTx CORP VOL US, SRTx SME VOL EU and SRTx SME VOL US indexes respectively.
Regarding liquidity, the SRTx Liquidity Index values present a similar narrative, with again, a tightening witnessed across the board. Both the European (-5.2%) and US (-25.0%) large corporate segments, as well as the SME figures (-11.1% in Europe and -28.9% in the US) point to incrementally stronger sentiment. Such data reflects the volume and firmer spread execution seen in recent deals
The SRTx Liquidity Indexes stand at 44, 38, 42 and 40 across SRTx CORP LIQ EU, SRTx CORP LIQ US, SRTx SME LIQ EU and SRTx SME LIQ US respectively.
Finally, The SRTx Credit Risk Indexes denote mixed results. While the market executions and technical levels have improved month-on-month, the credit risk outlook remains relatively unmoved. The European large corporate sector stays unchanged, with the US widening slightly (+4.1%). Regarding SMEs, the European sentiment shows moderate increased risk (+12.6%), whilst the US improved slightly (-6.7%).
The SRTx Credit Risk Indexes now stand at 50 for SRTx CORP RISK EU, 61 for SRTx CORP RISK US, 53 for SRTx SME RISK EU and 58 for SRTx SME RISK US.
SRTx coverage includes large corporate and SME reference pools across the EU and US economic regions. The index suite comprises a quantitative spread index - which is based on survey estimates for a representative transaction (the SRTx Benchmark Deal) that has specified terms for structure and portfolio composition - and three qualitative indexes, which measure market sentiment on pricing volatility, transaction liquidity and credit risk.
Specifically, the SRTx Volatility Indexes gauge market sentiment for the magnitude of fixed-spread pricing volatility over the near term. The index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating volatility moving higher.
The SRTx Liquidity Indexes gauge market sentiment for SRT execution conditions in terms of successfully completing a deal in the near term. Again, the index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating that liquidity is worsening.
Finally, the SRTx Credit Risk Indexes gauge market sentiment on the direction of fundamental SRT reference pool credit risk over the near term. The index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating that credit risk is worsening.
The objective of the index suite is to depict changes in market sentiment, the magnitude of such change and the dispersion of market opinion around volatility, liquidity and credit risk.
The indexes are surveyed on a monthly basis and recalculated on the last trading day of the month. SCI is the index licensor and the calculation agent is Mark Fontanilla & Co.
For further information on SRTx or to register your interest as a contributor to the index, click here.
Vincent Nadeau
Talking Point
Structured Finance
Tailoring TRS
Markus Musielak, md, working capital structuring at Demica, argues that data plays a critical role in successful trade receivables securitisation strategies
Trade receivables securitisations (TRS) remain resilient and of an increasing focus following the end of low interest rate environments, as companies seek affordable financing tailored to their precise working capital requirements.
With expectations that the economies in the UK and the eurozone have avoided a recession of any significant depth (or even a recession at all), the TRS market remains strong. This makes it a good time for companies to assess their own balance sheets and determine what assets may be used as suitable collateral to attract even better working capital financing rates: a company’s trade receivables stand out as items to easily identify and finance through TRS programmes.
A distinctive characteristic of trade receivable assets is that, given their typically fast-turning nature, they generate large volumes of data. Where that data can be handled effectively, it can unlock the most preferential TRS finance structures. An optimal TRS programme depends on extracting and analysing historical data to help facilitate the structuring of a resilient working capital finance solution that can be tailored to the corporate’s needs.
The receivables data will indicate whether a funding programme is more suited to a receivables purchase programme (where there may be obligor concentrations) or TRS (where there is a granular and diverse pool). Such funding programmes are typically set up on a revolving basis, lasting many years.
The volume of data (and the complexity of reporting requirements for a TRS programme) make it advisable to appoint an external reporting agent with knowledge of the TRS market and reporting requirements, and the technology to streamline data implementation.
Data expertise is needed to set up TRS transactions
The data requirement in setting up a transaction can be substantial. It often starts with a detailed extraction of the corporate’s historic data (e.g. invoices, collections, credit notes, adjustments, offsets and other items), which is then analysed to determine the historic performance of the portfolio (e.g. dilutions, delinquencies, defaults, etc.) and to calculate the appropriate advance rate.
It is important to have experience analysing these large datasets at pace. The historic performance of the portfolio can provide pointers as to how the structure may be adjusted or enhanced to make any TRS financing programme as efficient as possible. Companies in different sectors often have different operational elements reflected in their data feed that often also need to be taken into consideration; for example, a telecommunications company with a very large, diverse pool of debtors (e.g. millions of line items per day) may require different data and structural solutions relative to a company in the commodity finance sector.
With a view of the historic performance of their trade receivables, companies can consider appropriate financing structures that would provide them with the most efficient financing solution. An experienced receivables finance advisor can help to find the most efficient structure, allowing companies to obtain the best solution for their working capital requirements.
Receivables finance has been a staple offering for many banks, and trade receivables financing has also attracted an increased numbers of non-bank financial institutions, including asset managers, hedge funds and other private credit lenders. The ability to have more granular views of data offers greater opportunities for funders to tailor products to a corporate’s business and financing requirements. With access to good data, funders can also make decisions with greater confidence and insight.
Streamlining data for reporting
Preparing data for TRS programmes is time-consuming, but automation can help streamline reporting processes, saving hours of data collation and periodic report preparation for corporates. Strong reporting capabilities are critical to TRS programmes’ functionality, as the reports allow parties to assess ongoing performance and calculate the amount of funding and required payments.
Typical reporting collates detailed line-by-line data into consolidated servicing and management reports setting out roll-forwards, ageing, balances across the different levels (e.g. total portfolio, eligible portfolio and so on), performance metrics, triggers, advance rate calculations, funding amounts and required drawdowns and repayments.
ESMA reporting is also required under the EU Securitisation Regulation. There has been an increase in the requirements for set-up and on-going monitoring of live transactions, due to the implementation of ESMA STS (simple, transparent and standardised) and SRT (significant risk transfer) strategies. Ensuring compliance and dealing with an additional transaction party adds significant time to the transaction’s preparation, execution and operation without access to reporting expertise.
It is often the case that the data processing required for use in a TRS provides a focal point for the company to ensure continued data integrity with close management of the trade receivables (e.g. closely monitoring aging profiles), which often leads to lower days sales outstanding (DSOs) and increased liquidity through the programme. This periodic reporting can also provide the corporate with reliable dashboards and alerts.
Ultimately, data has a critical role in TRS, enabling companies to obtain the most suitable and preferential terms possible while streamlining complex reporting requirements. Achieving this, however, depends on having the right partner capable of both providing good advice and processing large volumes of data to assist the corporate to achieve the most efficient financing structure.
This requires experienced professionals and advanced reporting technology, trusted by a network of banks and non-bank funders. With the right partnership, corporates can be reassured that they are using their data to gain the lowest-cost and most effective structures for their working capital finance solutions.
Market Moves
Structured Finance
Private credit marketplace launched
Market updates and sector developments
Figure Technology Solutions has launched a first-of-its-kind blockchain-based multi-seller, multi-buyer marketplace for private credit loans. Called Figure Connect, the marketplace connects Figure’s capital markets buyer universe directly to Figure’s loan origination partners, with the aim of engendering liquidity by adding certainty of funding to loan originators and collateral composition to loan buyers.
With Figure Connect, originators can receive forward commitments from buyers, lock active bids, control loan pricing to balance profitability and volume, and deliver pools of loans into those commitments. This functionality is facilitated with common, standardised sale terms and documentation.
Figure believes its loan origination partners now have unparalleled control over their business with committed liquidity, transparency and informed loan pricing management – all integrated within Figure’s loan ecosystem. Leveraging the power of the Provenance Blockchain, Figure Connect aims to drive efficiencies for loan buyers and sellers and reduce an often months-long settlement process into days.
Figure Connect’s initial partners include The Loan Store, Movement Mortgage, Bayview Asset Management and Saluda Grade.
Corinne Smith
Market Moves
Structured Finance
Job swaps weekly: Guy Carpenter lures Schnieders to lead new division
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Guy Carpenter launching a new capital and advisory group with the hiring of an industry veteran from Teneo Holdings. Elsewhere, Dentons has rehired a structured finance specialist from NuBridge Commercial Lending as partner, while McCarthy Denning has appointed a real-estate-focused structured finance specialist as partner.
Guy Carpenter has hired Alexander Schnieders from Teneo Holdings as global head of its newly formed capital and advisory group within its global capital solutions unit. Schnieders will be based in New York and report to Laurent Rousseau, ceo of Europe, IMEA and global capital solutions. The business said the new division will expand its offerings to c-suite clients and bring more capital to reinsurance risks.
Schnieders leaves his role as head of FIG, co-head of m&a and senior md at Teneo after eight years with the business. He previously spent four years at Perella Weinberg Partners and 11 years at Goldman Sachs.
Meanwhile, Dentons has rehired Penny Groel from NuBridge as a partner in its capital markets practice, based in Los Angeles. Groel works across agency and trust, structured finance, and corporate and securities law, with a particular focus on CLO transactions, whole business transactions, esoteric financings, asset and mortgage-backed securitisations, project financings and corporate debt issuances.
She leaves her role as evp and general counsel at NuBridge after three and a half years. Groel previously spent a combined 25 years at Dentons and its predecessor firm Thacher Proffitt & Wood.
Conor Downey has joined McCarthy Denning as partner, specialising in structured finance and securitisation, with a particular focus on the financing, restructuring and securitisation of real estate and real estate debt. Most recently, he has been involved in privately placed capital markets transactions involving ground rents, social housing, renewables projects and other esoteric asset classes in the UK and Europe. Downey was previously a partner at iLS London, having led Paul Hastings’ real estate Europe practice before that.
Scotiabank’s real estate finance veteran Sacha Boxill has joined Petros PACE Finance as md for corporate development and strategic partnerships, based in New York. Boxill leaves his role as director for corporate banking – US real estate, gaming and leisure after five years at Scotiabank. He previously spent four and a half years at RBC Capital Markets and five and a half years at Bank of America.
Corbin Capital Partners has promoted Himesh Lad to partner, structured credit, based in New York. He was previously principal at the firm, which he joined in February 2017. Before that, Lad worked at Citi and MetLife.
Pankaj Soni has returned to Deutsche Bank as md, head of specialty finance, having worked there from 2011 to 2017 as a vp focusing on private credit and asset-backed lending. Between his stints at Deutsche Bank, Soni was an md at Goldman Sachs in London.
And finally, the African Development Bank has promoted Max Magor Ndiaye to senior director of syndications in its African Investment Forum and client solutions arms. Ndiaye, who is based in Abidjan, Ivory Coast, has experience across structured finance, risk management and capital markets. He joined the bank in 2009 and previously worked at the International Finance Corporation and Wachovia Corp.
Corinne Smith, Kenny Wastell
Market Moves
Structured Finance
Norway gets SecReg green light
Market updates and sector developments
The EU Securitisation Regulation was incorporated into the EEA Agreement on 12 June and it is widely expected that the rules will come into force in Norway on 1 January 2025. The regulation covers both true sale and synthetic securitisations, as well as rules on STS securitisations.
Legislative rules implementing the Securitisation Regulation in Norwegian law have already been adopted by the Norwegian Parliament, but the rules have not yet entered into force, according to law firm Wikborg Rein. The Ministry of Finance has announced that a proposal for legislative amendments will be submitted at the same time as the consent of the Norwegian Parliament is to be obtained for the incorporation of the regulations into Norwegian law, which is expected in the autumn.
As well as incorporating the regulation into Norwegian law, a number of legislative amendments have been adopted to adapt Norwegian law to the regulation, including exemption from license requirements for securitisation SPEs and exemption from the requirement for consent under the Financial Contracts Act when transferring loans to an SPE. Additionally, when a financial institution securitises a loan portfolio, the servicer must be a bank or other credit institution or a financing company.
Norway’s previous rules on securitisation were repealed in 2015, rendering securitisation practically impossible in the jurisdiction - among other reasons because an SPE is considered to be conducting financing activities, which is subject to licensing and capital requirements.
In other news…
UK renewables ABS debuts
Residential energy services provider Hometree has secured a £250m asset-backed debt facility from Barclays, representing the UK’s first residential renewables securitisation. The firm will use the facility to finance over 28,000 residential solar panel systems, batteries and heat pumps across the UK over the next two years. The move accelerates Hometree’s ambition to decarbonise over one million homes by 2030 and its plans to build Europe’s leading residential energy services business, combining hardware installation, financing, repairs and ongoing maintenance in one platform.
An estimated one-third of UK households are unable to afford renewable energy technology, while the full-scale decarbonisation of UK homes is projected to cost £250bn by 2050, according to the Climate Change Committee. Research from LCP Delta reveals that last year 43% of European solar customers bought a solar PV system on finance, but finance products specific to this market in Europe have historically been extremely limited.
The new Barclays facility is enabling Hometree to bring innovative financing products to the UK residential renewable market, including zero-deposit leases and loans with low interest rates, as well as attractive terms of up to 25 years, which are available for solar panels and battery systems, with heat pump options coming soon. Hometree expects to undertake the first UK residential renewables public market transaction within two years.
“Supporting fast-growing renewable energy clients like Hometree is a key part of Barclays’ strategy to facilitate US$1trn in green and sustainable finance by 2030. This innovative financial structure is the first of its kind in the UK and will enable our client Hometree to offer a more affordable way for UK homeowners to install solar panels and other renewable technologies. Retrofitting UK homes is an important part of making progress on the path to net zero,” comments Gordon Beck, head of European corporate & sustainable securitisation at Barclays.
Corinne Smith
Market Moves
Capital Relief Trades
CIRT X 4
Market updates and sector developments
Fannie Mae has completed its fourth CIRT deal of 2024, transferring US$284.8m of mortgage risk to 25 insurers and reinsurers.
The loan pool for CIRT 2024-H2 comprises around 34,000 single family mortgages with an unpaid principal balance of approximately US$12.1bn. The high LTV loans were acquired between May and September last year.
Fannie retains the first 185bp of loss. If this retention layer, worth US$224.2m, is broken then the 25 insurers and reinsurers cover the next 235bp to a maximum of coverage of US$284.8m.
structuredcreditinvestor.com
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