Spreads tighten further on new issuance of Freddie Mac credit risk notes

Freddie Mac priced $263.5m of STACT 2018-SPI2 notes on Wednesday, its largest deal to date in its newest category of unsecured credit risk transfers (CRTs). CRTs are a form of credit insurance on the mortgages held by Freddie Mac.

  • By Alexander Saeedy
  • 07 Jun 2018

A $92.2m ‘M1’ tranche priced at 100bp above Eurodollar spot forwards, and a $105.4m ‘M2’ piece was priced at 270bp over swaps. Kroll and S&P rated the bonds at BBB+ and BB, respectively.

Called a securitized participation interest (SPI), the newly engineered form of credit risk transfer is ...

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GlobalCapital European securitization league table

Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 BNP Paribas 5,997 17 15.40
2 Citi 4,679 16 12.02
3 Lloyds Bank 3,158 6 8.11
4 Bank of America Merrill Lynch (BAML) 3,104 10 7.97
5 Morgan Stanley 3,066 8 7.88

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
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1 Citi 69,310.90 231 10.40%
2 JPMorgan 64,579.62 197 9.69%
3 Wells Fargo Securities 51,322.59 157 7.70%
4 Bank of America Merrill Lynch 50,413.91 166 7.56%
5 Credit Suisse 47,114.03 149 7.07%