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 9,725 17 21.27
2 JP Morgan 4,494 5 9.83
3 Citi 4,296 9 9.40
4 Bank of America Merrill Lynch (BAML) 3,067 11 6.71
5 Lloyds Bank 2,346 10 5.13

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
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1 Citi 57,366.84 164 11.60%
2 Bank of America Merrill Lynch 52,729.86 138 10.66%
3 JPMorgan 39,180.32 110 7.92%
4 Wells Fargo Securities 38,199.10 112 7.73%
5 Credit Suisse 30,637.75 72 6.20%