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 10,542 20 17.55
2 Bank of America Merrill Lynch (BAML) 6,103 21 10.16
3 Citi 5,130 13 8.54
4 JP Morgan 4,681 6 7.79
5 Morgan Stanley 4,137 11 6.89

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
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1 Citi 81,261.11 236 11.54%
2 Bank of America Merrill Lynch 66,433.81 187 9.43%
3 Wells Fargo Securities 57,637.40 170 8.18%
4 JPMorgan 53,570.42 158 7.61%
5 Credit Suisse 45,349.30 117 6.44%