CRT deals involving auto loans typically have a pro rata structure, which can create more risks for investors than the sequential pay structure in ABS transactions. Structures are also evolving, including a deal issued by a nonbank in partnership with a bank.
Regulators are pushing higher capital requirements on banks and looking favorably at credit-risk transfer transactions, helping to increase CRT issuance. Investor demand for bank CRT is also outstripping supply.
Huntington National Bank is in the market with its first auto ABS since 2016. The bank completed a credit-risk transfer transaction in late December involving a $3.0 billion pool of auto loans.
Fed stays course on MBS sales; SFA close to revising data tape for prime non-agency MBS; MBS on watch for rating upgrades by Fitch; subprime auto ABS impairments rise; commercial MBS delinquencies decline; Fannie sees tighter spreads for latest CRT; Morningstar not ready to give positive commercial MBS credit for “mass timber” construction.
Fitch upgrades ratings on nearly half of outstanding GSE CRT issuance; delinquencies in commercial MBS declined in December led by improvements in loan performance for office properties; Morningstar plans new criteria for assessing securitizations tied to small businesses.
As the automotive ABS market sees record issuance, U.S. Bank has begun marketing a credit-risk transfer transaction backed by $2.46 billion in prime auto loans.
After S&P made changes to its insurer risk-based capital adequacy criteria, Arch Capital canceled eight of its mortgage insurance-linked note transactions, citing newly unfavorable capital treatment.
CAS, STACRs, CIRT and ACIS volume were all down sharply during the first nine months as origination volume continued to decline. (Includes data table.)
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