Alternative credit manager 400 Capital Management has completed a $1.5bn (£1.13bn) significant risk transfer (SRT) transaction linked to a US bank’s residential mortgage loan portfolio.
The New York-based manager, which has $7.5bn in assets under management, said the deal represents the first fund-issued, rated mortgage SRT transaction in the US market.
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The manager said the deal comprised two transactions: the first was structured as a credit default swap, which transferred credit risk from OceanFirst Bank’s residential mortgage loan portfolio; the second involved the issuance of credit-linked notes rated by DBRS Morningstar.
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“We anticipate this structure will serve as a template for future issuance and look forward to contributing to the growth of a vibrant significant risk transfer (SRT) ecosystem,” said Jeff Willoughby, head of residential credit strategy at 400 Capital.
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