银行通过使用信用联结票据的变体来实现资本缓释

OceanFirst Financial and asset manager 400 Capital Management are promoting a strategy that offers a variation on credit-linked notes regional banks have increasingly used as a means of obtaining mortgage capital relief in the U.S. market.

The companies applied the structure, which 400CM said appears to be the first fund-issued, rated, significant risk-transfer transaction done in the U.S., to a $1.5 billion portfolio of residential mortgages on OceanFirst balance sheet.

The structure involves the pairing of a credit default swap with linked notes. This could give domestic banks another option for freeing up regulatory capital while proposed mortgage relief from a U.S. update to Basel is pending.

"The CDS execution was a cost-effective risk reduction and capital management transaction for OceanFirst," CEO Christopher Maher said in a press release.

The structure's advantages for bank mortgage lenders include the fact that it allows them to free up new capital to fund loans without having to tap equity by issuing new shares or diluting existing ones, according to the two companies.

400 Capital Management was able to build a structure to do this by first creating a CDS referencing OceanFirst's mortgage portfolio to transfer risk and provide capital relief. It then sold DBRS-rated credit-linked notes that referenced the first transaction to investors.

"We are providing U.S. banks with flexible, non-dilutive capital relief solutions, while creating well-structured, rated bonds that institutional investors can invest in with confidence," said Jeff Willoughby, head of residential credit strategy at 400CM. "We anticipate this structure will serve as a template for future issuance."