StoneX and DeltaTerra Launch Synthetic CRT Structure for Agency Mortgage Risk — StoneX Group Inc.

Event summary

StoneX and DeltaTerra executed a synthetic credit risk transfer (CRT) transaction referencing Fannie Mae’s CAS and Freddie Mac’s STACR securities.
The structure uses a customized credit default swap framework to provide exposure to Agency CRT bonds without direct ownership.
$19 billion of CRT bonds become callable by Q3 2027, representing 44% of the outstanding market.
StoneX served as structuring advisor, while DeltaTerra provided investment strategy.
The framework is designed for repeatability and scalability as market conditions evolve.

The big picture

The transaction reflects the continued evolution of the CRT market, offering institutional investors an alternative way to access mortgage credit risk as the market approaches a supply inflection point. With $19 billion of CRT bonds becoming callable by Q3 2027, the structure provides a scalable solution for managing exposure in a changing market environment. StoneX’s role as structuring advisor underscores its expanding institutional ecosystem and ability to develop specialized solutions for evolving client needs.

What we're watching

Market Evolution: How the synthetic CRT structure will impact demand for traditional Agency CRT bonds.
Investor Adoption: Whether institutional investors will embrace this alternative mechanism for managing mortgage credit exposure.
Scalability: The pace at which StoneX and DeltaTerra can replicate this structure for other market participants.