StoneX and DeltaTerra Develop New Synthetic Structure for Agency Credit Risk Transfer

StoneX and DeltaTerra launch a repeatable CDS-based structure giving institutions alternative access to Agency CRT risk and return.

Rhea-AI Summary

StoneX Group (SNEX) and DeltaTerra Investments executed a new synthetic credit risk transfer transaction referencing Agency CRT securities from Fannie Mae’s CAS program and Freddie Mac’s STACR program. The structure uses a customized credit default swap and related investment framework to give institutional investors economic exposure to specified CRT bonds as an alternative to direct cash bond ownership.

The structure can be tailored to investor portfolios and is designed for repeat use as market conditions change. It links returns to characteristics of the referenced securities, including principal paydowns, credit performance and spread income. DeltaTerra cited data showing about $19 billion of CRT bonds becoming call-eligible by the end of Q3 2027, or roughly 44% of the outstanding market.

Positive

• Synthetic CRT transaction adds a CDS-based alternative to direct Agency CRT bond ownership for institutional investors.
• Tailorable framework allows exposure to be customized to portfolio objectives and designed for repeat issuance.
• Contextual market supply: about $19 billion of CRT bonds, roughly 44% of the market, become call-eligible by end of Q3 2027.

Negative

• None.

Key Figures

CRT bonds eligible for call: $19 billion Share of outstanding CRT market: 44%

CRT bonds eligible for call

$19 billion

By the end of Q3 2027

Share of outstanding CRT market

44%

CRT bonds eligible for call by the end of Q3 2027

Key Terms

synthetic credit risk transfer, credit default swap

2 terms

synthetic credit risk transfer financial

"announced the execution of a synthetic credit risk transfer ("CRT") transaction"

A synthetic credit risk transfer is a way for a lender or investor to move the chance of borrowers defaulting onto other parties without actually selling the loans. It typically uses derivatives, like credit default swaps or guarantees, so one side pays for protection while the other assumes potential losses; think of it as buying insurance on a loan book rather than handing over the loans. Investors care because it changes who bears credit losses, affects a bank’s reported risk and capital needs, and creates tradable exposures that can influence market prices and volatility.

credit default swap financial

"Through a customized credit default swap framework and related investment structure"

A credit default swap is a financial contract that acts like insurance against a borrower failing to repay debt: one party pays regular fees to another, and if the borrower defaults the seller of the swap compensates the buyer for losses. Investors use these contracts to hedge the risk of a bond or loan, to speculate on a borrower's credit health, and to gauge market perceptions of default risk; widening swap prices can raise borrowing costs and signal trouble, while tightening can calm markets.

AI-generated analysis. How Rhea-AI works. Not financial advice.

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NEW YORK, Sept. 10, 2026 (GLOBE NEWSWIRE) -- StoneX Financial Inc. ("StoneX") and DeltaTerra Investments ("DeltaTerra") today announced the execution of a synthetic credit risk transfer ("CRT") transaction referencing Agency CRT securities issued through Fannie Mae’s Connecticut Avenue Securities ("CAS") program and Freddie Mac’s Structured Agency Credit Risk ("STACR") program.

The transaction offers institutional investors additional mortgage credit capacity and an efficient structure to access the risk and return profile of Agency CRT bonds. Through a customized credit default swap framework and related investment structure, investors can gain exposure linked to specified CAS and STACR securities, providing an alternative mechanism for managing Agency CRT exposure as market conditions and portfolio needs evolve.

Matt Spoerlein, Co-Head of Structured Credit Trading at StoneX commented:

“This transaction reflects continued evolution of the CRT market and demonstrates StoneX’s ability to apply innovative structuring expertise to complex market opportunities. Working in partnership with DeltaTerra, we applied that expertise to develop a successful structure–creating an alternative to direct cash bond ownership that can be tailored to an investor’s exposure and portfolio objectives. Importantly, the framework was designed with repeatability in mind, providing a foundation that can scale alongside changing investor needs and market conditions."

According to data obtained by DeltaTerra from Intex and Bloomberg as of August 2026, approximately $19 billion of CRT bonds become eligible for call by the end of Q3 2027, representing approximately 44% of the outstanding market.

Dave Burt, Chief Investment Officer of DeltaTerra said:

"We believe the Agency CRT market is approaching a meaningful supply inflection point. This transaction provides an alternative way to access that risk as market dynamics and investor demands change. Our investment process is built on the ability to go both long and short systemically important mortgage credit markets, positioning us as a natural counterparty on the 'other side' of this new marketplace.”

The structure is designed to provide economic exposure linked to specified characteristics of the referenced securities, including principal paydowns, credit performance and spread income. StoneX served as structuring advisor, working with DeltaTerra and other market participants to develop the transaction structure and coordinate its execution. The transaction reflects StoneX’s continued expansion of its institutional ecosystem, bringing specialized structuring expertise together with broader market capabilities to develop solutions around evolving client needs.

About StoneX Group Inc.

StoneX Group Inc., through its subsidiaries, operates a global financial services network that connects companies, organizations, traders, and investors to the global market ecosystem through a unique blend of digital platforms, end-to-end clearing and execution services, high-touch service, and deep expertise. The company strives to be its clients' trusted partner, providing its network, products, and services to help them pursue business opportunities, manage market risks, make informed investment decisions, and improve their business performance.

A Fortune 50 company headquartered in New York City and listed on the Nasdaq Global Select Market (NASDAQ: SNEX), StoneX Group Inc. and its more than 5,200 employees serve over 80,000 commercial, institutional, and payments clients, as well as more than 260,000 retail accounts, across more than 80 offices on six continents. Further information is available at www.stonex.com.

StoneX Financial Inc. Disclosure

StoneX Financial Inc. is a wholly owned subsidiary of StoneX Group Inc. StoneX Financial Inc. is a Broker-Dealer, member of FINRA/SIPC, and MSRB registered. Learn more about StoneX Financial Inc. at BrokerCheck.org. StoneX Financial Inc. and DeltaTerra are separate and unaffiliated companies and are not responsible for one another's policies, services, or opinions.

About DeltaTerra Investments

DeltaTerra Investments is an alternative investment manager investing in specialized risk transfer opportunities in structured credit markets. The firm combines mortgage, insurance and climate research to develop differentiated investment strategies. This transaction reflects the innovative structuring approach DeltaTerra brings to the market to target absolute returns. Further information is available at www.deltaterrainvestments.com.

Media inquiries: media@stonex.com

SNEX-G

FAQ

How does the new StoneX–DeltaTerra structure provide exposure to Agency CRT securities?

The structure uses a customized credit default swap and related investment framework that references specified Fannie Mae CAS and Freddie Mac STACR securities. It is designed to deliver economic exposure tied to characteristics of those CRT bonds, including principal paydowns, credit performance and spread income, giving institutional investors an alternative way to manage Agency CRT exposure without directly owning the cash bonds.