Complete news archive
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Investor interest
European CLOs attracting new investors to mezz and equity
European CLO primary activity continues to roll, with seemingly unwavering investor demand supporting prices at the top of the stack. Now, investor interest is growing across the capital structure, as new players look to enter the lower tranche space.
As of yesterday’s close, an impressive 87 European CLOs had priced this year. Nevertheless, the three resets that printed .......
News Analysis 22 April 2021
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Taxonomy Delegated Act adopted
Sector developments and company hires
Taxonomy Delegated Act adopted
The European Commission has adopted what it describes as an “ambitious and comprehensive” package of measures to help improve the flow of money towards sustainable activities across the EU. The measures – which include the EU Taxonomy Climate Delegated Act - are expected to be instrumental in making Europe climate-neutral by 2050.The EU Taxonomy .......
Market Moves 22 April 2021
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Climate concerns
KBRA md Peter Giacone and Nephila Climate structured finance...
PG: How does the insurance industry fit into the ESG discussion and where do you see touch points within the Nephila Climate universe?
Talking Point 22 April 2021
AW: The evaluation of climate risk, a key aspect of the ‘Environmental’ factor, is a core capacity and it is what we do every day. In terms of the ‘Social’ element, the obvious thing is that insurance .......
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Bottoming out
EU NPL ratios improve
Despite the significant decline in economic activity since the coronavirus outbreak, European banks are not at this point facing an asset-quality shock, according to the latest analysis. Non-performing loan ratios have improved and, indeed, they are expected to bottom out in 2021.
According to Scope Ratings estimates and EBA data, the EU NPL ratio declined from around 3% .......
News 22 April 2021
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Forbearance SPV availability ends
Sector developments and company hires
Forbearance SPV availability ends
The Australian Office of Financial Management has released an update on its Structured Finance Support Fund (SFSF) activities. As of 31 March 2021, total funds committed by the SFSF were A$3.8bn, including A$1.36bn public market investments and circa A$2.3bn across 45 individual warehouses sponsored by 34 eligible lenders.The AOFM notes that public securitisation market .......
Market Moves 21 April 2021
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Third 2021 STACR prints
With Fannie Mae still on the sidelines, Freddie corners CRT space
Freddie Mac yesterday (April 19) printed its third STACR deal of the year, designated STACR 2021-DNA3, via joint book-runners Nomura and Barclays.
The $910m trade consisted of four tranches. The $211m M-1 tranche, rated BBB+/A- by KBRA and S&P, was priced to yield SOFR plus 75bp, has a 2% credit enhancement (CE) and a 1.72 year weighted average life (WAL).
The $317m M-2 .......
News 20 April 2021
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Blockchain mortgage 'ecosystem' prepped
Sector developments and company hires
Blockchain mortgage ‘ecosystem’ prepped
Market Moves 20 April 2021
Liquid Mortgage has raised capital from and entered into a strategic partnership with Redwood Trust, marking the culmination of a months-long engagement, in which Redwood Trust tested Liquid Mortgage's technology and developed an actionable strategy to build a future-ready mortgage ecosystem. The partners share a common mission of utilising blockchain technology within the current market infrastructure, .......
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RWA boost
ECB reveals TRIM findings
The ECB has published the findings from its targeted review of internal models (TRIM). The exercise has resulted in a 12% RWA boost and confirmed the continued use of internal models, but for a certain number of models, restrictions or modifications in their use was considered appropriate to cover the underlying risk.
The TRIM exercise aims to reduce .......
News Analysis 20 April 2021
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CRT seminar line-up finalised
Workshop and roundtable discussion on the agenda
SCI’s 5th Annual Risk Transfer & Synthetics Seminar is taking place tomorrow and Thursday. Hosted virtually, one highlight of the event is a roundtable discussion between Citi, Clifford Chance and Texas Capital Bank, regarding the latter’s debut mortgage warehouse capital relief trade. Another highlight is a Mark Fontanilla & Co workshop exploring mortgage credit risk transfer strategy ideas.
News 20 April 2021
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Regional resilience
Structural enhancements for debut aircraft ABS
Falko Regional Aircraft has priced its debut aircraft ABS, marking the first post-pandemic securitisation to be exclusively backed by regional aircraft assets. Dubbed Regional 2021-1, the deal includes new structural features designed to address market concerns resulting from the adverse impact of Covid-19 on the aviation sector.
“The regional aircraft segment has demonstrated resilience in the last year, .......
News 19 April 2021
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SCI Start the Week - 19 April
A review of securitisation activity over the past seven days
Last week's stories
News 19 April 2021
Income opportunities
Angel Oak Capital Advisors, answers SCI's questions
Leverage boost
Dual-tranche SRT prepped
Robust sentiment
Positive outlook for Dutch RMBS market
Servicing hitch
Italian NPL ABS collections drop
Shifting trends
Differing ESG impacts on credit quality considered
Trailing Texas
Banks with large warehouse loan books set to follow TCBI
Consumer warriors
Setback for CFPB, but warning shots at securitisation market fired
The March 26 dismissal .......
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GSE Patch to end
Sector developments and company hires
GSE Patch to end
Market Moves 16 April 2021
Fannie Mae and Freddie Mac have announced that any loans purchased after 1 July must meet the standards set out in the most recent amendments to the Preferred Stock Purchase Agreements, which stipulate that the GSEs will only purchase qualified mortgage loans that meet the new general ATR/QM Rule. The move effectively ends the use of .......
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Federal preemption challenges continue
Sector developments and company hires
Federal preemption challenges continue
Market Moves 15 April 2021
Two US courts have heard actions that are of significance to marketplace lenders and their funding sources so far this month, Chapman and Cutler reports. In Maryland, a state regulatory action purporting to require licensing of a sponsor bank and its fintech service providers has been removed to federal court. Conversely, a California federal court has dismissed .......
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Shifting trends
Differing ESG impacts on credit quality considered
ESG considerations pose higher credit risk to certain securitisation asset classes and certain global regions, with evolving regulations and shifting consumer demand exposing transactions to potential declines in asset values or cashflow. Nevertheless, structural features, short loan tenors and asset diversification can help minimise such credit negative effects.
ESG credit considerations include a broad range of qualitative and .......
News 15 April 2021
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Trailing Texas
Banks with large warehouse loan books set to follow TCBI
Regional banks with large warehouse mortgage lending books will be soon following the lead of TCBI in the CRT market, suggest analysts that follow the sector closely.
In particular, First Horizon, headquartered in Memphis, Tennessee, Flagstar Bank, based in Michigan, Texas-based Independent Bank Corporation and Veritex Community Bank, headquartered in Dallas, Texas, have been singled out as especially likely suspects.
“I bet we .......
News 14 April 2021
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Second IIG exec charged with fraud
Sector developments and company hires
Second IIG exec charged with fraud
Market Moves 14 April 2021
International Investment Group (IIG) managing partner and coo Martin Silver has pled guilty before US District Judge Alvin Hellerstein to investment adviser fraud, securities fraud and wire fraud offenses in connection with an over US$100m scheme to defraud IIG’s investment advisory fund clients and investors (SCI 29 January). In connection with his plea .......
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Income opportunities
Clayton Triick, CFA, senior portfolio manager at Angel Oak Capital Advisors, answers SCI's questions
Q: How and when did you become involved in the securitisation market?
A: Angel Oak Capital Advisors has a long history within the US securitised markets. Originally as a distressed credit investor during the global financial crisis, Angel Oak was able to invest capital targeting deeply discounted private-label RMBS.As markets continued to improve over the subsequent decade, we .......
The Structured Credit Interview 14 April 2021
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Robust sentiment
Positive outlook for Dutch RMBS market
Sentiment in the Dutch RMBS market remains robust, according to panelists in a recent DBRS Morningstar webinar. While government support has been helpful in shoring up the sector during the Covid crisis, inflation is a growing concern among market participants.
“House prices didn’t fall as widely as expected during the pandemic,” said Ketan Thaker, svp and head of .......
News Analysis 13 April 2021
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Green auto feasibility assessments underway
Sector developments and company hires
Green auto feasibility assessments underway
Market Moves 13 April 2021
CO2 emissions data reporting by auto loan lenders is likely to be crucial to classifying auto loan securitisations as ‘sustainable’ or ‘green’, in order to tap demand from ESG-oriented investors, Fitch says. However, the rating agency notes that discussions with lenders imply that creating the basis for detailed CO2 emissions reporting is challenging, as the .......