Complete news archive
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Lloyd's ILS platform unveiled
Sector developments and company hires
Lloyd’s ILS platform unveiled
Market Moves 14 January 2021
Lloyd's has established London Bridge Risk PCC, the first UK ILS structure to be approved by the PRA for use for multiple, market-wide transactions for Lloyd's members. Clifford Chance worked with Lloyd's and the regulators to devise a structure and set of market standard template documentation with flexibility to accommodate a range of individual investment models and .......
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Capital boost
Greek banks eye CRTs to tackle NPLs
SCI publishes regular in-depth analysis of trends and developments across the capital relief trades market, in addition to our usual news output. In this latest CRT Premium Content article, we explore how Greek banks are utilising synthetic securitisation to generate capital to offload their non-performing loans.
To upgrade your subscription to access all CRT premium content for a year, .......
News Analysis 14 January 2021
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Libor linkage
UK RMBS transition risks highlighted
A number of UK RMBS issuers are initiating consent solicitation processes to amend notes and swap contracts from Libor to SONIA ahead of the cessation of Libor. Legacy transactions without active sponsors or those comprising US dollar-denominated notes are at the highest risk of disorderly transition, according to Fitch.
Fitch expects logistical challenges to arise this year in .......
News 12 January 2021
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Ocwen, CFPB mediation unresolved
Sector developments and company hires
Ocwen, CFPB mediation unresolved
Ocwen Financial Corporation has issued a statement expressing its disappointment that settlement discussions with the CFPB have not been resolved (SCI 21 April 2017). The move is in response to the mediator’s notice that the company’s court-ordered mediation with the bureau has concluded, after the parties were unable to reach a settlement.The company .......
Market Moves 12 January 2021
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Landmark Pan-Asian ILS launched
Sector developments and company hires
Landmark Pan-Asian ILS launched
Market Moves 11 January 2021
MS Amlin Underwriting has launched Phoenix 1 Re, the first locally issued ILS to provide capacity to a local cedant, solely focused on the Pan-Asia region. The special purpose reinsurance vehicle (SPRV) is domiciled in Singapore and provides US$42m of collateralised capacity to support MS Amlin Syndicate 2001’s Asia reinsurance portfolio through its Singapore-based underwriting platform.
Phoenix .......
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Forbearance falters
Decline in loan removal from forbearance suggests large unknowns ahead
There has been a “troubling slowdown” in the rate of improvement of the number of mortgages in forbearance plans, says housing data provider Black Knight. This slowdown indicates the mortgage-backed sector enters a period of considerable uncertainty in less than three months, it adds.
There was a 3% drop in the first week of January, or 92,000, and was underpinned by the .......
News 8 January 2021
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Canadian CRT in the wings
Canadian bank said to ready CRT
A Canadian bank, rumoured to be Scotia, is working on a new CRT trade, say well-placed market sources.
Timing is uncertain, and it is also not clear if the bank has gone out to investors yet.The asset base is believed to be SME or large corporate loans, but, again, this is surmise at the moment.
Scotia Bank has declined to comment.
There is a .......
News 6 January 2021
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CRT consolation
It's a more credit-positive story for CRT than delinquency data indicates
Just before Christmas, Fitch Ratings placed 372 classes of GSE-issued CRT bonds on ratings watch negative, but the agency concedes that many of these securities will do better than this action might suggest.
“We take the view that cure rates will likely be better than we indicate. We’re being a bit conservative with our loss projections but we have a limited amount .......
News 29 December 2020
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Agricultural SRT priced
Lloyds finalises Fontwell II
Lloyds has priced the second transaction from its Fontwell programme. Dubbed Fontwell II Securities 2020, the eight-year synthetic securitisation is backed by a static £1.4bn portfolio of UK agricultural mortgages (SCI 17 December). Despite significant headwinds from the Brexit negotiations, the notes were successfully placed with UK and international investors.
Rated by Fitch and KBRA, the transaction consists of .......
News 24 December 2020
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Trilogue agreement finalised
Excess spread concerns highlighted
The trilogue agreement on the European Commission’s ‘quick fix’ proposals was finalised last week and has received an overall positive reception from capital relief trades players, given that it extends the STS framework to synthetic ABS structures and provides greater standardisation. However, market participants have raised concerns about the proposed treatment of excess spread as a first loss tranche.
News Analysis 24 December 2020
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RFC issued on GSE living wills
Sector developments and company hires
RFC issued on GSE living wills
Market Moves 24 December 2020
The US FHFA is seeking comment on a notice of proposed rulemaking that would require Fannie Mae and Freddie Mac to develop resolution plans (or ‘living wills’) that would facilitate a rapid and orderly resolution, should the authority have to be appointed their receiver under the Housing and Economic Recovery Act of 2008. The .......
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Fed frenzy
Ongoing Fed bid for GSE paper stronger than faster prepayments in 2021
Price action in GSE-issued MBS in 2021 will be dominated by the opposite pressures of faster prepayments on the one hand and continued Fed action on the other, but of these two the latter will be the stronger, says Brendan Doucette, portfolio manager with GW&K Investment Management.
The Boston-based investment firm has $47bn under management, and of that 1.37bn is invested in .......
News 23 December 2020
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RBS settles RMBS claims
Sector developments and company hires
RBS settles RMBS claims
Market Moves 23 December 2020
The securities division of Maryland Attorney General Brian Frosh has entered into an US$18m settlement with RBS Financial Products, resolving claims that RBS misled investors in its issuance and underwriting of financial crisis-era RMBS. RBS offering documents for these transactions made representations that the underlying loans generally complied with the lender’s underwriting guidelines and applicable laws, .......
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Unexpected impact
Business interruption claims weigh on cat bonds
The ILS market has not been immune to the turbulence created by Covid-19 this year. However, the fallout from the pandemic has affected the sector in somewhat unexpected ways.
Given the mortality risk associated with the coronavirus, the impact of the diseases on the life book of Leadenhall Capital Markets, for instance, has been negligible. “The insured population .......
News Analysis 23 December 2020
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Romanian NPE deal sealed
Sector developments and company hires
Romanian NPE deal sealed
National Bank of Greece (NBG) has entered into an agreement with Bain Capital Credit for the disposal of a Romanian-risk corporate non-performing loan portfolio. Dubbed Project Danube, the transaction has a total GBV of circa €174m (€102m of allocated collateral value).The deal is being implemented in the context of NBG’s NPE deleveraging strategy and .......
Market Moves 22 December 2020
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Divergent regimes?
STS synthetics onshoring awaited
Formal adoption by the EU of the STS synthetics regime will not realistically occur until 1Q21, after the text has been translated into the languages of the various member states - despite the recent trilogue agreement regarding targeted changes to the Securitisation Regulation and CRR (SCI 11 December). As such, the framework will not be onshored as part .......
News Analysis 22 December 2020
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Secondary supply
Euro ABS trading set to dominate
European ABS secondary spreads have completed a three-quarter circle from their coronavirus-related spike in March, relative to their tightest levels observed in February. The market saw a notable rise in trading volumes, following the coronavirus shock, with secondary activity expected to dominate in the early part of 2021.
“There has been significant BWIC activity in the last few .......
News 22 December 2020
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SCI Start the Week - 21 December
A review of securitisation activity over the past seven days
Last week's stories
News 21 December 2020
Agricultural SRT prepped
Lloyds readies Fontwell II
Baltic SRT finalised
First synthetic under Luxembourg law
Bellemeade 2020-4 comes in at $337m
3-tranche MILN has higher than usual LTV pool
Call for further improvement
'Unambitious' NPL strategy launched
CRT super spreader
Asset manager ArrowMark, a long-time investor in CRT, sees increased US usage
Delayed defaults
German auto ABS support weighed
Full stack resilience
Volumes down, but .......
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Delayed defaults
German auto ABS support weighed
The assets underlying German auto ABS have remained resilient during the coronavirus pandemic. However, defaults are expected to emerge, once the impact of government support measures wears off.
Fitch reports that no German auto ABS tranches are currently on negative outlook or rating watch negative. Further, there has not been a significant increase in arrears or periodic defaults .......
News 18 December 2020