Complete news archive
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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
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Issuance forecasts lowered on TFSME extension
Sector developments and company hires
Issuance forecasts lowered on TFSME extension
The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.JPMorgan international ABS analysts expect eligible banks and .......
Market Moves 18 December 2020
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Margin call
CLO equity arbitrage doubts raised
CLO new issuance is once again flourishing as the arb continues to improve, but the pick-up in volumes could yet prove to be premature. New investment performance data suggests current criteria are underestimated and also reveal a disparity between European and US returns.
“The market thinks a net collateral interest margin of 150bp (including management fees) is enough to make .......
News Analysis 18 December 2020
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On the cards
2020 credit card spending low, suggesting slim ABS issuance to continue
News Analysis 17 December 2020
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Full stack resilience
Volumes down, but not out
Full-stack significant risk transfer deal volume declined this year amid the Covid-19 fallout. Nevertheless, transactions have shown resilience in terms of performance.
Full-stack SRT transactions have a smaller range in terms of size - of between €500m to €1bn – compared to synthetic securitisations. Andrea Modolo, md at UniCredit, says: “Generally, synthetic transactions are around €2bn and this .......
News Analysis 17 December 2020
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Improving sentiment
Opportunities rebound in aircraft ABS market
Aircraft ABS secondary market activity all but dried up with the onset of Covid-19, until trading began picking up in September and October. At the same time, investors with capital began sourcing higher yielding opportunities in the sector.
Some aircraft ABS class A notes that were trading in the low-70s in April and May are now trading in .......
News Analysis 17 December 2020
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Bellemeade 2020-4 comes in at $337m
3-tranche MILN has higher than usual LTV pool
Arch Capital has priced Bellemeade Re 2020-4, which entered marketing last week and will close next week, for a final issue size, in bonds, of $321.39m, confirms the borrower. The joint leads are Bank of America and Credit Suisse.
The mortgage insurance-linked note (MILN), the fourth Bellemeade deal of the year, comprises three tranches. These are, firstly, the $136.264m M-2A, rated Ba3 .......
News 16 December 2020
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CLO manager transfers accelerate overlap
Sector developments and company hires
CLO manager transfers accelerate overlap
When managers acquire CLOs, the underlying portfolios become more like the existing portfolios of the acquiring manager, according to a new report from Fitch.During 2020, Fitch noted four CLO contract changes, two platform sales and two ownership changes. The contract sales this year were Crestline Denali’s sale of CLO management contracts to Ares .......
Market Moves 16 December 2020