Complete news archive
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CMBS cure rates eyed
Sector developments and company hires
CMBS cure rates eyed
August US CMBS remittance data shows declining 30-plus day delinquency rates, as consent and forbearance agreements came into force and the country reopened. Within post-GFC conduit deals, 30-plus day delinquencies fell 40bp month-on-month to 8.1%, while SASB delinquencies improved 34bp to 7.4% and CRE CLOs improved 30bp to 2.4%.Contributing to this improvement in delinquencies .......
Market Moves 3 September 2020
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Negative rating actions tallied
Sector developments and company hires
Negative rating actions tallied
Market Moves 2 September 2020
Fitch reports that global structured finance negative rating actions - including downgrades, negative outlooks and rating watch negatives - reached an eight-year high in 1H20, reflecting weakening credit conditions due to the coronavirus pandemic-related recession. As of 30 June, 8% of the agency’s ratings had a negative outlook and 3% of ratings were assigned a RWN, compared .......
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Challenging times
European CLO overlap issues addressed
European CLOs’ overlap disadvantage versus the US has been exacerbated by the Covid crisis, but managers appear to be responding well to the challenge. At the same time, top of the stack European paper is finding favour over US equivalents in secondary.
European CLO managers traditionally have had fewer assets to build CLO portfolios than US managers have. .......
News Analysis 2 September 2020
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View from an investor Part II
Last week DuPont Capital's Karlis Ulmanis told us where he s...
Things not to like
CRT
Three GSE CRT bonds have been issued since early March, when the lockdown began. These were the most recent $1.088bn (upsized from $1.038bn) STACR DNA4 priced by Freddie on August 18, the $1.1bn STACR 2020-DNA3 printed at the beginning of July which re-opened the market and the $835m STACR 2020-HQA3 printed at the end of .......
Talking Point 1 September 2020
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EGF expression of interest launched
Sector developments and company hires
EGF expression of interest launched
Market Moves 1 September 2020
The EIF has issued a call for expression of interest in participating in its Pan-European Guarantee Fund (EGF), which forms part of the overall package of measures agreed by the Eurogroup on 9 April and further endorsed by the European Council on 23 April (SCI passim). The EGF has a target size of €25bn and .......
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Seeking stability
Stimulus complicating SME SRT analysis
Coronavirus-related stimulus schemes are complicating the analysis of European SME significant risk transfer deals. While a small number of such transactions are being discussed with investors, the EIF’s involvement is anticipated for the vast majority of them – given that its mandate is to support the sector – until further clarity emerges regarding SME performance.
Prior to the .......
News Analysis 1 September 2020
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Risk transfer round-up - 28 August
CRT sector developments and deal news
BNP Paribas is rumoured to be prepping its fifth corporate capital relief trade from the Resonance programme, which is expected to close in 2H20. The French lender closed another corporate deal in September 2019 that is believed to be Resonance Four and inked Resonance Three in December 2018 (see SCI’s capital relief trades database).
....... News 28 August 2020
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CECL eligibility expanded
Sector developments and company hires
CECL eligibility expanded
Market Moves 28 August 2020
The FDIC, OCC and the US Fed have finalised a rule that allows institutions that adopt the current expected credit losses (CECL) accounting standard in 2020 to mitigate the estimated effects of CECL on regulatory capital for two years (SCI 31 March). Under the rule, eligible institutions have the option to mitigate the estimated capital effects .......
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Time lag
Chinese asset quality weakens
Banking system statistics released by the People's Bank of China (PBOC) and the China Banking and Insurance Regulatory Commission (CBIRC) suggest that the asset quality of Chinese banks continued to weaken in 2Q20 in the wake of disruptions caused by the coronavirus pandemic. Nevertheless, the data do not yet reflect the full impact of the fallout.
According to .......
News 28 August 2020
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Auto SRT prepped
Santander readies capital relief trade
Santander is marketing a full-stack auto significant risk transfer trade that references a €520m static portfolio of 49,547 Spanish secured auto loans. Dubbed Santander Consumer Spain Auto 2020-1, the transaction differs from previous auto SRTs due to more conservative levels of excess spread.
Rated by Scope and Moody’s, the transaction consists of €450m AA/Aa1 rated class A notes, .......
News 28 August 2020
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A touch of seasoning
Proposed expansion of pool of qualified mortgages offers little for MBS
While the new category of qualified mortgage (QM) proposed by the Consumer Financial Protection Bureau (CFPB) might in theory increase the supply of high quality US mortgages for securitization, the stipulations of the proposed new rules mean that in fact there is unlikely to be a rich new gravy train, stress mortgage analysts.
The CFPB intends to broaden the net of QMs by .......
News 27 August 2020
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Doctrines disputed
MPL principles continue to be challenged
The ‘true lender’ and ‘valid when made’ doctrines of the marketplace lending industry continue to be disputed. While the state of Colorado last week reached a landmark settlement with online lenders Avant and Marlette, seven other states are challenging the FDIC and the OCC’s rulemaking in connection with these principles.
Henry Morriello, partner, head of structured finance and .......
News Analysis 27 August 2020
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Impairment posted
Write-down for Arrow, but collections improve
Arrow Global posted a £110.4m loss in 1H20 and a non-cash impairment equal to £133.6m, following a revaluation of its balance sheet after the Coronavirus crisis. However, non-performing loan collections have registered a positive trend since April as courts and real estate markets reopen. Indeed, Arrow is expected to return to profitability in 2H20.
The macroeconomic impact of .......
News 26 August 2020
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Middle ground?
Middle market CLO credit agreements being renegotiated
Many of the borrowers of the loans underlying US middle market CLOs are facing severe economic distress because of the Covid crisis and recessionary fears. As a result, they are renegotiating and amending their credit agreements to avoid breaching their financial maintenance covenants, which has given lenders an opportunity to improve terms from their perspective as well.
“Many .......
News 26 August 2020
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View from an investor
SCI hears from an US MBS buyer about what he likes in the market... and next week what he doesn't
Karlis R. Ulmanis, CFA, is a portfolio manager at DuPont Capital. In these waning days of summer, he gave an hour of his time last week to sit down (virtually, of course…) with SCI to discuss where he sees value in the current somewhat fractured and definitely jittery MBS market, agency and non-agency. We publish the first half of .......
Talking Point 25 August 2020
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FDIC sued over Madden rule
Sector developments and company hires
FDIC sued over Madden rule
Market Moves 25 August 2020
The states of California, Illinois, Massachusetts, Minnesota, New Jersey, New York, North Carolina and the District of Columbia last week filed a lawsuit in the US District Court for the Northern District of California against the FDIC over its final rule clarifying that when state-chartered banks sell, assign or transfer a loan, an interest rate that .......
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Skilled nursing CMBS eyed
Sector developments and company hires
Skilled nursing CMBS eyed
Market Moves 24 August 2020
DBRS Morningstar is reviewing its ratings on the CSMC 2019-SKLZ, Greystone CRE 2018-HC1 and CHC 2019-CHC CMBS, which are secured primarily by skilled nursing facilities. The agency warns that in the coming months, nursing homes and their parent companies may face significant legal liability as a result of the high death toll at nursing homes during .......
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SCI Start the Week - 24 August
A review of securitisation activity over the past seven days
Last week's stories
News 24 August 2020
Car capital relief
JPM Chase tests the auto loan waters with new CRT deal
Freddie, Fannie fight back
The GSEs have come out swinging after widespread denunciation of the LLPA
Freddie trifecta
Freddie prints its third STACR since lockdown, while Fannie remains on sidelines
Lack of transparency
Reporting discrepancies cause confusion
Maximum impact
Full deduction SRTs stage comeback
Mixed outlook
Divergent default .......
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Car capital relief
JPM Chase tests the auto loan waters with new CRT deal
Investors and analysts have given a cautious welcome to the latest JP Morgan CRT deal - a $1.8bn auto loan securitization, which also marks the bank’s return to the auto loan sector market after an absence of 14 years.
The deal is being marketed at the moment. The loan pool consists of a prime retail auto loan portfolio consisting of 82,824 reference .......
News 21 August 2020
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Seasoned QMs proposed
Sector developments and company hires
Seasoned QMs proposed
Market Moves 20 August 2020
The CFPB has issued a notice of proposed rulemaking (NPRM) to create a new category of seasoned qualified mortgages, with the aim of encouraging innovation and to help ensure access to a responsible, affordable mortgage credit market. To be considered a seasoned QM under the proposal, loans would have to be first-lien, fixed-rate covered transactions that have .......
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Freddie, Fannie fight back
The GSEs have come out swinging after widespread denunciation of the LLPA
Fannie Mae and Freddie Mac have offered a robust defence of their August 12 announcement to impose a 50bp loan level price adjustment (LLPA) on mortgage refinancing from September 1, which has elicited a firestorm of criticism from wide sections of the industry and government.
The GSEs yesterday issued a lengthy joint statement which stressed that the decision to pass .......
News 20 August 2020