Complete news archive
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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
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Lack of transparency
Reporting discrepancies cause confusion
US RMBS reporting discrepancies are becoming a source of confusion among investors, with some shelves and servicers not always reporting loans in forbearance as delinquent. These discrepancies appear to be more visible in the reperforming loan space, where there has been a significant increase in modified loans with ‘current’ status that are not amortising.
To address the increased .......
News Analysis 20 August 2020
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Risk transfer round-up - 20 August
CRT sector developments and deal news
Banca Carige is rumoured to be readying a capital relief trade referencing corporate loans for 2H20. The transaction would be the Italian lender’s first significant risk transfer deal (see SCI’s capital relief trades database).
....... News 20 August 2020
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Mixed outlook
Divergent default performance highlighted
Second quarter corporate default data reveals a cluster of defaults around retail, services and the automotive sector as post-Covid negative outlooks for all three persist. However, the default landscape between the three segments shows some marked differences, with retail being hit the hardest.
According to Euler Hermes data, corporate defaults were clustered in the retail, services and .......
News 20 August 2020
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New targets
US CLO spread and issuance targets raised as previous levels already met
US CLO triple-A and triple-B secondary spreads are now at 150bp and 450bp, while net primary supply passed US$27bn this week. As a result, post-Covid crisis targets for the entirety of 2020 set by JPMorgan CLO research analysts have already been met or exceeded and have consequently been revised upwards.
“It seemed almost inconceivable spreads would tighten so .......
News 20 August 2020
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SSRT trio revealed
Sector developments and company hires
SSRT trio revealed
Market Moves 19 August 2020
S&P has published its ratings and research on three previously privately-rated risk transfer RMBS issued by Freddie Mac, at the issuer's request. The trio of deals are STACR Single-Seller Risk Transfer (SSRT) Series 2019-CS02 (sized at US$245.2m and closed in March 2019), 2020-CS01 (US$578.36m; April) and 2020-CS02 (US$190.78m; July). The transactions transfer a portion of the risk .......
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Freddie trifecta
Freddie prints its third STACR since lockdown, while Fannie remains on sidelines
Freddie Mac yesterday priced another STACR deal, its third since lockdown conditions began in early March. Its 2020-DNA4 comprised $1.088bn of M1, M2, B1 and B2 tranches, and, like the previous two offerings there will be an associated ACIS insurance policy to transfer additional risk.
The $295m M1 tranche carries a 3% coupon with a weighted average life (WAL) of 2.13 years, .......
News 19 August 2020
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Special servicing assets transferred
Sector developments and company hires
Special servicing assets transferred
Market Moves 18 August 2020
The assignment of substantially all of the assets of C-III Asset Management to Greystone Servicing Company, pursuant to the applicable PSA associated with each of the C-III specially-serviced CMBS, is complete. The assignment includes 64 transactions rated by Moody's and 28 Moody's-rated US conduit CMBS that hold C-III specially-serviced companion loans, but excludes the non-C-III specially-serviced .......
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Suburban bounce
SFR volumes up as renters vacate cities
Single-family rental (SFR) securitisation issuance has picked up this year, despite coronavirus-related volatility. Notably, suburban developments appear to be benefiting as renters seek alternatives to the urban environment.
“The impact of the Covid-19 environment on the economy and real estate assets continues to unfold,” says Daniel Tegen, senior director at KBRA. “The resulting implications on cashflow and value .......
News Analysis 18 August 2020
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Hotels dominate special servicing transfers
Sector developments and company hires
Hotels dominate special servicing transfers
Market Moves 17 August 2020
During 1H20, 1,065 US CMBS loans totalling US$40.1bn (representing approximately 7% of total outstanding CMBS) transferred to special servicing, as CMBS borrowers continued to grapple with the economic impact of the coronavirus pandemic, according to Fitch. The vast majority of these transfers, more than 900 loans totalling US$35.5bn, occurred during 2Q20. In comparison, special servicers .......
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Maximum impact
Full deduction SRTs stage comeback
Supranational and private capital relief trade structures have had to be adjusted following the coronavirus fallout to address the impact of payment holidays on deal performance, according to SCI’s latest CRT Case Study. Both supranational and private investors have treated the issue with equal caution. However, full deduction significant risk transfer deals originated by standardised banks and solely backed .......
News Analysis 17 August 2020
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SCI Start the Week - 17 August
A review of securitisation activity over the past seven days
Last week's stories
Collections clarity
Payment arrangement ABS strengthened
Problem solving
Apex Group, answers SCI's questions
Repeat patterns
CLO equity activity continues to be challenged
Other deal-related news- The percentage of US CMBS repeat loans dropped to 17.7% in 2019 and to 13.9% in 1H20, down by 21.4% year-over-year (SCI 10 August).
- Piraeus Bank has filed an application for inclusion ....... News 17 August 2020
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'Flip clause' complaint dismissed
Sector developments and company hires
‘Flip clause’ complaint dismissed
Market Moves 14 August 2020
The US Court of Appeals for the Second Circuit has ruled that investors should keep roughly US$1bn received from various Lehman Brothers affiliates after the bank’s 2008 bankruptcy filing triggered the liquidation of dozens of CDOs. The case centres on the Bankruptcy Code’s treatment of ‘flip clauses’ in a securitisation waterfall, which reprioritise cashflow upon bankruptcy and .......
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LLPA increase 'misguided'
Sector developments and company hires
LLPA increase ‘misguided’
Market Moves 13 August 2020
Fannie Mae and Freddie Mac are increasing the loan-level price adjustment (LLPA) by 50bp as an adverse market delivery charge on effectively all mortgage refinances, except for construction loans, with settlement dates after 1 September. In response to the move, the Mortgage Bankers Association states that the announcement “flies in the face of the Administration's recent executive .......
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Collections clarity
Payment arrangement ABS strengthened
New legislation (Law 14.031) has been introduced in Brazil regarding payment arrangements that govern payment services used by the public. The move is expected to have a positive impact on securitisations backed by receivables from these payment networks.
Federal Law 14.031, enacted on 28 July, clarifies that proceeds for settlements of obligations related to the final user of a payment .......
News 13 August 2020
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Hertz review reversed
Sector developments and company hires
Hertz review reversed
Market Moves 12 August 2020
Moody's has changed the direction of review for 11 tranches of rental car ABS issued by Hertz Vehicle Financing II (HVF II) to under review for upgrade from under review for downgrade. The action is prompted by: the recent court-approved order requiring Hertz to make lease payments and remit required vehicle sales proceeds (SCI 31 July), .......
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Repeat patterns
CLO equity activity continues to be challenged
The US CLO primary and secondary markets broadly appear to have bounced back from the early stages of the Covid crisis with spreads tightening and revived investor participation. However, long-standing trends at the bottom of the stack continue to challenge equity activity.
Up until the summer lull took full effect last week, 2020 has seen extremely high levels .......
News Analysis 12 August 2020
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Piraeus taps HAPS
Sector developments and company hires
Piraeus taps HAPS
Market Moves 11 August 2020
Piraeus Bank has filed an application for inclusion of its Phoenix non-performing loan securitisation under the Hercules Asset Protection Scheme (HAPS). The total gross book value of the portfolio is €1.9bn, the majority of which relates to mortgage loans, and the application is in connection with a Greek state guarantee on senior notes with a total gross .......
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CMBS repeat loan volume declines
Sector developments and company hires
CMBS repeat loan volume declines
The percentage of US CMBS repeat loans dropped to 17.7% in 2019 and to 13.9% in 1H20, down by 21.4% year-over-year, according to DBRS Morningstar figures. Nevertheless, the volume of CMBS loans refinanced into CRE CLOs has remained strong, with over two billion loans exiting through such vehicles.Based on an analysis of CMBS .......
Market Moves 10 August 2020
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Problem solving
Paul Wilden, global head of capital markets at Apex Group, answers SCI's questions
Q: How is Apex Group involved in the securitisation market?
A: We provide a combination of SPV administration, trustee and agency services to a broad cross-section of asset classes. Our capital markets business is broadly sector agnostic.Q: What are the firm’s key areas of focus today?
Provider Profile 10 August 2020
A: Given the proliferation of private debt funds, one area where we add .......
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SCI Start the Week - 10 August
A review of securitisation activity over the past seven days
Last week's stories
News 10 August 2020
Asset-backed attenuation
Stricter underwriting in auto, credit card and home loan markets means fewer ABS deals
CMBS perturbation
Fitch report shows July US delinquency surge, especially in hotels and retail
CPIH calculation
Inflation index switch to support ICSL ABS
Freddie STACRs them up
New STACR deal was upsized and printed at the tight end across the capital structure
Greek momentum
Alpha .......