Complete news archive
-
October cliff edge looms
The apparent recovery of many parts of the MBS market may be a false dawn
Mortgage-backed securities have in general rebounded with confidence in recent weeks, but there is an undercurrent of alarm in the market that the resurgence might have over-reached itself. Despite the last non-farm payroll report, much economic data is still extremely sobering and a shock in Q4 could be on the cards, say analysts.
For example, seven credits of the 100 constituent credits .......
News Analysis 15 July 2020
-
Risk transfer round up - 15 July
CRT sector developments and deal news
Credit Agricole is rumoured to be readying a corporate capital relief trade that is expected to close in 2H20. The French lender’s last risk transfer trade was closed in March 2018 with the IFC (see SCI’s capital relief trades database).
....... News 15 July 2020
-
Risk transfer return
Intesa debuts post-Covid Italian SRT
Intesa Sanpaolo has returned to the synthetic securitisation market with a new transaction from its GARC programme. Dubbed GARC Leasing-1, the €107m cash collateralised equity tranche references a static €1.5bn portfolio of lease financing to 2,600 Italian SMEs. The transaction is the first Italian leasing SRT and the first private capital relief trade to be issued out of Italy .......
News Analysis 15 July 2020
-
Structural changes
New US CLO docs anticipating Volcker
Most of the US CLOs currently marketing are already being structured to incorporate changes resulting from the revised Volcker rule (SCI 26 June). At the same time, new deal documentation is also enabling greater flexibility for managers to participate in restructurings.
Despite the Volcker rule changes not being effective until 1 October, new deals are already being .......
News Analysis 15 July 2020
-
Dual-speed transition?
Libor replacement risks highlighted
The Alternative Reference Rates Committee's timelines for transitioning from Libor to SOFR is behind those of the sterling market’s for transitioning to SONIA, implying that the adoption of many risk-free rate best practices will take place in late 2021. At the same time, legacy securitisation documentation might not have embedded strong transition language, which could lead to counterparty litigation.
News Analysis 14 July 2020
-
Fannie takes a step back
As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules
Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Federal Finance Housing Authority (FHFA) on May 20 is causing Fannie Mae to hold back from CRT issuance, confirm market sources close to the agency.
“They’re trying to evaluate what the new capital rules might mean before they take the next step,” says one consultant.
At the beginning .......
News Analysis 14 July 2020
-
LCX platform expanded
Sector developments and company hires
LCX platform expanded
Market Moves 13 July 2020
LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled the company to sell previously originated loans at, above or below par, from its balance sheet. For the first time, LendingClub .......
-
ACIS activated
Freddie Mac brings first ACIS CRT deal since March
Following its recent re-opening of the CRT bond market with a $1.1bn STACR deal, Freddie Mac last Friday (July 10) priced its first ACIS deal since March. Like the STACR deal, this transaction was also over-subscribed and issue size was doubled to $425m.
The deal, designated ACIS 2020 DNA3, consisted of four tranches. The M1, for an issue size .......
News 13 July 2020
-
SCI Start the Week - 13 July
A review of securitisation activity over the past seven days
Last week's stories
News 13 July 2020
Arch restarts MILNs
Relaunched Bellemeade Re 2020-1 priced
Collection boost?
NPL ABS performance remains volatile
CPR for CRT from Freddie
Freddie Mac's new upsized STACR shows market is healthy
Forbearance plans plummet
Forbearances fall to April levels, but rollercoaster ride isn't over
Polish SRT inked
Santander completes capital relief trade
Pricing recalibration
NPL ABS market growth pending?
Restructuring events?
Uncertainty over CRE values .......
-
Forbearance plans plummet
Forbearances fall to April levels, but rollercoaster ride isn't over
Forbearances fell by 435,000 last week - the biggest single week drop yet - taking the overall number of home owners in forbearance plans to 4.14m, according to data released this morning by Black Knight. This is the lowest number of forbearances since April 28.
Some 7.8% of all US mortgages are now in forbearance, a 0.8% decline from the .......
News 10 July 2020
-
OC ratios examined
Sector developments and company hires
OC ratios examined
Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P. It finds that average senior and junior OC cushions declined between February and May by 1% to remain healthy at over 8% and 3% respectively.However, S&P says: “We are seeing a wider dispersion of OC cushions across .......
Market Moves 10 July 2020
-
Risk transfer round up - 10 July
CRT sector developments and deal news
Commerzbank is rumoured to be readying a corporate capital relief trade that is expected to close in 2H20. The German lender’s last significant risk transfer trade closed in February and referenced German SME exposures (see SCI’s capital relief trades database).
Meanwhile, Lloyds is believed to be readying another agricultural loan SRT from the Fontwell programme for 3Q20. .......
News 10 July 2020
-
Spanish CP vehicle formed
Sector developments and company hires
Spanish CP vehicle formed
ODF Energía has registered on MARF the first issuance of commercial paper, sized at €30m, from its innovative new Spanish securitisation fund. Dubbed HT Suministros, the fund is a multi-compartment vehicle with a maximum issuance amount of €200m, secured by the successive purchase of credit rights belonging to different companies or private businesses groups.The .......
Market Moves 9 July 2020
-
Arch restarts MILNs
The relaunched Bellemeade Re 2020-1 from Arch Capital, priced at the end of last week, secured more investors than any previous mortgage insurance-linked note (MILN) from this borrower, confirms Jim Bennison, executive vice president for alternative markets.
The original Bellemeade Re 2020-1 was pulled on March 9 as markets fissured and investor interest evaporated. But buyers have come back to the MILN .......
News Analysis 9 July 2020
-
CPR for CRT from Freddie
Freddie Mac's new upsized STACR shows market is healthy
Freddie Mac has demonstrated that reports of the death of the CRT bond market are greatly exaggerated with its upsized $1.1bn STACR 2020-DNA3 deal priced at the end of last week and announced on Monday, July 6. This was the first single family GSE CRT offering since March.
The deal was worth $500m at launch but was more than doubled to $1.1bn due .......
News Analysis 9 July 2020
-
Restructuring events?
Uncertainty over CRE values weighs on CRTs
Restructuring credit events in capital relief trades backed by commercial real estate loans will likely occur over the next six months, following an end to coronavirus-related payment holiday schemes. Given uncertainty over the long-term impact of the pandemic on CRE collateral values, disagreements between banks and investors over the appropriate workout strategy and the related issue of control rights .......
News Analysis 9 July 2020
-
Pricing recalibration
NPL ABS market growth pending?
The EBA’s opinion (SCI 24 October 2019) and more recently the Basel Committee’s consultation (SCI 24 June) on removing impediments to the securitisation of non-peforming loans have been welcomed for addressing the key points that would help to make the tool more attractive. However, the growth of the NPL ABS market could be inhibited in the near .......
News Analysis 9 July 2020
-
Polish SRT inked
Santander completes capital relief trade
Santander has completed a synthetic securitisation of Polish leasing receivables with the EIF. The transaction references an approximately PLN2bn (€450m) portfolio and is Santander’s first significant risk transfer transaction following the coronavirus crisis.
Georgi Stoev, head of CEE and Northern European securitisation at the EIF, notes: “The coronavirus crisis has led to negative rating migrations in portfolios and .......
News 9 July 2020
-
CQS portfolio refinanced
Sector developments and company hires
CQS portfolio refinanced
Market Moves 8 July 2020
AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m. Originated by a large Italian bank, these loans were initially securitised in 2016. In July 2019, AnaCap acquired the equity in the securitisation and in June 2020 it exercised its right to acquire the .......
-
Collection boost?
NPL ABS performance remains volatile
May registered higher collection volumes than April for Italian non-performing loan securitisations, although the level remains below the January-February average. Low collection levels are expected to persist for the rest of this year, as Italy’s economy is unlikely to recover post-coronavirus before 2021.
According to the latest data from Scope Ratings, total gross proceeds for all transactions it .......
News 7 July 2020
-
Positive signs for CLOs
Sector developments and company hires
Positive signs for CLOs
Market Moves 7 July 2020
US CLO manager metrics have begun to improve or stabilise, according to JPMorgan’s Q2 report on the sector, published today. “In the very latest reported data, the percent of US CLOs failing the junior-most OC test (double- or single-B) dropped from 20% a few weeks ago to 16% - likely due to higher triple-C loan market values, .......