Complete news archive
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ERCF final rule published
Sector developments and company hires
The FHFA has published a final rule that amends the Enterprise Regulatory Capital Framework (ERCF) by refining the prescribed leverage buffer amount and risk-based capital treatment of retained credit risk transfer (CRT) exposures for Fannie Mae and Freddie Mac. The amendments reflect the feedback the FHFA received last year and aim to advance its mission of ensuring the enterprises are .......
Market Moves 28 February 2022
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Which probability is the probability of default?
Jack Xu, founder of Modtris Financial Modelling, outlines tw...
Probability has been used to define, measure and price risks in the financial market for a long time. For CLO managers and investors in particular, default risk is firmly equated to the probability of default. The meaning of probability may be self-evident from the example of counting faces and tails in coin tosses, but is the probability of a .......
Talking Point 28 February 2022
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SCI Start the Week - 28 February
A review of SCI's latest content
Last week's news and analysis
Agency avoidance
Originators set to turn to private market as fees rise
Borrower beware
Cost of living crisis to have 'unequal impact' on UK RMBS
Compare and contrast
US auto CLN issuance examined
Drifting wider
European ABS/MBS market update
Trigger timing
Pro-rata rating volatility warningFor all of last week’s stories including ‘Market moves’ and ‘Risk transfer round-up’ click here.
SCI CLO .......
News 28 February 2022
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Going digital
Stablecoin securitisation tipped for growth
Appropriate regulation of digital payment could pave the way for the issuance of securitisations in stablecoins. However, this Premium Content article argues that further standardisation across the blockchain ecosystem is needed for the technology to reach a critical mass.
The regulatory attention that digital payment is currently attracting – as exemplified by the US Fed’s recent report on central ......
News Analysis 25 February 2022Premium Content
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TEAK wins CIFC philanthropic support
Sector developments and company hires
CIFC Asset Management has unveiled the second annual donation made on behalf of the CLO Initiative for Change, its philanthropic programme in connection with CLOs issued by CIFC. In support of educating and empowering students to reach their full potential regardless of financial means, CIFC has partnered with the deal parties of its latest CLO - CIFC Funding 2022-II – .......
Market Moves 24 February 2022
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Agency avoidance
Originators set to turn to private market as fees rise
The GSE footprint in the US MBS market is set to shrink, and even a minor diminution would have a dramatic impact upon volume seen in the private label RMBS market, say analysts.
The potential reduction in MBS issued by Freddie Mac and Fannie Mae is due to two chief reasons. Firstly, the GSEs will increase the loan level pricing adjustments (LLPAs) in .......
News Analysis 23 February 2022
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Compare and contrast
US auto CLN issuance examined
Santander’s recent auto CRT echoed those previously issued by JPMorgan Chase. This Premium Content article examines the similarities and differences between the transactions.
Last December, Santander returned to the US capital relief trade market with its first synthetic securitisation of auto loans since 2019. The structure of the deal mimicked to a large extent similar CLNs previously brought by ......
News Analysis 23 February 2022Premium Content
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Trigger timing
Pro-rata rating volatility warning
Trigger timings and the portfolio realised credit performance of pro-rata securitisations may expose rated notes to higher rating volatility, compared with sequential transactions, according to DBRS Morningstar. In a new commentary, the rating agency reviews the additional risks associated with pro-rata transactions and the different factors that may determine when triggers are breached.
“Pro-rata structures tend to be .......
News 22 February 2022
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Borrower beware
Cost of living crisis to have 'unequal impact' on UK RMBS
The fallout from the UK’s ‘cost of living crisis’ will hit lower-income mortgage borrowers hardest, according to a recent DBRS Morningstar analysis. However, while inflation may cause challenges for all consumers, RMBS portfolios will not all be impacted equally.
The Bank of England anticipates that inflation rates will peak this spring, rising from the current level of 5.5% .......
News 21 February 2022
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Drifting wider
European ABS/MBS market update
The European ABS/MBS primary market continued to be impacted by macro volatility last week. However, while spreads drifted wider, the few deals that were done still generally managed to attract healthy investor demand.
“The market has been very calm in the past few weeks,” notes one European ABS/MBS trader. “Spreads have without a doubt widened, however not at .......
News 21 February 2022
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SCI Start the Week - 21 February
A review of SCI's latest content
Last week's news and analysis
News 21 February 2022
Aligning interests
Greek NPL market tipped for further growth
Bond exodus
Credit options tapped as floater shift begins
Comfort break
Motorway service area CMBS yet another blow to WBS
Fannie in the money
Income and net worth climb to new highs
Maturity extensions
Undrawn RCFs return but modelling issues persist
Modest uplift
Default outlook remains mild
Social mobility
'Cultural progression' puts social bonds .......
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Fannie in the money
Income and net worth climb to new highs
Fannie Mae’s net worth ballooned during 2021 by $22bn to $47.36bn, the GSE reported this week in its annual and Q4 earnings.
Net income increased by almost 100% to $22.18bn from $11.81bn in 2020. Net interest income rose by $4.72bn YoY to $29.59bn, while credit related income moved from an expense of $855m in 2020 to revenue of $5.1bn in 2021.
Fannie made $451bn .......
News 17 February 2022
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Greater progression
Sector developments and company hires
Maples Group has announced the hire of two new structured finance professionals, expanding its offering in its London and Jersey offices. Emma Tighe will join the firm in its London office as vp, having spent more than 14 years working in structured finance and most recently serving as relationship manager on the US Bank CLO team. Tighe has expertise across .......
Market Moves 17 February 2022
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Continued growth
Sector developments and company hires
Briarcliffe has made two more new appointments as it continues the expansion of its private credit business. Kyle Abel joins the firm as new head of GP advisory from First Avenue, where he served as md and US head of project management. Additionally, Robert Molina has been promoted to head of origination, having previously worked as md of GP advisory, .......
Market Moves 16 February 2022
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Comfort break
Motorway service area CMBS yet another blow to WBS
Late last year Goldman Sachs issued Highways 2021, a £262m CMBS backed by a single loan secured by eight UK motorway service area properties. The transaction mirrored Welcome Break’s 1997 £321m bond issue, which represented the UK’s first whole business securitisation. Such a structural shift represents yet another nail in the coffin of the whole business securitisation sector, following a .......
News Analysis 16 February 2022