Complete news archive
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SCI Start the Week - 7 February
A review of SCI's latest content
Last week's news and analysis
News 7 February 2022
Big business
Strategic shift favours alternative credit M&A activity
Climate stress tests launched
ECB releases climate scenarios
Fannie CAS prices
New high LTV CAS, second CAS of 2022, prints
Fannie surge
Second CAS of 2022 in the market
Freddie fever
Freddie in the market with 2nd STACR of 2022, 4th GSE CRT deal
MBS meltdown
Fed ends MBS purchases, will reduce portfolio
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Sea sick CRT
GSE CRT investments punished by January blues
The GSE CRT market provided only a very thin positive return in January as inflationary pressures build and the yield curve moves into bear flattening mode.
The CRTx, the flagship index of Charlotte, NC-based consultancy Mark Fontanilla & Co, provided only a 6bp return last month, according to data released at the beginning of this week.
“It was the worse monthly returns for .......
News Analysis 4 February 2022
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STS register rolled out
Sector developments and company hires
ESMA has launched its STS Register for the notification of securitisations under the Securitisation Regulation. The entry into force of the Securitisation Regulation on 1 January 2019 introduced an obligation for originators and sponsors to jointly notify ESMA and their National Competent Authorities that a securitisation meets the STS criteria for being granted the STS label.
ESMA has put in .......
Market Moves 4 February 2022
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Risk transfer boost
Barclays tops annual SRT issuance
Barclays has finalized twelve significant risk transfer transactions from the Colonnade programme last year which all total US$1.6bn in equity tranche notional. The number of deals renders Barclays the most active SRT originator of 2021 as capital relief trades continue their post-Covid surge.
According to Frank Benhamou, head of funding and capital solutions at Barclays, ‘’SRT transactions help us improve .......
News Analysis 4 February 2022
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Freddie fever
Freddie in the market with 2nd STACR of 2022, 4th GSE CRT deal
The frenetic start to the new year in the GSE market shows no sign of abating as news spread today that Freddie Mac is in the market with a new STACR deal.
The $1.92bn trade, designated STACR DNA 2022-2, is Freddie’s second of 2022 and comes in the same week as Fannie Mae’s CAS 2022-R02. The latter was also Fannie Mae’s .......
News 3 February 2022
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Positive outlook
Tapan Jain, portfolio manager at Hildene Capital, shares his views on the CLO market
2021 proved to be a banner year for the CLO market, from a returns perspective and also through the lens of the market’s “maturity”. Relentless issuance was met by strong demand that pushed the total market size through $1trn. CLOs are now the largest asset class within the .......
Talking Point 3 February 2022
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MBS meltdown
Fed ends MBS purchases, will reduce portfolio
MBS yields have risen 15bp since the beginning of the year and are set to rise at least another 15bp and probably more, say market analysts.
Mortgage securities have been buffeted by a combination of inflationary pressures and the rapidly attenuating Fed MBS purchase programme.
Things could also turn a lot worse if the Fed decides to hike rates more often and to run .......
News 3 February 2022
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Big business
Strategic shift favours alternative credit M&A activity
The alternative credit industry might be at an inflection point in its development, with a decisive change anticipated in M&A activity in terms of the dominant acquirer from a financial to strategic buyer. Such a transition would inevitably benefit leading alternative credit managers.
“After five years of real and incredible growth in alternative credit acquisitions, we have witnessed .......
News Analysis 3 February 2022
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Fannie CAS prices
New high LTV CAS, second CAS of 2022, prints
Fannie Mae has priced the $1.2m CAS 2022-RO2, reported to be in the market on Monday.
The transaction consists of four tranches. The $357.5m 2M-1, rated BBB/BBB, has priced at 1m SOFR plus 120bp. The $378.5m 2M-2, rated BB/BBB-, has priced at 1m SOFR plus 300bp, the $273.4m 2B-1 has priced at 1m SOFR plus 450bp while the unrated/B rated $231.4m .......
News 2 February 2022
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Team expansion
Sector developments and company hires
Apollo has beefed up its Asia Pacific business, with the addition of Anthony Hermann as a partner and head of Asia Pacific credit, based in Sydney. Together with fellow new hires mds Vidyasagar Pulavarti and Julian Longstaff, he will be responsible for building and expanding the firm’s yield business across the APAC region.
Hermann was previously executive general manager, global .......
Market Moves 2 February 2022
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Maltese SME guarantee inked
Sector developments and company hires
Bank of Valletta and the EIB Group have renewed their partnership to support the business needs of SMEs in Malta. Under this new agreement, the bank will provide an additional €28m to Maltese SMEs on favourable terms and with long tenors over the next two years.
The favourable conditions on the loans are achieved through risk transfer, implemented by combining .......
Market Moves 1 February 2022
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Fannie surge
Second CAS of 2022 in the market
Fannie Mae is in the market with its second CRT trade of the year - a $1.24bn transaction designated CAS 2022-R02.
The deal should price in the next day or two.
Its inaugural 2022 CAS deal printed less than three weeks ago. That was a low LTV deal, but the deal now before investors is a high LTV deal in which all .......
News 31 January 2022
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SCI Start the Week - 31 January
A review of SCI's latest content
Last week's news and analysis
Electric avenue
Electric cars aren't as green as they seem
Inflection Point?
European ABS/MBS market update
Multi-family moves
SitusAMC Insights speaks up on the US multi-family market
Remarkable restructuring
Re-tranched NPL ABS set to benefit from GACS
Risk limits
US corporate SRT issuance to remain constrained
SME uplift
Further details on Banco BPM SRT revealed
Trigger concerns
EBA complicates CRT thickness requirementsFor all .......
News 31 January 2022
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Electric avenue
Electric cars aren't as green as they seem
“Just because you have an electric car it doesn’t make you green,” says the head of liquid assets investment at a large public sector borrower in North America.
He manages a $45bn portfolio of which is between $5bn-10bn is devoted to AAA-rated structured finance products, and he was talking about the difficulty of scoring these deals according to ESG criteria.
While plain vanilla .......
News Analysis 28 January 2022
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Trigger concerns
EBA complicates CRT thickness requirements
The EBA’s consultation paper on regulatory technical standards (RTS) regarding the specification of performance-related triggers for STS synthetic securitisations has largely been welcomed by originators (SCI 20 December 2021). However, one backward-looking trigger pertaining to the thickness of the protected tranche has raised eyebrows.
The consultation stipulates backward- and forward-looking performance triggers that switch a synthetic .......
News Analysis 28 January 2022
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Impact investor acquired
Sector developments and company hires
M&G is set to acquire a majority stake in impact investor responsAbility Investments. Headquartered in Zurich, responsAbility has invested more than US$11bn in private assets across emerging markets since it was founded in 2003 and currently has approximately US$3.7bn of assets under management (as at year-end 2021).
The acquisition is in line with M&G’s strategy to grow its sustainable investment .......
Market Moves 28 January 2022
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Risk limits
US corporate SRT issuance to remain constrained
Issuance of capital relief trades referencing US corporate loans is likely to remain constrained, even though a small pick-up in volume has occurred since 2020 with transactions issued by JPMorgan, Goldman Sachs and HSBC USA. Such deals are expected to be driven less by capital relief requirements and more by considerations pertaining to limit relief, profitability and balance sheet growth.
News Analysis 28 January 2022
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Inflection Point?
European ABS/MBS market update
The European ABS/MBS primary market has been hit by macro volatility this week. While the previous week saw healthy investor demand and firm pricing (SCI 21 January), the current tense backdrop of central banks unwinding and major geopolitical tensions, appears to have affected spreads.
“The primary market has generally been very volatile this week,” notes one ABS/MBS .......
News 28 January 2022