Complete news archive
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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
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Aligning interests
Greek NPL market tipped for further growth
Activity across the Greek non-performing loan market is gathering pace. New players are expected to enter the sector this year, with a further uptake seen under the HAPS programme.
“There will be further uptake of HAPS – it has worked well to allow people to manage the size of investments that [they] made in the NPL space, so .......
News Analysis 16 February 2022
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Social mobility
'Cultural progression' puts social bonds in focus
Securitisations designated as social bonds are gaining traction, with the underlying asset classes expected to broaden. Indeed, at present, it is easier to define lending in a socially responsible way than defining it as ‘green’.
Edward Baker, capital markets director at Prodigy Finance, attests to the reasons this may be. “I think it perhaps chimes with the broader ethical and .......
News Analysis 15 February 2022
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SCI Start the Week - 14 February
A review of SCI's latest content
Last week's news and analysis
News 14 February 2022
CLN uplift
CLN deal volumes grow
Compounded calculations
First RMBS tied to Sonia index issued
Emulating efforts
Capital Four US answers SCI's questions
First loss guarantee tapped
EGF SRTs receive mixed reactions
Increasing allocation
Innovation, transparency attracting institutional investors
Positive change
Investor demand set to broaden CLO ESG screening
Spread surge
GSEs face sharply higher costs for CRT as spreads widen
Super-size STACR
Biggest .......
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Spread surge
GSEs face sharply higher costs for CRT as spreads widen
The last couple of weeks have seen significant spread widening in the GSE CRT market, making the mechanism less friendly to the balance sheets of Freddie Mac and Fannie Mae.
This week, Freddie Mac priced its second DNA STACR of the year at levels considerably wider than STACR 2022-DNA1 priced on January 20.
The most recent M-1A tranche came in at .......
News Analysis 11 February 2022
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HKMC inks infrastructure MoUs
Sector developments and company hires
HKMC inks infrastructure MoUs
Market Moves 11 February 2022
The Hong Kong Mortgage Corporation (HKMC) has signed a memorandum of understanding on an infrastructure loans framework with 14 partner banks. The MoUs set out the principal terms for potential infrastructure loan cooperation between the HKMC and the partner banks on both primary participation and secondary sale bases, including the loan selection criteria, mode of participation .......
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Increasing allocation
Innovation, transparency attracting institutional investors
The majority of institutional investors polled in a recent Aeon Investments survey have increased their allocation to structured credit investments across different asset classes over the past 18 months. When asked why there is growing interest in structured credit investment vehicles, the top three reasons were given as greater innovation in the sector, an improving regulatory environment and greater .......
News Analysis 11 February 2022