Complete news archive
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400CM tap NPL ABS market
Sector developments and company hires
400CM tap NPL ABS market
400 Capital Management has closed two securitisations backed by US$780.2m of residential non-performing loans. The firm entered into the securitisations to obtain term financing, remove mark-to-market risk, reduce cost and create scalable fixed-rate financing.Given the size of the loan pool, 400CM decided to offer two transactions with similar characteristics. 510 Asset Backed (FTAB) .......
Market Moves 13 September 2021
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Legal concerns
Consumer protection uncertainties highlighted
A recent European Court of Justice (ECJ) ruling on consumer rights in German loan agreements amplifies legal uncertainty regarding information that needs to be included in contracts, Fitch suggests. The implications for Fitch-rated German auto ABS have been limited so far, but the rating agency says it remains important to monitor the impact on borrower behaviour and how far .......
News 13 September 2021
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SCI Start the Week - 13 September
A review of SCI's latest content
NPL ABS seminar tomorrow
News 13 September 2021
SCI’s 3rd Annual NPL Securitisation Seminar is taking place virtually tomorrow 14 September. The event will explore the impact of the coronavirus fallout on performance and issuance, as well as on pricing assumptions, servicing and workout trends across the European non-performing loan ABS market. Together with recent regulatory developments in the space, it will also examine the .......
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Love me tender
STACR tender shows validity of CRT and salience of capital efficiency
The significance of Freddie Mac’s STACR tender offer, announced earlier this week, should not be underestimated, say market insiders.
The tender shows, on the one hand, that the GSE is acutely conscious of the demands of greater capital efficiency, they say.
But it also demonstrates that it places continued faith in the CRT mechanism.
“By this tender offer, Freddie shows that there is .......
News Analysis 10 September 2021
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RFI issued on sustainable housing
Sector developments and company hires
RFI issued on sustainable housing
Market Moves 10 September 2021
The FHFA is requiring Fannie Mae and Freddie Mac to submit Equitable Housing Finance Plans by end-2021, with the plans to be updated annually. The plans will identify and address barriers to sustainable housing opportunities, including the GSEs’ goals and action plans to advance equity in housing finance for the next three years. The FHFA .......
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Intrinsically ambiguous
Social RMBS may convey 'elevated' credit risks
While demand for ESG assets is gaining traction, social RMBS transactions might convey inherent credit risks, a recent S&P report warns. If green deals have managed to attract a ‘greenium’, defining social bonds appears to be a more subjective task (SCI 1 April).
Social RMBS follows the assumption that the financial markets have a role to play .......
News Analysis 10 September 2021
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Structural innovation
Evolution of Euro CLOs set to continue
European CLOs issued during 2021 have started to resemble pre-pandemic deals, with par subordination returning to the 38%-40% range compared with 42%-44% for CLOs issued last year. At the same time, documentation and structural features continue to evolve in response to the challenging environment, adding further flexibility for effective management of CLO portfolios.
“Last year, CLO documentation changed, .......
News 10 September 2021
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NPL ABS seminar line-up finalised
Regulatory developments, servicing trends on the agenda
SCI’s 3rd Annual NPL Securitisation Seminar is taking place virtually on 14 September. The event will explore the impact of the coronavirus fallout on performance and issuance, as well as on pricing assumptions, servicing and workout trends across the European non-performing loan ABS market. Together with recent regulatory developments in the space, it will also examine the GACS .......
News 10 September 2021
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Chinese reserves
Growth boosts domestic securitisation market
China’s continued economic growth has boosted both securitisation performance and issuance volumes. However, bank asset quality remains at risk because of high economic uncertainties from the lingering pandemic threat and ongoing structural adjustment in the economy. Yet bank asset metrics benefit from continued disposal of bad debts using their substantial loan loss reserves.
According to the latest Moody’s .......
News 10 September 2021
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JP Morgan into fifth gear
Third CLN in 2021 to cover auto loan losses soon to print
JP Morgan Chase is to price its second auto loan-linked CLN deal in two months, its third of the year and its fifth in just over 12 months as the auto loan book become the clear favourite for the bank’s use of the CRT mechanism.
Designated Chase Auto Credit Linked Notes, Series 2021-3 (CACLN 2021-3), the note transfers risk to noteholders via .......
News 9 September 2021
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WAL enters CRT space
CRT trade covers first losses on warehouse loans
Western Alliance Bancorporation (WAL), a $35bn western US lender headquartered in Phoenix, Arizona, completed a $242m 144a credit linked note (CLN) sale at the end of June to cover first losses on $1.9bn reference pool of mortgage warehouse loans.
This constitutes another capital relief trade brought to the market by a US regional following the lead of Texas Capital Bank six .......
News 9 September 2021
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CLO equity investment agreement inked
Sector developments and company hires
CLO equity investment agreement inked
Market Moves 9 September 2021
CQS has entered into a strategic investment agreement with Jefferies and three investment management firms to support the new issuance of US CLOs on the CQS platform. Under the terms of the agreement, Jefferies and the investment management firms will provide CLO equity capital and warehouse funding to support the new issuance of four to .......
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Tender Freddie
GSE has commenced a debut buyback scheme to retire old STACR issuance
Freddie Mac yesterday (September 7) inaugurated its first-ever tender offer programme to buy back STACR notes to reduce indebtedness, the agency told SCI last night.
The tender offer period will run until midnight EDT on October 4 and will be managed by co-managers Barclays Capital and Bank of America. Freddie will buy back up to $650m in aggregate original principal amount, targeting .......
News 8 September 2021
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Back in business
European ABS/MBS market update
The European ABS/MBS primary market is up and running again after the summer lull. This afternoon saw the first widely marketed deal to price since the August hiatus, with more set to follow this week and beyond.
UK non-conforming RMBS Together Asset Backed Securitisation 2021-1ST1 saw its three offered tranches price as follows – £283m class As at .......
News 8 September 2021
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Cyberattack scenarios weighed
Sector developments and company hires
Cyberattack scenarios weighed
Market Moves 8 September 2021
S&P reports that it has seen more credit-relevant cyber events in the last six months than in the previous six years, including the first structured finance transaction reporting an operational disruption following a ransomware attack on the originator and servicer (SCI 28 May). The rating agency says it has explored several hypothetical scenarios to identify areas .......
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SFDR to spur Article 8 CLOs
Sector developments and company hires
SFDR to spur Article 8 CLOs
Market Moves 7 September 2021
CLOs may soon be structured as Article 8 funds under the EU Sustainable Finance Disclosure Regulation (SFDR), as part of the rotation of capital towards assets that promote ESG objectives, according to White & Case. The firm notes in a recent client memo that Article 8 funds that invest in CLOs are already emerging and .......
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Assured wraps Euro CLO pair
Sector developments and company hires
Assured wraps Euro CLO pair
Market Moves 6 September 2021
Assured Guaranty has over the last month wrapped a portion of debt issued by two European CLOs for European investors. Assured Guaranty (Europe) guaranteed €125m of triple-A rated class A notes issued by NIBC Bank’s North Westerly V CLO, while Assured Guaranty Corp and Assured Guaranty UK co-guaranteed €100m – in aggregate – across the .......
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SCI Start the Week - 6 September
A review of SCI's latest content
Last week's news and analysis
News 6 September 2021
Cliff edge looms
400,000 loans face forbearance expiry
CMBS vigour
CMBS issuance for rest of 2021 to keep everyone busy
Forward strides
Middle East Islamic finance market looks good into 2022
High LTV Italian SRT inked
Intesa executes capital relief trade
Libor worries
UK RMBS transition to leave ratings unshaken
Low delinquencies - for now
Delinquencies give few alarms but asset quality .......
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Cliff edge looms
400,000 loans face forbearance expiry
The number of mortgages in active forbearance continued to tick down last week, but this month the market is set to be buffeted by the termination of plans that commenced at the beginning of the pandemic.
Some 400,000 mortgages hit the expiration date on September, based on the current allowable term lengths which were extended in June.
It is not clear what proportion .......
News 3 September 2021
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High LTV Italian SRT inked
Intesa executes capital relief trade
Intesa Sanpaolo has finalized a significant risk transfer (SRT) transaction from the GARC programme that references a €1.3bn portfolio of high loan-to-value (LTV) residential mortgages.
The deal is the first high LTV mortgage SRT in the Italian market. The mortgages in the pool have a LTV ratio that is 80% or higher.
The trade features a €33.3m upper junior tranche (1.5%-4%), a €70.6m .......
News 3 September 2021