CMBS

  • Older CLOs underperforming

    Sector developments and company hires

    Older CLOs underperforming
    A significant proportion of all the US BSL CLOs S&P has on negative watch closed in 2015 or before. The rating agency reports that such deals also experienced a steeper average decline in OC cushion, falling by 3.23%, and their average junior OC cushion is now approaching 0%.

    Of the 410 currently reinvesting deals within the .......

    Market Moves 16 June 2020

  • Demand decline

    Remote working accelerates change for office CRE

    A decline in demand for office real estate is expected amid the coronavirus fallout and record job losses. Occupancy and rental rates will come under pressure as a result.

    The Covid-19 outbreak has accelerated the adoption of remote working, which is likely to lead to a gradual reduction in the office footprint. “This epidemic marks a watershed in .......

    News 15 June 2020

  • Californian auto loans eyed

    Sector developments and company hires

    Californian auto loans eyed
    The Westlake Automobile Receivables Trust 2020-2 issuer has disclosed that the state of California is considering new legislation - Assembly Bill No. 2501 (AB 2501) - that could significantly impact auto loan securitisations with high concentrations of Californian loans. S&P notes that in its current form, if this legislation is enacted, it could require servicers of .......

    Market Moves 12 June 2020

  • Risky retention

    Haircuts become more severe in Covid 19 world

    Issuers of mortgage-backed bonds are at the moment finding it increasingly difficult to fund the risk retention pieces, say market sources.

    Lack of liquidity in the MBS repo market is in part to blame, but also rates have soared to uneconomic levels for issuers wishing to lend notes in return for cash as the likely economic effects of Covid 19 devalue mortgage-backed .......

    News Analysis 12 June 2020

  • Risk transfer round-up - 10 June

    CRT sector developments and deal news

    Santander has exercised a 10% clean-up call for its Red-1 Finance CLO 2017-1 transaction. The UK commercial real estate capital relief trade was structured in 2017 with a June 2022 maturity (see SCI’s capital relief trades database).  

    .......

    News 10 June 2020

  • Resolve and resilience

    Content sponsored by Ocorian

    James Maitland, regional head of Americas, Bermuda & Caribbean, and global head of capital market services at Ocorian, spoke to SCI about how resilience is benefiting the industry and his firm

    With the traditional office environment disappearing almost overnight and widespread personal restrictions, we have seen a smooth transition and incredible resilience both within our own firm and across the .......

    Talking Point 10 June 2020

  • CLO business integrated

    Sector developments and company hires

    CLO business integrated
    RBC’s US-based CLO management business is being integrated into BlueBay’s CLO management platform. Sid Chhabra, who joined BlueBay – which is owned by RBC - in 2018 to build the firm’s structured credit and CLO capabilities, will lead this team. The US-based team includes four experienced individuals and the US$500m CLOs they manage.

    In other news…

    Market Moves 8 June 2020

  • Conduit CMBS on watch

    Sector developments and company hires

    Conduit CMBS on watch
    S&P has placed its ratings of 96 classes from 30 US conduit CMBS on credit watch (CW) with negative implications, reflecting the bonds' exposure to the adverse impact of Covid-19 on the lodging and retail sectors, and the related uncertainty about the duration of the demand disruption. The agency says it will resolve or update the .......

    Market Moves 4 June 2020

  • More Euro CLOs on review

    Sector developments and company hires

    More Euro CLOs on review
    Moody’s has put a further 234 tranches from 77 European BSL CLOs on review for possible downgrade. The securities involved are rated Baa2 to B1 and below. The action brings the total number of European CLOs Moody’s has under negative review to 351, representing around 16% by count, or 6.5% by balance, of its rated .......

    Market Moves 3 June 2020

  • New paradigm?

    Trustee discretion required in virtual environment

    The coronavirus crisis ushered in a new paradigm for securitisation noteholder communication and documentation processes, as remote working was enforced. This change has demanded flexibility from trustees and agents amid the uncertainty.

    Morgan Krone, partner and head of the global corporate trust and agency practice at Allen & Overy, says: “I think trustees and agents have done extremely .......

    News Analysis 2 June 2020

  • Equity opportunities?

    Sector developments and company hires

    Equity opportunities?
    Despite a lack of visibility and liquidity and with cashflows likely to deteriorate further into upcoming July payment dates, there may be some opportunities in the CLO equity space, according to a new research report from JPMorgan.

    It finds that while NAVs remain negative, there has been some improvement between March lows and late 2019. Equally, cashflow .......

    Market Moves 1 June 2020

  • Renewables JV inked

    Sector developments and company hires

    Renewables JV inked
    By way of a joint venture, illimity Bank and VEI Green II have set up a securitisation vehicle for distressed loans with underlying assets that produce electricity from renewable sources. This vehicle will invest up to €100m and operate in both the Italian primary and secondary energy markets. The partnership has commenced activities by carrying out its .......

    Market Moves 29 May 2020

  • Pan-European guarantee fund launched

    Sector developments and company hires

    Pan-European guarantee fund launched
    The EIB board has approved a €25bn Pan-European Guarantee Fund (EGF) - which will be funded by EU member states pro rata to their shareholding in the bank – as part of its overall response to the Covid-19 crisis. By guaranteeing parts of portfolios, operations under the guarantee fund will free up capital for financial intermediaries .......

    Market Moves 27 May 2020

  • CLO manager performance assessed

    Sector developments and company hires

    CLO manager performance assessed
    JPMorgan has issued its latest CLO manager quarterly reports for both the US and Europe.

    72% of US CLOs are now failing their S&P triple-C test and 38% are failing their Moody’s Caa1 test, but there are still three managers passing both tests in all of their transactions: Blackrock, DFG/Vibrant, and Silvermine. Meanwhile, JPMorgan CLO .......

    Market Moves 21 May 2020

  • TALF subscription date announced

    Sector developments and company hires

    TALF subscription date announced
    The New York Fed has scheduled the first TALF ABS loan subscription date for 17 June, with the first loan closing date to be 25 June. On fixed days each month, borrowers will be able to request one or more three-year TALF loans. The Fed has published a Master Loan and Security Agreement, which provides further details on the terms .......

    Market Moves 20 May 2020

  • Covid-19 relief initiative launched

    Sector developments and company hires

    Covid-19 relief initiative launched
    Community Capital Management has launched an initiative to invest US$100m of assets in Covid-19 relief efforts. The aim is to offer organisations that wish to contribute to the long-term US recovery post-pandemic an opportunity to complement their philanthropic and volunteer resources through a seasoned fixed income strategy designed to provide high current income consistent with the .......

    Market Moves 19 May 2020

  • SME CLO, SRT PD adjustments mooted

    Sector developments and company hires

    SME CLO, SRT PD adjustments mooted
    DBRS Morningstar is considering additional adjustments to reflect expectations of a higher probability of default (PD) for borrowers underlying SME CLO and significant risk transfer deals operating in economic sectors considered to have a ‘mid-high’ or ‘high’ risk of experiencing higher levels of default, due to the coronavirus fallout. For borrowers in the ‘mid-high’ .......

    Market Moves 18 May 2020

  • Tortuous TALF 2.0

    Markets question TALF usage

    The Federal Reserve this Tuesday (May 12) published more details about the terms of its $100bn new emergency lending facility generally referred to as TALF 2, and while these details were welcomed there are a still a lot of questions in the market about how useful this programme will be.

    The first of those questions revolves around relative value. The cost of .......

    News Analysis 15 May 2020

  • TALF CLO rules clarified

    Sector developments and company hires

    TALF CLO rules clarified
    The US Federal Reserve has clarified its CLO eligibility rules for TALF. It defines its stipulation that all or substantially all of the leveraged loans underlying CLOs must have been “newly issued” as those originated or refinanced on or after 1 January 2019. The Fed also announced additional CLO portfolio requirements: maximum second lien loan concentration .......

    Market Moves 13 May 2020

  • SFSF investments disclosed

    Sector developments and company hires

    SFSF investments disclosed
    The AOFM has disclosed the recent investments it has made under the Structured Finance Support Fund. In the primary market, the fund was the sole third-party investor in the A2 tranches of FirstMac 2020-1 (it also invested in the A1 through D tranches) and Liberty Series 2020-1 on 27 March and 8 May respectively. It has also .......

    Market Moves 12 May 2020

  • Residual value buffer provided

    Sector developments and company hires

    Residual value buffer provided
    Volkswagen Financial Services UK will calculate a collateral residual value buffer to be made available to its UK auto ABS issuers in respect of the monthly period in which a payment holiday with a term extension is granted for a purchased receivable. The collateral RV buffer will be £300 for each purchased receivable in respect of which .......

    Market Moves 11 May 2020
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