CMBS

  • Euro CLO par burn rises

    Sector developments and company hires

    Euro CLO par burn rises
    After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built par in 2020 YTD by an average +19bp, while the remaining 30 managers burnt par by an average -41bp. .......

    Market Moves 16 July 2020

  • Seeking clarity

    Call to reassess repo language

    The AG MIT CMO versus Royal Bank of Canada case, which recently settled (SCI 3 June), highlights how Covid-19 disruption has caused confusion over what constitutes a ‘recognised market’ for the purpose of selling securities. Indeed, the lawsuit underscores the need for greater clarity in securitisation repurchase agreements.

    In the case, AG Mortgage Investment Trust argued that RBC .......

    News 16 July 2020

  • Conflict-free trading

    Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions

    Q: How and when did Meraki Global Advisors become involved in the securitisation market?
    A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outsourced trading and operations firm that was launched in April 2019.

    We identified a need among the more sophisticated multi-asset hedge fund community .......

    The Structured Credit Interview 16 July 2020

  • October cliff edge looms

    The apparent recovery of many parts of the MBS market may be a false dawn

    Mortgage-backed securities have in general rebounded with confidence in recent weeks, but there is an undercurrent of alarm in the market that the resurgence might have over-reached itself. Despite the last non-farm payroll report, much economic data is still extremely sobering and a shock in Q4 could be on the cards, say analysts.

    For example, seven credits of the 100 constituent credits .......

    News Analysis 15 July 2020

  • LCX platform expanded

    Sector developments and company hires

    LCX platform expanded
    LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled the company to sell previously originated loans at, above or below par, from its balance sheet. For the first time, LendingClub .......

    Market Moves 13 July 2020

  • OC ratios examined

    Sector developments and company hires

    OC ratios examined
    Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P. It finds that average senior and junior OC cushions declined between February and May by 1% to remain healthy at over 8% and 3% respectively.

    However, S&P says: “We are seeing a wider dispersion of OC cushions across .......

    Market Moves 10 July 2020

  • Restructuring events?

    Uncertainty over CRE values weighs on CRTs

    Restructuring credit events in capital relief trades backed by commercial real estate loans will likely occur over the next six months, following an end to coronavirus-related payment holiday schemes. Given uncertainty over the long-term impact of the pandemic on CRE collateral values, disagreements between banks and investors over the appropriate workout strategy and the related issue of control rights .......

    News Analysis 9 July 2020

  • CQS portfolio refinanced

    Sector developments and company hires

    CQS portfolio refinanced
    AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m. Originated by a large Italian bank, these loans were initially securitised in 2016. In July 2019, AnaCap acquired the equity in the securitisation and in June 2020 it exercised its right to acquire the .......

    Market Moves 8 July 2020

  • Positive signs for CLOs

    Sector developments and company hires

    Positive signs for CLOs
    US CLO manager metrics have begun to improve or stabilise, according to JPMorgan’s Q2 report on the sector, published today. “In the very latest reported data, the percent of US CLOs failing the junior-most OC test (double- or single-B) dropped from 20% a few weeks ago to 16% - likely due to higher triple-C loan market values, .......

    Market Moves 7 July 2020

  • Volcker revision impact modest

    Sector developments and company hires

    Volcker revision impact modest
    The impact of the changes made to the Volcker Rule (SCI 26 June) will be relatively modest for the CLO market, according to S&P. The agency notes that nearly all current CLO documents prohibit investing in bonds, so will not see any changes unless they’re amended, which would require investor consent. However, a small number .......

    Market Moves 6 July 2020

  • Consistently attractive CMBS

    CMBS is still the TALF favourite, but overall take-up could increase

    Some 58% of loans requested under TALF 2.0 during the first subscription period, or $145m, were for CMBS purchases and the relative popularity of this asset class is not expected to diminish in the second subscription period beginning July 6, say CMBS analysts.

    Spreads in CMBS are still generally more elevated than in other areas of the ABS universe, and .......

    News 2 July 2020

  • Tentative TALF 2.0

    The next TALF subscription date is July 6, but no fireworks expected

     

    The second TALF 2.0 subscription period begins on July 6, and it is expected to be even more anaemic than the one that concluded on June 17th, say those close to the market.

    Investors requested $252m of loans in the first period, of which $145m used CMBS assets as collateral, but, with spreads continuing to tighten across the board, there is little .......

    News Analysis 26 June 2020

  • Volcker changes finalised

    Sector developments and company hires

    Volcker changes finalised
    The CFTC, FDIC, OCC, SEC and US Fed have finalised a rule modifying the Volcker Rule's prohibition on banking entities investing in or sponsoring hedge funds or private equity funds – known as covered funds. The final rule is broadly similar to the proposed rule from January (SCI 31 January).

    Like the proposal, the final .......

    Market Moves 26 June 2020

  • Apartment recovery?

    Multifamily CMBS collections 'encouraging'

    The recovery of the apartments sector post-coronavirus is expected to be seen sooner than other US commercial real estate sectors. However, concern remains about the impact of unemployment levels spiking.

    “Apartments that are not luxury apartments are now serving the vast majority of the population. The reality is that these buildings are considered B and C quality apartments .......

    News Analysis 23 June 2020

  • CMBS scores in first TALF window

    Sector developments and company hires

    CMBS scores in first TALF subscription
    Investors requested US$252m in loans under the first TALF 2.0 subscription window. Of this total, US$145m was for CMBS purchases, with the remainder almost evenly split between premium finance and small business deals. Wells Fargo CMBS analysts note that although wider spreads in the CMBS sector relative to the ABS sector may continue to .......

    Market Moves 18 June 2020

  • Seductive specifieds

    An investor's view

    SCI spoke to Brendan Doucette, government bond portfolio manager of GW&K Investment Management in Boston. The firm has assets under management of $40bn, of which $1bn is invested in the MBS market. It invests only in GSE-backed bonds.

    Q: Where do you see value in the MBS market at the moment Brendan?

    We like owning mortgages versus Treasuries, .......

    The Structured Credit Interview 18 June 2020

  • 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
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