RMBS

  • Risk on

    Lower quality credit outperforms

    The first half of 2021 has been universally positive for below-investment grade credit markets and for alternative credit funds. Indeed, stressed and distressed corporate credit generated the highest returns.

    “If you fell asleep at the end of 2019 and woke up mid-way through 2021, you would look back and say these performance numbers don’t look too bad. Credit .......

    News 28 July 2021

  • Summer hiatus

    European ABS/MBS market update

    Tight spreads, significant supply and general optimism have epitomised the first half of the year in European ABS/MBS. Now, as the primary market finally comes to a halt for the summer with only one deal widely marketing – Taurus 2021-4 UK, see SCI’s Euro ABS/MBS Deal Tracker for more – the secondary market appears to be entering hiatus .......

    News 27 July 2021

  • Disposals pending

    Irish NPL activity set for rebound

    The Irish non-performing loan market is set for a rebound in the second half of the year, following a hiatus due to the coronavirus crisis. Indeed, owner-occupied residential mortgages are expected to be a major area of focus for banks as they develop their future strategies against the backdrop of a post-Covid economy.

    Ireland has been one of .......

    News 23 July 2021

  • Credit events

    US moratoria challenges highlighted

    The capital relief trades market has adapted to the existence of payment holidays by either excluding them from portfolios or limiting their presence in them. Nevertheless, payment holidays have raised challenges for US synthetic securitisations - although their removal isn’t expected to have a negative impact on US deals, given that the bulk of take-up rates occurred last year .......

    News 23 July 2021

  • Angel eyes

    Angel Oak Capital Advisors' Sam Dunlap talks value in non-agency MBS

    Atlanta-based Angel Oak Capital Advisors’ flagship multi-strategy income fund (ANGLX),  this year celebrates its 10-year anniversary.  The ANGLX is a dedicated structured credit mutual fund, focussing chiefly on US non-agency residential MBS, and was launched after the Financial Crisis of 2007/2008. In the last decade, ANGLX has achieved average annualised returns of 5.66%, as of 6/30/21, and now has approximately $7bn .......

    The Structured Credit Interview 20 July 2021

  • Six STACRs - UPDATE

    Freddie's sixth STACR of 2021 prints inside previous two

    Freddie Mac late yesterday (July 19) priced its sixth STACR deal of the year, designated STACR 2021-DNA5, at levels inside recent DNA and HQA trades.

    “Freddie Mac’s single family CRT programme continued to attract strong investor demand, with 66 unique investors participating in the STACR 2021-DNA5 transaction, the most since 2017.  The B1 tranche drew 39 investors, the most in programme history.  .......

    News 20 July 2021

  • Euro CLO BWICs down, but staying strong

    Sector developments and company hires

    Euro CLO BWICs down, but staying strong
    European CLO 2.0 BWIC activity contracted sharply in the first half of 2021 versus 1H20. However, secondary liquidity remains more sustained compared to pre-pandemic levels, reflecting the market's maturity and expansion in recent years, according to Bank of America European CLO research analysts.

    BofA estimates overall BWIC volumes of €5.3bn for 1H21, .......

    Market Moves 19 July 2021

  • Minor deterioration

    Spanish payment holidays buck the trend

    The end of payment holidays for Spanish mortgages could lead to a minor deterioration in the collateral performance of Spanish RMBS. However, an impact on credit ratings is not expected.

    “The collateral performance has experienced a very minor deterioration and the impact on credit ratings is unlikely. Once payment holidays schemes have ended, no ratings impact should happen .......

    News 19 July 2021

  • Foreclosure fears

    CFPB's new rule curtailing foreclosures complicates mortgage market

    The final rule on foreclosures introduced this week by the Consumer Financial Protection Burea (CFPB) is unlikely to interrupt MBS issuance in the short term but problems likely lie round the corner, say experts.

    At the moment, record refinancing are contributing to healthy MBS issuance but if rates rise - as looks likely - then refinancing will become less popular and the .......

    News Analysis 15 July 2021

  • New CLO committee to tackle 'greenwashing'

    Sector developments and company hires

    New CLO committee to tackle ‘greenwashing’
    The European Leveraged Finance Association (ELFA) has created a new committee to establish industry best practice and serve investors in the CLO market. The CLO Investor Committee will provide a forum for members to identify CLO investors’ requirements, facilitate discussion on general market progress and key issues, and contribute to the regulatory dialogue on .......

    Market Moves 15 July 2021

  • Back in vogue?

    Reverse equity to test market appetite

    Another UK RMBS backed predominantly by legacy Northern Rock assets has hit the market. The Towd Point Mortgage Funding 2021-Hastings 1 transaction marks the first public securitisation of UK equity release mortgages since the financial crisis.

    Acquired by Cerberus in 2018, the £215.68m portfolio comprises 86.5% Northern Rock loans and 12.9% Legal & General loans, with the remainder .......

    News 15 July 2021

  • ILS efforts beefed up

    Sector developments and company hires

    ILS efforts beefed up
    AXIS Capital Holdings has appointed Chris Caponigro as global head of AXIS ILS, as its third-party capital unit has been rebranded. Caponigro will oversee the company’s activities related to third-party capital under management, supporting ILS efforts across its reinsurance and insurance segments. He will report to AXIS Re ceo Steve Arora and be based out of .......

    Market Moves 14 July 2021

  • Endless cash

    European ABS/MBS market update

    As the pre-summer flow comes to a close, optimism still prevails across the European ABS/MBS primary market. Despite strong execution from the four widely marketed deals last week and three still in the pipeline (see SCI’s Euro ABS/MBS Deal Tracker for more), further tight pricing levels are expected.

    “The ABS-RMBS space has been exceptionally strong during these .......

    News 14 July 2021

  • Positive story?

    Mortgage performance eyed as support ends

    European RMBS performance has remained robust in the face of unprecedented stresses brought about by Covid-19, supported by a number of government schemes. However, questions remain over how the withdrawal of these measures will affect the market.

    “The structures have done what they have been designed to do and they have been robust – that is a positive .......

    News Analysis 13 July 2021

  • EU monetary policy to reflect carbon transition

    Sector developments and company hires

    EU monetary policy to reflect carbon transition
    The ECB has published its new monetary policy strategy, which includes what it describes as “an ambitious climate-related action plan”. The central bank states that climate change has profound implications for price stability through its impact on the structure and cyclical dynamics of the economy and the financial system.

    As such, it .......

    Market Moves 9 July 2021

  • Taper talk

    Fed tapering could lead to 50bp MBS repricing

    If - as many expect - the Federal Reserve commences a taper operation in 2H21 then agency mortgage bonds could reprice wider by 40bp-50bp, suggest MBS analysts.

    The Fannie Mae interpolated five year/10 year curve currently yields around 69bp to Treasuries, but if the Fed does execute a taper then the market could see yields back up to plus 110bp-120bp.

    Mortgage-backed .......

    News 7 July 2021

  • Sustainable finance strategy unveiled

    Sector developments and company hires

    Sustainable finance strategy unveiled
    The European Commission has adopted a number of measures in connection with sustainable finance. First, a new Sustainable Finance Strategy sets out several initiatives to tackle climate change, as well as increase investment in the EU's transition towards a sustainable economy.

    The strategy includes six sets of actions: extend the sustainable finance toolbox to facilitate .......

    Market Moves 7 July 2021

  • NPL facility inked

    Sector developments and company hires

    NPL facility inked
    Together Financial Services has launched a new £96.2m securitisation vehicle called Brooks Asset Backed Securitisation 1 (BABS), which matures in 2026. The facility consists of a varied pool of residential and commercial purpose non-performing loans, previously funded within the senior borrower group. Consistent with its wider securitisation programme, Together will continue to service and manage the loans .......

    Market Moves 6 July 2021

  • Advantageous returns

    Australian RMBS market update

    With deals paying juicy yields, investors are turning to the Australian RMBS market for advantageous returns. Meanwhile, Bluestone is testing market appetite for a potential debut prime transaction.

    “A clear trend is yield chasing,” says one trader. “New prime triple-A RMBS bonds currently price at around 60bp, even into the high 50s. Non-conforming and non-resident RMBS paper is .......

    News 2 July 2021

  • Tight summer

    European ABS/MBS market update

    Following a busy quarter that saw every new deal being met with heavy investor demand, there is no sign of the appetite for paper diminishing. Secondary has picked up too over the last week and is showing a similar trend.

    Even with the summer holidays quickly approaching, primary spreads still appear to be tightening, matching levels not seen .......

    News 2 July 2021

  • Finish line

    ESMA designates securitisation repositories

    ESMA has announced the European DataWarehouse (EDW) and SecRep as the EU’s official securitisation repositories. The decision addresses an important element of the disclosure framework under the Securitisation Regulation that was long left open. More saliently, originators of synthetic securitisations will now have to submit data to the repositories as part of the new ESMA rules, albeit there is .......

    News Analysis 29 June 2021
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