RMBS

  • 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

  • Strong technical

    WFH lifestyle boosts RMBS market

    The UK stamp duty land tax (SDLT) break, which was introduced by the government in July 2020 to support the housing market during the pandemic, is being scaled back at the end of this month. Although the tax break has had a positive impact on the RMBS sector, other factors have also contributed to boost the market.

    “There .......

    News Analysis 28 June 2021

  • Aussie green RMBS bags Nochu support

    Sector developments and company hires

    Aussie green RMBS bags Nochu support
    Firstmac has closed a groundbreaking A$750m green RMBS, backed by the Clean Energy Finance Corporation (CEFC) and Norinchukin. The underlying properties will be among the most energy efficient in Australia, meeting or exceeding a seven-star rating under the Nationwide House Energy Rating Scheme (NatHERS). The seven-star rating materially exceeds the minimum standards of the .......

    Market Moves 25 June 2021

  • Volatility hedge

    Bart Bakx, head of ABS and mortgages at NN Investment Partne...

    Q: Do you believe private credit will take on a more significant role in investor portfolios in 2021? If so, which factors are driving this forward?
    A: We see that many investors are undertaking searches and these are increasing towards private credit. Looking for opportunities to allocate, investors seek alternatives in the private market space in view of continued volatility .......

    The Structured Credit Interview 25 June 2021

  • Ever tighter?

    European ABS/MBS market update

    European ABS/MBS primary spreads continue to edge in on heavy investor demand. That looks unlikely to change, especially in core Europe, as supply begins to ease into the summer.

    “The most notable development of the past four months for me has been that spreads keep going tighter and tighter,” says one core Europe ABS trader. “Current pricing levels .......

    News 24 June 2021

  • Digital investment ABS prepped

    Sector developments and company hires

    Digital investment ABS prepped
    DigitalBridge Group is in the market with its debut securitisation, the US$500m DigitalBridge Issuer Series 2021-1. The unusual transaction is secured by the firm’s digital investment management fees and carried interest, including from future investment vehicles.

    The triple-B rated notes will be issued in two classes: a US$300m class A2 secured fund fee revenue tranche, .......

    Market Moves 22 June 2021

  • Generali debuts green cat bond

    Sector developments and company hires

    Generali debuts green cat bond
    Assicurazioni Generali has priced an innovative catastrophe bond. Dubbed Lion III Re, the €200m ILS has a number of sustainable finance features.

    First, Generali freed up €28.1m in capital as a result of the protection provided by Lion III Re, which will be allocated to eligible projects as defined by Generali’s Green ILS Framework. .......

    Market Moves 21 June 2021

  • Adopting change

    Class A loan note attracts attention

    Together Money earlier this month priced its second public small balance CMBS, the £249m Together Asset Backed Securitisation 2021-CRE2. The transaction is notable for including a class A loan note in the capital structure – a feature previously only seen in the CLO market.

    “[The deal] is very similar to a traditional securitisation; it is structured with notes .......

    News Analysis 21 June 2021

  • SRT upgraded on CE build-up

    Sector developments and company hires

    SRT upgraded on CE build-up
    Scope Ratings has affirmed its single-A rating on the class C credit-linked notes issued by SSPAIN 2019-A and upgraded the class D to F notes to triple-B plus, triple-B minus and double-B plus respectively from triple-B minus, double-B and double-B minus. The transaction is a significant risk transfer deal, which closed on 28 June 2019 .......

    Market Moves 18 June 2021

  • Pricing flurry

    European ABS/MBS market update

    Yesterday saw five new European ABS/MBS price in one of the busiest days the primary market has seen this year. However, volumes are still short of pre-Covid levels.

    Despite the flurry of deals yesterday, paper throughout the stack saw strong demand. Indeed every offered tranche priced inside initial price talk.  

    “Across European ABS/MBS, sentiment has been pretty positive for .......

    News 18 June 2021

  • Auto turnover dampens DFP issuance

    Sector developments and company hires

    Auto turnover dampens DFP issuance
    Accelerated dealer auto inventory turnover has resulted in insufficient collateral available for US dealer floorplan (DFP) ABS master trusts in 2021, Fitch reports. The agency notes that this is indirectly accounted for by deal structures, for the most part, through the use of excess funding accounts (EFAs). EFAs are meant to protect trusts against inventory .......

    Market Moves 14 June 2021

  • Euro CLOs could still soften

    Sector developments and company hires

    Euro CLOs could still soften
    European CLO new issue triple-A spreads are now out to 87bp-88bp from their post-Covid tights of 79bp-80bp. While there appears to be considerable support at current levels, technicals could yet push them to the low-90s, according to Bank of America European CLO research analysts.

    Offsetting factors currently at play include broader credit market direction, rates moves .......

    Market Moves 7 June 2021

  • Domi debut

    Domivest transaction attracts strong investor appetite

    The debut STS-compliant buy-to-let (BTL) RMBS transaction, issued by Dutch lender Domivest and dubbed Domi 2021-1, has now closed and the transaction saw significant demand across the capital structure and also from new investors, according to the borrower.

    Investor response to the transaction demonstrates the validity of the structure and the market is likely to see more of it in the future, suggests .......

    News 2 June 2021

  • ETL waiver requested following cyberattack

    Sector developments and company hires

    ETL waiver requested following cyberattack
    European truck lease provider Fraikin SAS was subject to a ransomware attack that started on 11 May. S&P notes that the credit quality of its two securitisations - FCT Eurotruck Lease II and FCT Eurotruck Lease III (ETL II and III) - is unlikely to be affected, providing the company can make a swift return .......

    Market Moves 28 May 2021
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