RMBS

  • Asset and liability origination tie-up agreed

    Sector developments and company hires

    Asset and liability origination tie-up agreed
    Apollo and Athene have entered into a definitive agreement to merge in an all-stock transaction that implies a total equity value of approximately US$11bn for Athene. Upon closing of the merger, current Apollo shareholders will own approximately 76% of the combined company on a fully diluted basis and Athene shareholders will own approximately 24%.

    Market Moves 9 March 2021

  • Cladding issues

    Fire-safety requirements to have 'marginal' impact on RMBS

    DBRS Morningstar has investigated the pervasiveness of the impact on UK mortgage borrowers of cladding on high-rise apartment blocks, following the Grenfell Tower fire in June 2017. The study is based on an analysis of 64 securitised UK mortgage portfolios, comprising 670,000 loans.

    “Fallout from the Grenfell fire tragedy continues to be felt by tenants and leaseholders across .......

    News 8 March 2021

  • Libor announcements to 'accelerate' transition

    Sector developments and company hires

    Libor announcements to ‘accelerate’ transition
    The UK FCA has confirmed that all Libor settings will either cease to be provided by any administrator or no longer be representative immediately after 31 December 2021 - in the case of all sterling, euro, Swiss franc and Japanese yen settings, as well as the one-week and two-month US dollar settings – and immediately .......

    Market Moves 5 March 2021

  • General QM delay proposed

    Sector developments and company hires

    General QM delay proposed
    The CFPB has released a notice of proposed rulemaking (NPRM) to delay the mandatory compliance date of the General Qualified Mortgage (QM) final rule from 1 July 2021 to 1 October 2022 (SCI 24 February). The CFPB is proposing to extend the compliance date to ensure homeowners struggling with the financial impacts of the Covid-19 .......

    Market Moves 4 March 2021

  • Benchmark legislation

    Congress to rescue Libor-based contracts, but questions remain

    Federal Reserve chairman Powell’s endorsement last week of federal legislation to ease the transition to non-dollar Libor benchmarks has been hailed as a positive step for the structured finance industry. Powell was speaking in front of the House of Representatives Financial Services Committee and predicted that there will be a “hard tail” to the exit from Libor, to which .......

    News Analysis 3 March 2021

  • Residential rise

    Mortgage SRT motivations examined

    An increase in European synthetic RMBS volume is anticipated, following the issuance of three mortgage risk transfer deals in the last two months of 2020. In this latest CRT Premium Content article, we examine the different issuer motivations for executing synthetic RMBS.

    The motivation for an issuer to execute a residential mortgage significant risk transfer deal differs ......

    News Analysis 3 March 2021

    Premium Content

  • UKAR pair preplaced

    Sector developments and company hires

    UKAR pair preplaced
    Citi has preplaced a pair of UK non-conforming RMBS backed by a portfolio it acquired from UKAR. The transactions – the £2.898bn Jupiter Mortgage No. 1 and the £1.559bn Stratton Mortgage Funding 2021-2 - securitise a pool of first-lien owner-occupied and buy-to-let loans originated by NRAM, GMAC-RFC, Mortgage Express, Kensington, Keystone Property Finance, Bradford & Bingley, Legal .......

    Market Moves 26 February 2021

  • Injunction sought over Blue Owl combination

    Sector developments and company hires

    Injunction sought over Blue Owl combination
    Golub Capital Partners, one of 17 partner managers in the Dyal Capital Partners IV fund, has brought a lawsuit against the fund, Neuberger Berman Group (NBG) and NB Alternatives Advisers, seeking an injunction against the Blue Owl transaction (SCI 4 December 2020). Sixth Street previously filed a lawsuit against the Dyal Capital Partners .......

    Market Moves 25 February 2021

  • Strong pipeline

    European ABS market update

    Bank of America’s Taurus 2021-1 UK has priced at tight levels for UK CMBS transactions on the back of significant demand (SCI 10 February). Against this backdrop, the European securitisation pipeline appears to be gaining strength.

    “Generally, the market feels pretty busy. The pipeline is quite full, including new issuance and refinancings,” says one trader.

    He .......

    News 23 February 2021

  • Supply issues

    STS volumes concentrated in auto loans

    Of the securitisation asset classes that qualify for STS status, auto loan ABS is where the label has been applied most frequently. In contrast, mortgage collateral is often diverted to support covered bond issuance or STS RMBS are retained.

    Consumer and auto loan ABS, as well as prime and buy-to-let RMBS are eligible for the STS label. However, .......

    News Analysis 23 February 2021

  • Through thick and thin

    JPMorgan set to price its new CRT at wafer thin margins

    The tightness of the pricing and the thinness of the tranches of JPMorgan’s latest capital relief trade, designated JP Morgan Wealth Management Reference Notes Series 2021-CL1 (SCI 17 February), has raised eyebrows in the marketplace.

    According to well-placed sources, the deal’s first loss tranche covers losses between 0% and 0.40%, and price talk is SOFR plus 775bp-825bp. .......

    News Analysis 22 February 2021

  • Faster Fannie, faster

    GSEs grew appreciably in 2020 and can now retain earnings

    Fannie Mae’s net worth increased by US$10.7bn last year to reach US$25.3bn, the GSE reported in its 4Q20 results. Under an agreement reached last month, it will be allowed to retain extra earnings in a bid to build up capital.

    Hitherto, any excess earnings beyond a designated buffer layer had to be surrendered to the US Treasury to .......

    News 17 February 2021

  • 'Unique' CLN deal readied

    Sector developments and company hires

    ‘Unique’ CLN deal readied
    JPMorgan Chase Bank (JPMCB) is prepping the debut CLN issuance from the JPMorgan Wealth Management Mortgage (JPMWM) platform to transfer credit risk to noteholders through a hypothetical tranched CDS on a reference pool of mortgages. Dubbed JP Morgan Wealth Management Reference Notes Series 2021-CL1, principal payments on the notes are based on the performance of a US$2.36bn .......

    Market Moves 17 February 2021

  • Maritime financing facility agreed

    Sector developments and company hires

    Maritime financing facility agreed
    Maritime and offshore alternative capital provider Fleetscape Capital has entered into an innovative financing structure with Macquarie that provides a more efficient offer to vessel owners seeking higher leverage situations. The structure utilises securitisation principles and enables Fleetscape to provide sale-and-leaseback or unitranche financing on competitive terms. Coupled with Fleetscape’s transaction execution capabilities and streamlined documentation, the .......

    Market Moves 16 February 2021

  • Risk transfer round-up - 16 February

    CRT sector developments and deal news

    News 16 February 2021

  • MBIA litigation settled

    Sector developments and company hires

    MBIA litigation settled
    MBIA Insurance Corporation has entered into an agreement to settle the litigation it filed in 2009 against Credit Suisse and certain affiliated entities (SCI passim). The settlement follows a post-trial decision by the Court awarding MBIA Corp approximately US$604m in damages and, pursuant to the settlement, Credit Suisse has paid MBIA Corp US$600m.

    This amount materially .......

    Market Moves 15 February 2021

  • UKML tender offers mooted

    Sector developments and company hires

    UKML tender offers mooted
    Coventry Building Society subsidiary Godiva Mortgages is set to purchase from UK Mortgages Corporate Funding two buy-to-let mortgage portfolios originated by Godiva and currently financed within the Cornhill No. 6 and Malt Hill No. 2 RMBS vehicles. Subject to successful completion, the timing of these sales is expected to coincide with the transactions’ payment dates in .......

    Market Moves 12 February 2021

  • Structural change

    Restructuring eyed for Covid-impaired mortgages

    The UK non-conforming and buy-to-let RMBS market is expected to continue to benefit from the positive supply technical of TFSME. Nevertheless, the Covid-19 fallout appears to have precipitated structural change across the sector.

    With respect to the BTL segment, ‘generation rent’ drives performance, according to Galen Moloney, head of securitised product strategy at NatWest Markets. An uptick in .......

    News Analysis 11 February 2021

  • UK industrial CMBS prepped

    Sector developments and company hires

    UK industrial CMBS prepped
    Bank of America is in the market with a £340.1m CMBS sponsored by Blackstone. Dubbed Taurus 2021-1 UK, the transaction is backed by a two-year floating rate loan (with three one-year extension options) secured by the borrower’s interests in 45 industrial assets across the UK totalling 4.1 million square-foot of floor area.

    The largest asset .......

    Market Moves 10 February 2021

  • Special situations strategy launched

    Sector developments and company hires

    Special situations strategy launched
    Bardin Hill Investment Partners has announced the final close of the Bardin Hill Opportunistic Credit Fund and a parallel side-car vehicle, with total commitments of approximately US$600m. The firm’s flagship closed-end strategy received backing from new institutional investors globally, as well as from existing Bardin Hill clients.

    The strategy identifies and executes on stressed, distressed, .......

    Market Moves 9 February 2021

  • Constructive outlook

    Deborah Shire, global head of structured finance at AXA Inve...

    Q: What were the drivers behind restructuring the AXA IM business into two key divisions – the Alts unit and the Core unit?
    A: The business was restructured in March last year (SCI 11 March 2020), with the objective of developing two strategic businesses and boosting the commercial momentum behind them. The aim was to create a dedicated salesforce .......

    The Structured Credit Interview 9 February 2021
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