RMBS

  • Strong opening

    UK RMBS market update

    The first public European securitisation of the year, dubbed Hops Hill 1, is expected to price today. Sponsored by UK Mortgages, the UK buy-to-let RMBS has received strong demand across the capital stack.  

    The £332.6m deal is backed by 1,465 mortgage loans. Guidance for the senior notes was set at SONIA plus 100bp area, while guidance for .......

    News 15 January 2021

  • illimity inks NPL ABS duo

    Sector developments and company hires

    illimity inks NPL ABS duo
    illimity Bank has finalised two non-performing loan transactions, including the sale to Phinance Partners and SOREC involving a €129m GBV portfolio related to around 4,500 debtors. The portfolio consists of unsecured loans related to granular mainly retail exposures that were acquired by illimity during 2019 as part of an investment transaction in a large portfolio .......

    Market Moves 15 January 2021

  • Lloyd's ILS platform unveiled

    Sector developments and company hires

    Lloyd’s ILS platform unveiled
    Lloyd's has established London Bridge Risk PCC, the first UK ILS structure to be approved by the PRA for use for multiple, market-wide transactions for Lloyd's members. Clifford Chance worked with Lloyd's and the regulators to devise a structure and set of market standard template documentation with flexibility to accommodate a range of individual investment models and .......

    Market Moves 14 January 2021

  • Libor linkage

    UK RMBS transition risks highlighted

    A number of UK RMBS issuers are initiating consent solicitation processes to amend notes and swap contracts from Libor to SONIA ahead of the cessation of Libor. Legacy transactions without active sponsors or those comprising US dollar-denominated notes are at the highest risk of disorderly transition, according to Fitch.

    Fitch expects logistical challenges to arise this year in .......

    News 12 January 2021

  • Ocwen, CFPB mediation unresolved

    Sector developments and company hires

    Ocwen, CFPB mediation unresolved
    Ocwen Financial Corporation has issued a statement expressing its disappointment that settlement discussions with the CFPB have not been resolved (SCI 21 April 2017). The move is in response to the mediator’s notice that the company’s court-ordered mediation with the bureau has concluded, after the parties were unable to reach a settlement.

    The company .......

    Market Moves 12 January 2021

  • Landmark Pan-Asian ILS launched

    Sector developments and company hires

    Landmark Pan-Asian ILS launched
    MS Amlin Underwriting has launched Phoenix 1 Re, the first locally issued ILS to provide capacity to a local cedant, solely focused on the Pan-Asia region. The special purpose reinsurance vehicle (SPRV) is domiciled in Singapore and provides US$42m of collateralised capacity to support MS Amlin Syndicate 2001’s Asia reinsurance portfolio through its Singapore-based underwriting platform.
    Phoenix .......

    Market Moves 11 January 2021

  • Forbearance falters

    Decline in loan removal from forbearance suggests large unknowns ahead

    There has been a “troubling slowdown” in the rate of improvement of the number of mortgages in forbearance plans, says housing data provider Black Knight. This slowdown indicates the mortgage-backed sector enters a period of considerable uncertainty in less than three months, it adds.

    There was a 3% drop in the first week of January, or 92,000, and was underpinned by the .......

    News 8 January 2021

  • RFC issued on GSE living wills

    Sector developments and company hires

    RFC issued on GSE living wills
    The US FHFA is seeking comment on a notice of proposed rulemaking that would require Fannie Mae and Freddie Mac to develop resolution plans (or ‘living wills’) that would facilitate a rapid and orderly resolution, should the authority have to be appointed their receiver under the Housing and Economic Recovery Act of 2008. The .......

    Market Moves 24 December 2020

  • Fed frenzy

    Ongoing Fed bid for GSE paper stronger than faster prepayments in 2021

    Price action in GSE-issued MBS in 2021 will be dominated by the opposite pressures of faster prepayments on the one hand and continued Fed action on the other, but of these two the latter will be the stronger, says Brendan Doucette, portfolio manager with GW&K Investment Management.

    The Boston-based investment firm has $47bn under management, and of that 1.37bn is invested in .......

    News 23 December 2020

  • RBS settles RMBS claims

    Sector developments and company hires

    RBS settles RMBS claims
    The securities division of Maryland Attorney General Brian Frosh has entered into an US$18m settlement with RBS Financial Products, resolving claims that RBS misled investors in its issuance and underwriting of financial crisis-era RMBS. RBS offering documents for these transactions made representations that the underlying loans generally complied with the lender’s underwriting guidelines and applicable laws, .......

    Market Moves 23 December 2020

  • Romanian NPE deal sealed

    Sector developments and company hires

    Romanian NPE deal sealed
    National Bank of Greece (NBG) has entered into an agreement with Bain Capital Credit for the disposal of a Romanian-risk corporate non-performing loan portfolio. Dubbed Project Danube, the transaction has a total GBV of circa €174m (€102m of allocated collateral value).

    The deal is being implemented in the context of NBG’s NPE deleveraging strategy and .......

    Market Moves 22 December 2020

  • Divergent regimes?

    STS synthetics onshoring awaited

    Formal adoption by the EU of the STS synthetics regime will not realistically occur until 1Q21, after the text has been translated into the languages of the various member states - despite the recent trilogue agreement regarding targeted changes to the Securitisation Regulation and CRR (SCI 11 December). As such, the framework will not be onshored as part .......

    News Analysis 22 December 2020

  • Secondary supply

    Euro ABS trading set to dominate

    European ABS secondary spreads have completed a three-quarter circle from their coronavirus-related spike in March, relative to their tightest levels observed in February. The market saw a notable rise in trading volumes, following the coronavirus shock, with secondary activity expected to dominate in the early part of 2021.

    “There has been significant BWIC activity in the last few .......

    News 22 December 2020

  • Issuance forecasts lowered on TFSME extension

    Sector developments and company hires

    Issuance forecasts lowered on TFSME extension
    The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.

    JPMorgan international ABS analysts expect eligible banks and .......

    Market Moves 18 December 2020

  • CLO manager transfers accelerate overlap

    Sector developments and company hires

    CLO manager transfers accelerate overlap
    When managers acquire CLOs, the underlying portfolios become more like the existing portfolios of the acquiring manager, according to a new report from Fitch.

    During 2020, Fitch noted four CLO contract changes, two platform sales and two ownership changes. The contract sales this year were Crestline Denali’s sale of CLO management contracts to Ares .......

    Market Moves 16 December 2020

  • CLO liquidity complexity examined

    Sector developments and company hires

    CLO liquidity complexity examined
    CLO secondary market activity is booming across the board, but the underlying liquidity picture is a complex one, according to a new report by JPMorgan CLO research analysts.

    CLO BWIC trading volume has already reached an all-time annual high in 2020 at US$48.1bn for the US and €11.7bn for Europe, the JPMorgan report says. However, it adds .......

    Market Moves 11 December 2020

  • Disclosure charges settled

    Sector developments and company hires

    Disclosure charges settled
    BlueCrest Capital Management has agreed to pay US$170m to settle US SEC charges concerning inadequate disclosures, material misstatements and misleading omissions. These charges concern the firm’s transfer of top traders from its flagship client fund, BlueCrest Capital International (BCI), to BSMA Limited, a proprietary fund, and replacement of those traders with an underperforming algorithm. The SEC’s order .......

    Market Moves 9 December 2020

  • ESN debate

    Could structures cannibalise true sale ABS?

    The European Parliament recently called for legislation to establish European Secured Notes (ESNs) to facilitate SME funding. The EBA is also supportive of an ESN funding option, alongside traditional covered bonds, but there are concerns about the potential for the instrument to eclipse true sale securitisation issuance.

    “ESNs are touted as dual-recourse instruments and are expected to largely .......

    News Analysis 9 December 2020

  • ADI securitisation review underway

    Sector developments and company hires

    ADI securitisation review underway
    The Australian Prudential Regulation Authority is undertaking a review of securitisation practices, having recently identified repurchased residential mortgage loans at some authorised deposit-taking institutions that were subject to repayment deferral from their securitisations. In APRA’s view, this represents implicit support, which is inconsistent with Prudential Standard APS 120 Securitisation. APS 120 requires ADIs to be clearly .......

    Market Moves 8 December 2020

  • CMBS value deficiencies compared

    Sector developments and company hires

    CMBS value deficiencies compared
    DBRS Morningstar has identified US$9.79bn in US CMBS loans transferred to special servicing since March, whose collateral was subsequently reappraised. Although updated appraisals on properties backing these loans suggest an average value decline of 24% since origination, only about 17% have a loan-to-value ratio of 100% or higher, resulting in a value deficiency. The analysis also .......

    Market Moves 7 December 2020

  • Next step

    Call for greater EPC data disclosure

    The European Commission last month launched a consultation on the first two sets of criteria for economic activities to qualify as economically sustainable under the EU's Taxonomy classification system, including for the first time a formal definition of what constitutes an energy efficient building. The move has been welcomed as part of industry efforts to progress green mortgage lending.

    News Analysis 7 December 2020

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