RMBS

  • Risk transfer round-up - 5 October

    CRT sector developments and deal news

    Lloyds is rumoured to be readying its third mortgage significant risk transfer trade from the Syon programme for 4Q20. The last Syon transaction closed in February (see SCI’s capital relief trades database). Fitch placed Syon Securities 2019 and 2020 under rating watch negative (RWN) in April, but removed them from RWN last month (SCI 25 September).

    .......

    News 5 October 2020

  • Mezz CLO fund closed

    Sector developments and company hires

    Mezz CLO fund closed
    Pearl Diver Capital has completed the final closing of its eighth closed-end CLO investment fund, PDC Opportunities VIII, at US$400m. Launched with a target raise of US$300m, the fund hit its hard cap, with LPs represented by public pension systems, corporate pension plans, high net-worth family offices and endowments. The fund is designed to invest opportunistically .......

    Market Moves 29 September 2020

  • Revolver exposures on offer

    Sector developments and company hires

    Revolver exposures on offer
    Goldman Sachs is in the market with a balance sheet synthetic securitisation referencing a portfolio of predominantly investment-grade senior unsecured revolving loan facilities. Dubbed Goldman Sachs Bank USA credit-linked notes due 2025, the transaction comprises two classes of S&P-rated CLNs for a total of US$184.8m.

    The transaction documentation links the ability of Goldman Sachs to .......

    Market Moves 25 September 2020

  • Syon safe

    Fitch affirms ratings for Lloyds SRTs

    Fitch has removed the Syon Securities 2019 and 2020 transactions from rating watch negative (RWN), after having placed them there in April following the coronavirus outbreak. The class C and D notes of Syon 2019 and class C notes of Syon 2020 were placed on RWN due to an expectation of weakening asset performance.

    Syon Securities 2019 and .......

    News 25 September 2020

  • Spread compression

    European securitisation market update

    European auto and consumer ABS have seen a strong reception this week, despite renewed virus-related concerns. The first German auto ABS since May printed at tight levels, for example, while a rare UK consumer ABS from Premium Credit has entered the pipeline.

    One trader notes: “Over the last session, we had seen a slight pause in the market .......

    News 23 September 2020

  • Private credit fund formed

    Sector developments and company hires

    Private credit fund formed
    FrontWell Capital Partners has launched with committed seed capital of more than US$350m from a group of international investors. Headquartered in Toronto, the firm aims to provide transitionary senior debt financing - including asset-based and cashflow loans - to middle-market companies in the US and Canada.

    FrontWell is led by founder and ceo Patrick Dalton, who previously .......

    Market Moves 23 September 2020

  • Forbearance crossroads

    Mortgages in forbearance well off the peaks but uncertainty beckons

    The number of US home loans in forbearance plans declined for the fourth week in succession and is now more than 22% lower than the peak seen in late May, according to data released by Black Knight today (18 September).

    As of September 15, 3.7m loans, representing $7.81bn in unpaid principal, are in Covid 19 forbearances plans compared to 4.7m by May .......

    News 18 September 2020

  • Aussie opportunities

    Increasing issuance in Australian primary market

    The recent announcement that the Royal Bank of Australia’s (RBA) Term Funding Facility (TFF) will be increased and extended into 2021 suggests that while ongoing issuance from the non-bank sector is expected, it is highly unlikely that significant levels of ADI issuance will be seen while lenders have access to the TFF, say well-placed market participants.

    “Over the last month, the primary .......

    News 15 September 2020

  • LLPA exceptions

    Record origination in Q2 as rates scrape the lows

    The controversial adverse market fee announced by the GSEs in August initiated an immediate 12.5bp increase in 30-year mortgage rates and a drop in rate-lock activity, according to Black Knight, the mortgage data and research firm.

    “When the 50bp fee was made public, 30-year rates increased by an eighth of a point, and rate lock activity pulled back by 20%. The fee .......

    News Analysis 11 September 2020

  • Pent-up demand

    European RMBS market update

    The European securitisation market reopened post-summer with a blow-out print for ARA Venn’s latest STS Dutch prime RMBS, the €300m Cartesian 5. The books for the class A notes were 5.5x covered, with orders reaching €1.5bn, indicating pent-up demand for paper.

    “I was quite surprised by the level of demand,” says one ABS trader. “The main driver is .......

    News 10 September 2020

  • Multi-level Libor exposure eyed

    Sector developments and company hires

    Multi-level Libor exposure eyed
    Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of Japanese structured finance transactions the agency rates have Libor exposure and, in some cases, there is Libor exposure through notes, as well .......

    Market Moves 9 September 2020

  • Euro CLO payment mismatch grows

    Sector developments and company hires

    Euro CLO payment mismatch grows
    The payment frequency mismatch between underlying loans and European CLOs is growing as loan issuers switch to semi-annual payments to manage risks in the Covid crisis, according to Fitch. The agency reports an increase in the share of semi-annual obligations among quarterly-paying Fitch-rated CLOs to around 50% of the portfolio balance in July 2020, from .......

    Market Moves 8 September 2020

  • Dispersion emerging

    Mortgage payment holidays rolling off

    A significant number of borrowers across Europe have resumed their mortgage payments, after exiting payment holiday schemes. However, dispersion across RMBS pools is emerging, due to the different lending practices of each lender.

    Julian Craughan, partner at Hogan Lovells, notes the commonality in responses as regulators and central banks took a pragmatic approach to addressing coronavirus-induced stress. “Different .......

    News Analysis 7 September 2020

  • Reporting template RTS published

    Sector developments and company hires

    Reporting template RTS published
    Seven Commission Delegated and Implementing Regulations comprising the technical standards in connection with the details to be made available by the originator, sponsor and SSPE in a securitisation transaction subject to the Securitisation Regulation have been published in the EU Official Journal. Publication means that the reporting templates RTS will be effective on 23 September, after .......

    Market Moves 4 September 2020

  • Liquidity boost

    Piraeus taps Intrum

    Piraeus Bank and Intrum have signed an agreement under which Intrum will acquire 30% of the junior and mezzanine tranches of a €1.9bn non-performing loan RMBS dubbed Project Phoenix. The novelty of the deal lies in its ability to facilitate auctions via an SPV liquidity reserve.

    According to the terms of the transaction, 30% of the junior and .......

    News 4 September 2020

  • Negative rating actions tallied

    Sector developments and company hires

    Negative rating actions tallied
    Fitch reports that global structured finance negative rating actions - including downgrades, negative outlooks and rating watch negatives - reached an eight-year high in 1H20, reflecting weakening credit conditions due to the coronavirus pandemic-related recession. As of 30 June, 8% of the agency’s ratings had a negative outlook and 3% of ratings were assigned a RWN, compared .......

    Market Moves 2 September 2020

  • View from an investor Part II

    Last week DuPont Capital's Karlis Ulmanis told us where he s...

    Things not to like

    CRT

    Three GSE CRT bonds have been issued since early March, when the lockdown began. These were the most recent $1.088bn (upsized from $1.038bn) STACR DNA4 priced by Freddie on August 18, the $1.1bn STACR 2020-DNA3 printed at the beginning of July which re-opened the market and the $835m STACR 2020-HQA3 printed at the end of .......

    Talking Point 1 September 2020

  • EGF expression of interest launched

    Sector developments and company hires

    EGF expression of interest launched
    The EIF has issued a call for expression of interest in participating in its Pan-European Guarantee Fund (EGF), which forms part of the overall package of measures agreed by the Eurogroup on 9 April and further endorsed by the European Council on 23 April (SCI passim). The EGF has a target size of €25bn and .......

    Market Moves 1 September 2020

  • CECL eligibility expanded

    Sector developments and company hires

    CECL eligibility expanded
    The FDIC, OCC and the US Fed have finalised a rule that allows institutions that adopt the current expected credit losses (CECL) accounting standard in 2020 to mitigate the estimated effects of CECL on regulatory capital for two years (SCI 31 March). Under the rule, eligible institutions have the option to mitigate the estimated capital effects .......

    Market Moves 28 August 2020

  • A touch of seasoning

    Proposed expansion of pool of qualified mortgages offers little for MBS

    While the new category of qualified mortgage (QM) proposed by the Consumer Financial Protection Bureau (CFPB) might in theory increase the supply of high quality US mortgages for securitization, the stipulations of the proposed new rules mean that in fact there is unlikely to be a rich new gravy train, stress mortgage analysts.

    The CFPB intends to broaden the net of QMs by .......

    News 27 August 2020

  • View from an investor

    SCI hears from an US MBS buyer about what he likes in the market... and next week what he doesn't

    Karlis R. Ulmanis, CFA, is a portfolio manager at DuPont Capital. In these waning days of summer, he gave an hour of his time last week to sit down (virtually, of course…) with SCI to discuss where he sees value in the current somewhat fractured and definitely jittery MBS market, agency and non-agency. We publish the first half of .......

    Talking Point 25 August 2020
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