RMBS
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AGs fight Madden rule
Sector developments and company hires
AGs fight Madden rule
Market Moves 30 July 2020
The attorneys general of California, Illinois and New York have filed a suit against the OCC’s ‘valid when made’ rule (SCI 1 June), which they claim would allow the federal government to pre-empt state usury laws and allow third-party entities “to prey on vulnerable” borrowers. The AGs note that the ability to pre-empt state usury .......
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Blockchain boost
DLT opportunity for ABS market
Coronavirus-related concerns are boosting the use of technology within the securitisation market. Blockchain is one area that is benefiting from this trend.
John Evans, Vanguard’s head of blockchain strategy, says: “One area we feel that there is a good opportunity to modernise the plumbing of the markets is in the securitisation market, and ABS is a good example .......
News Analysis 30 July 2020
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CLO ETF prepped
Sector developments and company hires
CLO ETF prepped
Market Moves 29 July 2020
Janus Henderson Investors has filed a preliminary registration statement with the US SEC in connection with the Janus Henderson AAA CLO ETF (JAAA), which is expected to launch on 22 October and will be offered to US investors. The fund will be managed by portfolio managers John Kerschner and Nick Childs, while Jessica Shill will serve as .......
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STACR surge
Freddie Mac galvanizes CRT re-opening with another STACR transaction
Freddie Mac has printed its second post-lockdown STACR deal, three weeks after re-opening the CRT debt market, with an upsized four-tranche $835m transaction. The deal was priced at the end of last week, confirmed a Freddie Mac spokesperson.
The offering, designated STACR 2020-HQA3, consisted of a M1 tranche priced at one-month Libor plus 155bp, an M2 tranche at one-month Libor plus 360bp, .......
News 29 July 2020
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CLO equity defies predictions
Sector developments and company hires
CLO equity defies predictions
Market Moves 27 July 2020
US CLO equity cashflow performance is defying pessimistic predictions, according to a new report from JPMorgan CLO research analysts. As of 23 July reporting, US CLO equity on average paid 8% cashflow year to date (based on 842 tranches or circa 70% of the universe) and the report estimates 89% of equity is paying, compared to .......
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'Switch' success
Aussie non-bank issuance on the rise
The Australian securitisation market has seen a rise in non-bank issuance post-coronavirus. Such activity has benefited from an adjustment to the AOFM’s Structured Finance Support Fund (SFSF) that funnelled secondary sellers into new primary deals.
Martin Jacques, director, head of securitisation and covered bond strategy at Westpac Institutional Bank, says: “Since the onset of the pandemic, all of .......
News Analysis 27 July 2020
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ReoCo restructuring in the works
Sector developments and company hires
ReoCo restructuring in the works
Market Moves 23 July 2020
The Leviticus SPV issuer is set to implement a ReoCo structure, having appointed Credito Fondiario as the servicer to carry out all core ReoCo activities. The main purpose of the ReoCo is to encourage third-party acquisitions at auctions above auction base prices or to repossess real estate assets at otherwise empty auctions and re-sell them .......
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Canadian CMBS forbearance highlighted
Sector developments and company hires
Canadian CMBS forbearance highlighted
As of the June 2020 remittance reports for the Canadian conduit CMBS sector, 48 loans totalling C$559.9m were on the servicer's watchlist for coronavirus-related relief, according to DBRS Morningstar. In most of these instances, the servicer’s commentary confirmed that borrowers were granted loan modifications and/or forbearances.The majority of these loans are secured by retail .......
Market Moves 22 July 2020
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Second CLN references WaMu loans
Sector developments and company hires
Second CLN references WaMu loans
Market Moves 21 July 2020
JPMorgan is in the market with its second public synthetic RMBS, Chase Mortgage Reference Notes 2020-CL1. Principal payments on the notes are based on the actual payments received and performance of a US$2bn reference pool consisting of 8,683 prime-quality residential mortgage loans. According to Fitch, the majority of the loans were originally negative amortisation loans originated .......
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Positive pick-up
European ABS market update
The positive tone across the European securitisation market appears to be continuing this week, following one that saw rare Dutch consumer (Aurorus 2020) and Portuguese auto (Silk Finance No. 5) paper placed. Indeed, two more relatively rare mandates were announced yesterday (20 July) – a new UK prime RMBS master trust and the first post-coronavirus UK CMBS.
One .......
Market Reports 21 July 2020
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Carrots and sticks
'Wide-ranging and ambitious' recommendations welcomed
The recommendations put forward by the High Level Forum on Capital Markets Union (CMU) last month have been welcomed by the European securitisation industry (SCI 11 June). However, while these measures – if implemented – should provide the necessary framework for a healthy and robust ABS market, they are far from being a silver bullet.
The High .......
News Analysis 21 July 2020
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UK Mortgages offer disclosed
Sector developments and company hires
UK Mortgages offer disclosed
Market Moves 20 July 2020
M&G Investment Management (MAGIM), on behalf of one of its managed funds - M&G Specialty Finance Fund (£) SCSp – has disclosed that it has made several approaches to the board of UK Mortgages Limited (UKML) with a view to making a recommended cash offer for UKML, all of which have been rejected. The most recent approach .......
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Euro CLO par burn rises
Sector developments and company hires
Euro CLO par burn rises
Market Moves 16 July 2020
After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built par in 2020 YTD by an average +19bp, while the remaining 30 managers burnt par by an average -41bp. .......
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Seeking clarity
Call to reassess repo language
The AG MIT CMO versus Royal Bank of Canada case, which recently settled (SCI 3 June), highlights how Covid-19 disruption has caused confusion over what constitutes a ‘recognised market’ for the purpose of selling securities. Indeed, the lawsuit underscores the need for greater clarity in securitisation repurchase agreements.
In the case, AG Mortgage Investment Trust argued that RBC .......
News 16 July 2020
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Conflict-free trading
Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions
Q: How and when did Meraki Global Advisors become involved in the securitisation market?
A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outsourced trading and operations firm that was launched in April 2019.We identified a need among the more sophisticated multi-asset hedge fund community .......
The Structured Credit Interview 16 July 2020
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October cliff edge looms
The apparent recovery of many parts of the MBS market may be a false dawn
Mortgage-backed securities have in general rebounded with confidence in recent weeks, but there is an undercurrent of alarm in the market that the resurgence might have over-reached itself. Despite the last non-farm payroll report, much economic data is still extremely sobering and a shock in Q4 could be on the cards, say analysts.
For example, seven credits of the 100 constituent credits .......
News Analysis 15 July 2020
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Dual-speed transition?
Libor replacement risks highlighted
The Alternative Reference Rates Committee's timelines for transitioning from Libor to SOFR is behind those of the sterling market’s for transitioning to SONIA, implying that the adoption of many risk-free rate best practices will take place in late 2021. At the same time, legacy securitisation documentation might not have embedded strong transition language, which could lead to counterparty litigation.
News Analysis 14 July 2020
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Fannie takes a step back
As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules
Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Federal Finance Housing Authority (FHFA) on May 20 is causing Fannie Mae to hold back from CRT issuance, confirm market sources close to the agency.
“They’re trying to evaluate what the new capital rules might mean before they take the next step,” says one consultant.
At the beginning .......
News Analysis 14 July 2020
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LCX platform expanded
Sector developments and company hires
LCX platform expanded
Market Moves 13 July 2020
LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled the company to sell previously originated loans at, above or below par, from its balance sheet. For the first time, LendingClub .......
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Forbearance plans plummet
Forbearances fall to April levels, but rollercoaster ride isn't over
Forbearances fell by 435,000 last week - the biggest single week drop yet - taking the overall number of home owners in forbearance plans to 4.14m, according to data released this morning by Black Knight. This is the lowest number of forbearances since April 28.
Some 7.8% of all US mortgages are now in forbearance, a 0.8% decline from the .......
News 10 July 2020
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OC ratios examined
Sector developments and company hires
OC ratios examined
Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P. It finds that average senior and junior OC cushions declined between February and May by 1% to remain healthy at over 8% and 3% respectively.However, S&P says: “We are seeing a wider dispersion of OC cushions across .......
Market Moves 10 July 2020