RMBS

  • 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

  • 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

  • Spanish CP vehicle formed

    Sector developments and company hires

    Spanish CP vehicle formed
    ODF Energía has registered on MARF the first issuance of commercial paper, sized at €30m, from its innovative new Spanish securitisation fund. Dubbed HT Suministros, the fund is a multi-compartment vehicle with a maximum issuance amount of €200m, secured by the successive purchase of credit rights belonging to different companies or private businesses groups.

    The .......

    Market Moves 9 July 2020

  • CPR for CRT from Freddie

    Freddie Mac's new upsized STACR shows market is healthy

    Freddie Mac has demonstrated that reports of the death of the CRT bond market are greatly exaggerated with its upsized $1.1bn STACR 2020-DNA3 deal priced at the end of last week and announced on Monday, July 6. This was the first single family GSE CRT offering since March.

    The deal was worth $500m at launch but was more than doubled to $1.1bn due .......

    News Analysis 9 July 2020

  • CQS portfolio refinanced

    Sector developments and company hires

    CQS portfolio refinanced
    AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m. Originated by a large Italian bank, these loans were initially securitised in 2016. In July 2019, AnaCap acquired the equity in the securitisation and in June 2020 it exercised its right to acquire the .......

    Market Moves 8 July 2020

  • Positive signs for CLOs

    Sector developments and company hires

    Positive signs for CLOs
    US CLO manager metrics have begun to improve or stabilise, according to JPMorgan’s Q2 report on the sector, published today. “In the very latest reported data, the percent of US CLOs failing the junior-most OC test (double- or single-B) dropped from 20% a few weeks ago to 16% - likely due to higher triple-C loan market values, .......

    Market Moves 7 July 2020

  • Volcker revision impact modest

    Sector developments and company hires

    Volcker revision impact modest
    The impact of the changes made to the Volcker Rule (SCI 26 June) will be relatively modest for the CLO market, according to S&P. The agency notes that nearly all current CLO documents prohibit investing in bonds, so will not see any changes unless they’re amended, which would require investor consent. However, a small number .......

    Market Moves 6 July 2020

  • Consumer considerations

    Borrower relief aids performance

    The downward trend of 30-plus delinquency rates for US marketplace lending, auto and credit cards continued into May. Higher delinquent levels were mitigated by borrower relief programmes.

    Melvin Zhou, senior director, consumer ABS at KBRA, says: “30-plus delinquency rates for MPL, auto and credit cards were either stable or turning down in March and April, regardless of credit .......

    News 1 July 2020

  • Forbearances forge ahead again

    Mortgage servicers under pressure as forbearances climb once more

     

    Forbearances increased in the week-ending June 23 after three consecutive weeks of declines, according to data released this morning by Black Knight.

    The number of US home loans ticked up by 79,000 in the week-ending June 19, reducing the improvement seen since May 22 by about 50%.

    All categories of home loans showed an increase in forbearances. The GSE-backed mortgages in forbearance grew .......

    News 26 June 2020

  • Volcker changes finalised

    Sector developments and company hires

    Volcker changes finalised
    The CFTC, FDIC, OCC, SEC and US Fed have finalised a rule modifying the Volcker Rule's prohibition on banking entities investing in or sponsoring hedge funds or private equity funds – known as covered funds. The final rule is broadly similar to the proposed rule from January (SCI 31 January).

    Like the proposal, the final .......

    Market Moves 26 June 2020

  • Subprime auto performance eyed

    Sector developments and company hires

    Subprime auto performance eyed
    Davis & Gilbert’s latest Credit Chronometer subprime auto study indicates that Covid-era market participants generally believe that the most reliable indicator of a subprime auto securitisation’s success is its projected performance - and they hold this belief even more strongly than in the past. The survey suggests that since 2019, the importance of credit ratings as a .......

    Market Moves 25 June 2020

  • QM price-based approach mooted

    Sector developments and company hires

    QM price-based approach mooted
    The CFPB has issued two notices of proposed rulemaking (NPRMs) to address the impending expiration of the GSE patch, which is scheduled to expire in January 2021 (or when the GSEs exit conservatorship, if that happens first). The bureau estimates that, absent regulatory action, approximately 957,000 mortgage loans would be affected by the expiration of the .......

    Market Moves 23 June 2020

  • Impact SRTs eyed

    Newmarket launches asset management business

    Newmarket has launched its asset management business, which will focus on the nexus of structured solutions and impact investing. Newmarket has spun out of Mariner Investment Group and will build upon a history of risk transfer investing. Along with this launch, Newmarket has formally assumed the management of the IIFC strategy, launched seven years ago at Mariner.

    Molly .......

    News Analysis 23 June 2020

  • Champagne on hold

    Latest forbearance numbers encourage, but end of July cliff edge looms

    Despite the reported recent drop in the number of home loan borrowers in forbearance, Moody’s strikes a cautionary note in its latest report on the RMBS sector, released this week.

    “Yes, we’ve observed a flatlining in forbearance numbers lately, but we’re not say ready to say it’s all over and it’s business as usual just yet,” says Karandeep Bains, .......

    News 19 June 2020

  • CMBS scores in first TALF window

    Sector developments and company hires

    CMBS scores in first TALF subscription
    Investors requested US$252m in loans under the first TALF 2.0 subscription window. Of this total, US$145m was for CMBS purchases, with the remainder almost evenly split between premium finance and small business deals. Wells Fargo CMBS analysts note that although wider spreads in the CMBS sector relative to the ABS sector may continue to .......

    Market Moves 18 June 2020

  • Seductive specifieds

    An investor's view

    SCI spoke to Brendan Doucette, government bond portfolio manager of GW&K Investment Management in Boston. The firm has assets under management of $40bn, of which $1bn is invested in the MBS market. It invests only in GSE-backed bonds.

    Q: Where do you see value in the MBS market at the moment Brendan?

    We like owning mortgages versus Treasuries, .......

    The Structured Credit Interview 18 June 2020

  • Investor interest

    UK RMBS market update

    The launch of Morgan Stanley’s buy-to-let transaction, Tudor Rose Mortgages 2020-1, yesterday marks the reopening of the UK RMBS market post-coronavirus. Investor interest shown in this deal is expected to encourage further market participation.

    One trader says: “I expect a few more deals to come to the market in the not-so-distant future. Issuers and arrangers will have the .......

    Market Reports 17 June 2020

  • Older CLOs underperforming

    Sector developments and company hires

    Older CLOs underperforming
    A significant proportion of all the US BSL CLOs S&P has on negative watch closed in 2015 or before. The rating agency reports that such deals also experienced a steeper average decline in OC cushion, falling by 3.23%, and their average junior OC cushion is now approaching 0%.

    Of the 410 currently reinvesting deals within the .......

    Market Moves 16 June 2020

  • Take-up rates

    Significant variations across European moratoria

    Payment holidays have so far assisted in deterring defaults during the coronavirus crisis. However, borrowers who have suffered severe financial difficulties are nevertheless expected to eventually experience defaults.

    Antonio Tena, vp-senior analyst at Moody’s, says: "The more stringent a jurisdiction's eligibility criteria, the more moratorium levels will correlate with defaults, given that the profiles of eligible borrowers are .......

    News 15 June 2020

  • Risky retention

    Haircuts become more severe in Covid 19 world

    Issuers of mortgage-backed bonds are at the moment finding it increasingly difficult to fund the risk retention pieces, say market sources.

    Lack of liquidity in the MBS repo market is in part to blame, but also rates have soared to uneconomic levels for issuers wishing to lend notes in return for cash as the likely economic effects of Covid 19 devalue mortgage-backed .......

    News Analysis 12 June 2020

  • Addressing inconsistencies

    Performance metrics switched

    Metrics that assess the level of portfolio interest and principal cashflows have become more reliable performance indicators than traditional default and delinquency metrics in the wake of coronavirus-driven moratoria. Moody’s notes that the need for more reliable metrics for the ABS and RMBS it rates is driven by inconsistent reporting on the proportion of portfolios under payment holidays.

    News 12 June 2020

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