RMBS

  • Alternative CLO ETF announced

    Sector developments and company hires

    Alternative CLO ETF announced
    Alternative Access Funds (AAF) has announced the registration of its new AAF First Priority CLO Bond ETF, which is scheduled to become effective on 14 August and - if all approvals and launch objectives are met - begin trading in early September under the ticker ‘AAA’. The new ETF will focus its investments in US dollar-denominated .......

    Market Moves 7 August 2020

  • Freddie STACRs them up

    New STACR deal was upsized and printed at the tight end across the capital structure

    Freddie Mac has confirmed that the B1 and B2 tranches of its $835m STACR REMIC 2020-HQA3 deal, printed at the end of the week of July 20-24, were upsized from $150m to $225m and $75m to $100m respectively.

    Each tranche of the four-tranche offering, underwritten by Citi and BNP Paribas, also priced at the tight end of guidance. In addition, .......

    News 4 August 2020

  • MM CLO test failures rise

    Sector developments and company hires

    MM CLO test failures rise
    The continued deterioration in credit quality of issuers due to the coronavirus pandemic resulted in a large number of US middle market CLOs failing a variety of tests for the first time in 2Q20, according to Fitch’s latest report on the sector. Of the 58 MM CLOs covered in the report, 23 failed at least one .......

    Market Moves 4 August 2020

  • Euro CLO equity edges ahead

    Sector developments and company hires

    Euro CLO equity edges ahead
    European CLO equity cashflow returns average 9.3% year-to-date and - as all CLOs in reinvestment are currently paying - the full-year 2020 cashflow return is likely to be low-teens, according to a new report from JPMorgan CLO research analysts. As such, European equity pieces have edged ahead of their US counterparts, currently returning 8% year-to-date .......

    Market Moves 3 August 2020

  • Nuanced approach

    Call for clarity in defining ESG

    A nuanced approach to ESG considerations is emerging within the securitisation market. Nevertheless, the Covid-19 pandemic has put social and governance factors in the spotlight.

    Anuj Babber, head of ABS research at M&G Investments, says: “The securitisation industry is at the infancy of incorporating ESG considerations into its credit and investment decisions. What we are seeing is that .......

    News 3 August 2020

  • CRT conveyor belt

    The second CRT deal from JPM marks a quickening of pace in the bank market

     JPM’s second CRT deal in the last nine months, priced two weeks ago, is expected to attain the necessary regulatory approval, while other deals and, indeed, other issuers should follow the same path, say analysts.

    The Chase Mortgage Reference Notes 2020-CL1  transferred risk on a $2.002bn reference pool of 8,683 prime quality residential mortgage loans.

    “I would definitely expect them to .......

    News Analysis 31 July 2020

  • GSE results improve

    Sector developments and company hires

    GSE results improve
    Both Fannie Mae and Freddie Mac have reported sharply improved Q2 results, despite the ongoing housing market dislocation as a result of Covid-19. Fannie Mae said net comprehensive income was US$2.53bn, compared to US$476m in Q1, while Freddie Mac had income of US$1.94bn compared to US$620m in Q1. Both GSEs had much lower than usual profits in .......

    Market Moves 31 July 2020

  • AGs fight Madden rule

    Sector developments and company hires

    AGs fight Madden rule
    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 .......

    Market Moves 30 July 2020

  • 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

  • CLO ETF prepped

    Sector developments and company hires

    CLO ETF prepped
    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 .......

    Market Moves 29 July 2020

  • 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

  • CLO equity defies predictions

    Sector developments and company hires

    CLO equity defies predictions
    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 .......

    Market Moves 27 July 2020

  • '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

  • ReoCo restructuring in the works

    Sector developments and company hires

    ReoCo restructuring in the works
    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 .......

    Market Moves 23 July 2020

  • 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

  • Second CLN references WaMu loans

    Sector developments and company hires

    Second CLN references WaMu loans
    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 .......

    Market Moves 21 July 2020

  • 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

  • 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

  • UK Mortgages offer disclosed

    Sector developments and company hires

    UK Mortgages offer disclosed
    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 .......

    Market Moves 20 July 2020

  • Euro CLO par burn rises

    Sector developments and company hires

    Euro CLO par burn rises
    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. .......

    Market Moves 16 July 2020

  • 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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