Complete news archive
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SCI Start the Week - 14 February
A review of SCI's latest content
Last week's news and analysis
News 14 February 2022
CLN uplift
CLN deal volumes grow
Compounded calculations
First RMBS tied to Sonia index issued
Emulating efforts
Capital Four US answers SCI's questions
First loss guarantee tapped
EGF SRTs receive mixed reactions
Increasing allocation
Innovation, transparency attracting institutional investors
Positive change
Investor demand set to broaden CLO ESG screening
Spread surge
GSEs face sharply higher costs for CRT as spreads widen
Super-size STACR
Biggest .......
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Spread surge
GSEs face sharply higher costs for CRT as spreads widen
The last couple of weeks have seen significant spread widening in the GSE CRT market, making the mechanism less friendly to the balance sheets of Freddie Mac and Fannie Mae.
This week, Freddie Mac priced its second DNA STACR of the year at levels considerably wider than STACR 2022-DNA1 priced on January 20.
The most recent M-1A tranche came in at .......
News Analysis 11 February 2022
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HKMC inks infrastructure MoUs
Sector developments and company hires
HKMC inks infrastructure MoUs
Market Moves 11 February 2022
The Hong Kong Mortgage Corporation (HKMC) has signed a memorandum of understanding on an infrastructure loans framework with 14 partner banks. The MoUs set out the principal terms for potential infrastructure loan cooperation between the HKMC and the partner banks on both primary participation and secondary sale bases, including the loan selection criteria, mode of participation .......
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Increasing allocation
Innovation, transparency attracting institutional investors
The majority of institutional investors polled in a recent Aeon Investments survey have increased their allocation to structured credit investments across different asset classes over the past 18 months. When asked why there is growing interest in structured credit investment vehicles, the top three reasons were given as greater innovation in the sector, an improving regulatory environment and greater .......
News Analysis 11 February 2022
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Positive change
Investor demand set to broaden CLO ESG screening
CLO ESG screening has to date largely been conducted on an exclusion basis. However, a shift towards positive screening is anticipated, as CLO managers work to meet rising investor demand and comply with the Sustainable Finance Disclosure Regulation.
A recent European Leveraged Finance Association (ELFA) ESG investor survey suggests that the switch to a more integration-based positive screening .......
News Analysis 11 February 2022
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Super-size STACR
Biggest ever $1.9bn STACR prices
The largest STACR in the history of the programme, designated STACR 2022-DNA2, has been priced.
Sized at $1.9bn in five tranches, it outweighs any deal since the first STACR printed in the summer of 2013, confirmed the GSE. It will settle on February 11 2022.
Both M1 tranches are in excess of $500m. The $576m M1-A priced at SOFR plus 130bp while the .......
News 9 February 2022
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Compounded calculations
First RMBS tied to Sonia index issued
The first RMBS to use the recently introduced Bank of England Sonia index to calculate the interest paid on sterling floating rate notes closed last month. Nationwide’s Silverstone Master Issuer Series 2022-1 is set to be the first of many securitisations to link to the new index because it simplifies the calculation of compounded Sonia.
“The index method .......
News Analysis 9 February 2022
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Agencies win 'valid-when-made' cases
Sector developments and company hires
Agencies win ‘valid-when-made’ cases
The US OCC and FDIC yesterday received favourable court rulings in cases challenging their ‘valid-when-made’ rules. In each case, the plaintiffs were three states – California, Illinois and New York – challenging the validity of the rulemakings.The states' attorney generals alleged that both federal agencies violated the Administrative Procedure Act. In particular, the plaintiffs .......
Market Moves 9 February 2022
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Tender two
Freddie concludes second STACR tender offer
Freddie Mac concluded its second tender offer of old STACR notes yesterday (February 8) at 5pm EST.
Twelve tranches, all M2s and M3s, from 2015, 2016, 2017 and 2018 had been offered for tender, though the bulk - 10 of the 12 - date from 2016 and 2017.
The most popular tranches for tender were the STACR 2017 DNA M2 and the STACR .......
News 8 February 2022
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Emulating efforts
Jim Wiant, ceo, partner and portfolio manager of Capital Four US, answers SCI's questions
Q: Capital Four launched its first US CLO last year. What were the motivations behind expanding into the US market?
The Structured Credit Interview 8 February 2022
A: If you look at Capital Four’s history and its path to growth, since 2007 the firm has meaningfully extended its investment capabilities beyond just European high yield. The firm now covers a wider range of investment capabilities in Europe – having broadened .......
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KIS embraces asset management
Sector developments and company hires
Kuvare Insurance Services (KIS) has launched a third-party asset management business. Over the past two years under the leadership of president and cio Brian Roelke, KIS has built a seasoned team of insurance industry professionals and asset class specialists to drive portfolio performance across Kuvare’s operating companies. The firm now plans to extend its experience across private asset-backed and structured .......
Market Moves 8 February 2022
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Wider spreads coming
European ABS/MBS market update
The hawkish pivot of the ECB, combined with lingering inflation-driven volatility conspired to drive spreads wider and dampen activity in the European ABS/MBS primary market over the past week. The two transactions in the near-term visible pipeline will have to scramble to price against the currently strained market backdrop.
Finnish auto ABS Tommi 2 (LT Autorahoitus) is due .......
News 7 February 2022
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CIP, Whitecroft partner for infrastructure SRT
Sector developments and company hires
Copenhagen Infrastructure Partners (CIP) is marketing its inaugural debt fund – the CI Green Credit Fund I (CI GCF I) – having secured €320m in seed capital. Targeting a size of €1bn, the fund will provide private project finance debt with subordinated risk characteristics supporting renewable energy projects globally.
Focus will be on green- and brownfield projects in offshore wind, .......
Market Moves 7 February 2022
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SCI Start the Week - 7 February
A review of SCI's latest content
Last week's news and analysis
News 7 February 2022
Big business
Strategic shift favours alternative credit M&A activity
Climate stress tests launched
ECB releases climate scenarios
Fannie CAS prices
New high LTV CAS, second CAS of 2022, prints
Fannie surge
Second CAS of 2022 in the market
Freddie fever
Freddie in the market with 2nd STACR of 2022, 4th GSE CRT deal
MBS meltdown
Fed ends MBS purchases, will reduce portfolio
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Sea sick CRT
GSE CRT investments punished by January blues
The GSE CRT market provided only a very thin positive return in January as inflationary pressures build and the yield curve moves into bear flattening mode.
The CRTx, the flagship index of Charlotte, NC-based consultancy Mark Fontanilla & Co, provided only a 6bp return last month, according to data released at the beginning of this week.
“It was the worse monthly returns for .......
News Analysis 4 February 2022
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STS register rolled out
Sector developments and company hires
ESMA has launched its STS Register for the notification of securitisations under the Securitisation Regulation. The entry into force of the Securitisation Regulation on 1 January 2019 introduced an obligation for originators and sponsors to jointly notify ESMA and their National Competent Authorities that a securitisation meets the STS criteria for being granted the STS label.
ESMA has put in .......
Market Moves 4 February 2022
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