CMBS

  • Equity opportunities?

    Sector developments and company hires

    Equity opportunities?
    Despite a lack of visibility and liquidity and with cashflows likely to deteriorate further into upcoming July payment dates, there may be some opportunities in the CLO equity space, according to a new research report from JPMorgan.

    It finds that while NAVs remain negative, there has been some improvement between March lows and late 2019. Equally, cashflow .......

    Market Moves 1 June 2020

  • Renewables JV inked

    Sector developments and company hires

    Renewables JV inked
    By way of a joint venture, illimity Bank and VEI Green II have set up a securitisation vehicle for distressed loans with underlying assets that produce electricity from renewable sources. This vehicle will invest up to €100m and operate in both the Italian primary and secondary energy markets. The partnership has commenced activities by carrying out its .......

    Market Moves 29 May 2020

  • Pan-European guarantee fund launched

    Sector developments and company hires

    Pan-European guarantee fund launched
    The EIB board has approved a €25bn Pan-European Guarantee Fund (EGF) - which will be funded by EU member states pro rata to their shareholding in the bank – as part of its overall response to the Covid-19 crisis. By guaranteeing parts of portfolios, operations under the guarantee fund will free up capital for financial intermediaries .......

    Market Moves 27 May 2020

  • CLO manager performance assessed

    Sector developments and company hires

    CLO manager performance assessed
    JPMorgan has issued its latest CLO manager quarterly reports for both the US and Europe.

    72% of US CLOs are now failing their S&P triple-C test and 38% are failing their Moody’s Caa1 test, but there are still three managers passing both tests in all of their transactions: Blackrock, DFG/Vibrant, and Silvermine. Meanwhile, JPMorgan CLO .......

    Market Moves 21 May 2020

  • TALF subscription date announced

    Sector developments and company hires

    TALF subscription date announced
    The New York Fed has scheduled the first TALF ABS loan subscription date for 17 June, with the first loan closing date to be 25 June. On fixed days each month, borrowers will be able to request one or more three-year TALF loans. The Fed has published a Master Loan and Security Agreement, which provides further details on the terms .......

    Market Moves 20 May 2020

  • Covid-19 relief initiative launched

    Sector developments and company hires

    Covid-19 relief initiative launched
    Community Capital Management has launched an initiative to invest US$100m of assets in Covid-19 relief efforts. The aim is to offer organisations that wish to contribute to the long-term US recovery post-pandemic an opportunity to complement their philanthropic and volunteer resources through a seasoned fixed income strategy designed to provide high current income consistent with the .......

    Market Moves 19 May 2020

  • SME CLO, SRT PD adjustments mooted

    Sector developments and company hires

    SME CLO, SRT PD adjustments mooted
    DBRS Morningstar is considering additional adjustments to reflect expectations of a higher probability of default (PD) for borrowers underlying SME CLO and significant risk transfer deals operating in economic sectors considered to have a ‘mid-high’ or ‘high’ risk of experiencing higher levels of default, due to the coronavirus fallout. For borrowers in the ‘mid-high’ .......

    Market Moves 18 May 2020

  • Tortuous TALF 2.0

    Markets question TALF usage

    The Federal Reserve this Tuesday (May 12) published more details about the terms of its $100bn new emergency lending facility generally referred to as TALF 2, and while these details were welcomed there are a still a lot of questions in the market about how useful this programme will be.

    The first of those questions revolves around relative value. The cost of .......

    News Analysis 15 May 2020

  • TALF CLO rules clarified

    Sector developments and company hires

    TALF CLO rules clarified
    The US Federal Reserve has clarified its CLO eligibility rules for TALF. It defines its stipulation that all or substantially all of the leveraged loans underlying CLOs must have been “newly issued” as those originated or refinanced on or after 1 January 2019. The Fed also announced additional CLO portfolio requirements: maximum second lien loan concentration .......

    Market Moves 13 May 2020

  • SFSF investments disclosed

    Sector developments and company hires

    SFSF investments disclosed
    The AOFM has disclosed the recent investments it has made under the Structured Finance Support Fund. In the primary market, the fund was the sole third-party investor in the A2 tranches of FirstMac 2020-1 (it also invested in the A1 through D tranches) and Liberty Series 2020-1 on 27 March and 8 May respectively. It has also .......

    Market Moves 12 May 2020

  • Residual value buffer provided

    Sector developments and company hires

    Residual value buffer provided
    Volkswagen Financial Services UK will calculate a collateral residual value buffer to be made available to its UK auto ABS issuers in respect of the monthly period in which a payment holiday with a term extension is granted for a purchased receivable. The collateral RV buffer will be £300 for each purchased receivable in respect of which .......

    Market Moves 11 May 2020

  • Pipeline clearance

    Structural features support CMBS

    The US non-agency CMBS market appears to have stabilised, allowing sponsors to clear out existing pipelines, following structural tweaks in some cases. The sole conduit deal to print last month - Cantor Fitzgerald’s US$271m CF 2020-P1 – lacked senior/junior triple-A classes, while Blackstone’s BX 2020-VIVA has been restructured.

    Notably, the A, B, C and X classes of notes initially contemplated .......

    News 7 May 2020

  • STS synthetics proposals published

    Sector developments and company hires

    STS synthetics proposals published
    The EBA has published its proposals for developing an STS framework for synthetic balance-sheet securitisations, which includes the criteria to be considered when labelling a transaction as ‘STS' and provides the pros and cons of a potentially differentiated capital treatment for this type of securitisation. Among the proposed STS criteria are requirements on simplicity, standardisation and transparency .......

    Market Moves 6 May 2020

  • Ladder locks in financing

    Sector developments and company hires

    Ladder locks in financing
    Ladder Capital has entered into a strategic financing arrangement with Koch Real Estate Investments, under which Koch will provide the company with approximately US$206.4m in senior secured financing to fund transitional and land loans. As part of the strategic financing agreement, Koch has the right to make a US$32m equity investment in the Ladder at any time .......

    Market Moves 5 May 2020

  • WAM guidelines finalised

    Sector developments and company hires

    WAM guidelines finalised
    The EBA has published its final guidelines on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitisation transaction, as laid down in the CRR. These guidelines aim at ensuring that the methodology applicable for the determination of the WAM for regulatory purposes is sufficiently transparent and harmonised .......

    Market Moves 4 May 2020

  • MBS overvaluation case settled

    Sector developments and company hires

    Overvaluation case settled
    The US SEC has accepted an offer of settlement from Semper Capital Management in connection with administrative and cease-and-desist proceedings against it. On the basis of the offer, the Commission finds that from July 2013 through May 2014, Semper overvalued certain odd lot positions in securities held by the Semper MBS Total Return Fund (SEMMX), which caused .......

    Market Moves 1 May 2020

  • Targeted action

    Wholesale ratings downgrades questioned

    The raft of negative rating actions currently hitting the securitisation market is perceived to be driven by the stress created by coronavirus containment efforts. To the extent that some credit ratings were heading for a downgrade before the pandemic, this stress may simply be hastening rating actions. However, there are some who question whether wholesale downgrades are helpful in the .......

    News Analysis 1 May 2020

  • Prudential flexibility reiterated

    Sector developments and company hires

    Prudential flexibility reiterated
    The European Commission has adopted a package to help facilitate bank lending to households and businesses throughout the European Union that includes an Interpretative Communication on the EU's accounting and prudential frameworks, as well as targeted ‘quick fix’ amendments to the CRR, in order to maximise the ability of banks to lend and absorb losses related to .......

    Market Moves 29 April 2020

  • Securitisation support

    AOFM initiatives to boost volumes

    The Australian Office of Financial Management has acted quickly to support the Australian securitisation market amid the coronavirus fallout. Indeed, a boost to both primary and secondary ABS volumes is expected as a result of its A$15bn Structured Finance Support Fund (SFSF) initiative (SCI 30 March) and the proposed Forbearance SPV respectively.

    Martin Jacques, director, head of .......

    News Analysis 28 April 2020

  • European SME ABS struggling

    Sector developments and company hires

    European SME ABS struggling
    Coronavirus-driven disruption is creating financial difficulties for European SMEs that heavily rely on securitisations for funding. Consequently, the crisis and subsequent recession will challenge the asset quality of SME ABS, according to a new report from Moody’s.

    “There is a widespread lack of financial strength and fewer financing options among SMEs, relative to large corporate .......

    Market Moves 27 April 2020

  • Stalwart Canadians

    Canadian CMBS better positioned than US

    There is some evidence that the Canadian CMBS market is in a better state to ride out the turbulence of the Covid 19 crisis than the US market, suggest analysts.

    “Taking the base case scenario (that the recovery will begin at the beginning of 2021) the Canadian CMBS market is better positioned. It’s not just a matter of .......

    News 24 April 2020
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