RMBS
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The perils of interest rate risk
A structured finance investor talks the big 2023 themes
Karlis Ulmanis is a portfolio manager at DuPont Capital in Delaware, which has total AUM of $20.1bn. The core fixed income portfolio is worth $1.3bn, and Karlis manages the $550m securitized debt section comprised of CMBS and RMBS. He manages these assets against structured products sub-index of the Bloomberg USA Bond Index.
This week SCI asked him where he sees value at .......
The Structured Credit Interview 20 January 2023
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Where's the money?
Top agency MBS buyer talks value at the start of 2023
Brendan Doucette is a portfolio manager with GW&K Investment Management, based in Boston, which manages around $5bn in taxable fixed income assets. Of this, some $1.4bn is invested in the agency MBS market.
SCI caught up with him last week to see how he views the market and likely developments at the start of 2023.
Q: Hi Brendan, nice to talk to you .......
The Structured Credit Interview 17 January 2023
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Governance impact highlighted
Asset isolation, payment continuity eyed
Fitch reports that governance remains the leading cause of elevated ESG Relevance Scores (ESG.RS) across structured finance, reflecting the importance of asset isolation and payment continuity for securitisations. The rating agency notes that governance is a highly relevant ESG factor for 484 transactions it rates (where 412 have an ESG.RS of 4 and 72 have an ESG.RS of 5), .......
News 16 January 2023
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Call for additional index granularity
Sector developments and company hires
Call for additional index granularity
Market Moves 13 January 2023
SFA has submitted a letter to Fannie Mae and Freddie Mac in response to their Social Index (SCI 19 October 2022) that strongly advocates for additional transparency and granularity in how existing social metrics are reported to investors beyond the index. While the association commends the GSEs for their efforts to improve ESG data .......
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Unemployment eyed
Labour market key to Euro ABS outlook
Some deterioration – both in collateral and ratings performance – across the European securitisation market is expected this year, given current global economic pressures. However, S&P suggests in its outlook for the sector that the ultimate impact of economic distress is largely dependent on how the labour market fares.
At present, eurozone unemployment rates stand at 7% and .......
News Analysis 13 January 2023
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Scores on the doors
Affordable housing gets top of the bill in new FHFA scorecard
The new Federal Housing Finance Agency (FHFA) GSE scorecard, released this week, gave top billing to the mission to increase “equitable access to affordable and sustainable housing”.
The GSEs are enjoined to “take significant actions” to make sure all borrowers and renters have access to housing, including “efforts that further energy efficiency, resiliency and cost savings.”
The dangers of climate risk also crop up .......
News 6 January 2023
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Capital ideas
Taxonomy-aligned RWAs, sustainability-linked pricing touted
SMARTER Finance for Families has submitted a number of policy recommendations to the Climate Bonds Initiative, as part of the organisation’s recent public consultation entitled ‘101 Sustainable Finance Policies for 1.5°C’. The SMARTER recommendations include top-down and bottom-up policy frameworks that harness the securitisation market.
“Engaging the capital markets is crucial in order to achieve net-zero – an .......
News 21 December 2022
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Italian mid-cap deal debuts
Sector developments and company hires
Italian mid-cap deal debuts
Market Moves 21 December 2022
illimity Bank has closed what is believed to be the first securitisation backed by a portfolio of 82 unsecured loans granted to Italian mid-caps and corporates that are predominantly guaranteed by the country’s export credit agency SACE. Dubbed Colt SPV, the €570.11m transaction was originated based on the ‘Liquidity decree’, enacted in June 2020 to help .......
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NPL data templates introduced
Sector developments and company hires
NPL data templates introduced
Market Moves 19 December 2022
The EBA has launched NPL transaction data templates, aimed at introducing information standardisation to increase the efficiency of secondary markets for non-performing loans and to reduce entry barriers for smaller banks and investors. The proposed NPL transaction data templates are built on previous voluntary loan-by-loan templates and consider the experience of market participants from the sell- .......
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Mind the gap
'Regulatory impediments' stalling ESG securitisation
Securitisable green lending in respect of residential mortgages on energy-efficient properties, loans for green home renovations and electric vehicle financing could exceed €300bn annually by 2030, according to a new AFME analysis. The findings are part of a study that provides a comprehensive overview of the current European regulatory landscape for green securitisation, challenges preventing the instrument from fully .......
News 12 December 2022
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Survey suggests improved sentiment
Sector developments and company hires
Survey suggests improved sentiment
KBRA has published the results of its December survey of European structured finance investors, which was conducted to gauge their views and expectations regarding the market. The report reveals a more positive picture than the rating agency’s previous investor survey from June.“While many challenges remain for the European securitisation sector, sentiment for the market .......
Market Moves 9 December 2022
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Agency activism
Divided Congress means greater agency intervention
The split US Congress, as a result of the recent mid-term elections, is likely to lead to the agencies responsible for the housing market to steer a course which will be both more independent and more interventionist, say analysts.
News Analysis 1 December 2022
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Don't panic!
Vadim Verkhoglyad, vp and head of research publication at dv...
Concerns of a recessionary impact on US consumer markets, and comparisons to the global financial crisis, are rampant across the media. This fearmongering is not accurate, is harming the market and is not in our best interest.
Widespread media analysis suggests that we are in a crisis: headlines focus on the increase in subprime auto delinquencies, the downturn .......
Talking Point 29 November 2022
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RMBS becalmed
2023 may be no better while FHFA adds to pressure on GSEs
The RMBS market has been in the doldrums for the second half of this year and analysts suggest that there will be no immediate rebound. While some are cautiously optimistic that next year will witness a return to liquidity, others suggest that we will have to wait until 2024.
This is particularly true of the non-QM space, which has been suffering particularly .......
News Analysis 28 November 2022
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Encouraging activity
European ABS/MBS market update
The UK and European ABS/MBS primary market saw some signs of recovery this week, with eight deals pricing. Further, following weeks of volatile market conditions and a lengthy trend of exclusively fully privately/pre-placed deals, the UK market finally welcomed a public transaction.
Yesterday, Nationwide priced the £750m 1A class of its RMBS securitisation Silverstone 2022-2. In an impressive .......
News 25 November 2022
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Sell-side specialisms
SRT bank relationships, technical knowledge transferred
SRT arranger/structurer departures from Citi have been notable over the last year, with Olivier Renault (SCI 1 December 2021), Mark Kruzel (SCI 11 May) and Alexis De Vrieze (SCI 8 September) all moving to the buy-side, for example. Capital relief trade sell-siders bring specialisms – including technical knowledge and bank relationships – that can be particularly .......
News 24 November 2022
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Irish, UK NPE disposals inked
Sector developments and company hires
Irish, UK NPE disposals inked
The Bank of Ireland has reached agreements to dispose of portfolios of Irish and UK non-performing exposures, through two .......
Market Moves 9 November 2022
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New landscape
ABS litigation 'rules of engagement' explained
US subprime RMBS disputes could impact ABS deal structures and related litigation in five pivotal ways. Against this backdrop, it is incumbent on parties to plan accordingly to navigate the new ABS litigation landscape.
“A lot of the changes over the years and more recently have been in favour of defendants, who have been gaining momentum,” says .......
News Analysis 8 November 2022
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British buffer
UK RMBS set to weather recession
The outlook for UK RMBS remains uncertain - despite optimism over borrower wealth buffers - as the country enters into its third government in three months. Amid such a rapidly changing policy environment, monetary policy and inflation rates – which continue to rise – are expected to be the two chief trends determining prospects for the housing market as .......
Talking Point 7 November 2022
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Call for Och 'feud' to end
Sector developments and company hires
Call for Och ‘feud’ to end
Market Moves 3 November 2022
Sculptor Capital Management’s independent board members and Jimmy Levin, the firm’s current cio and ceo, have issued statements in response to a recent court filing related to a dispute brought by former chairman and ceo Daniel Och. The filing mentions a “personal issue” from Levin’s past, which was thoroughly reviewed at the time and .......
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Stress-testing resilience
Climate-change risk assessment approach debuts
Scope has introduced a stress-testing methodology to assess climate-change impacts on securitisations. The objective is to help gauge the resilience of a transaction to transition and physical risks.
“We have introduced a quantitative and scenario-based stress-testing approach to assessing climate change impacts on the credit risk of securitisation transactions. The climate-change scenarios identified offer a range of outcomes for .......
News 2 November 2022