RMBS

  • 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

  • Chinese CMBS 'structural deficiencies' eyed

    Sector developments and company hires

    Chinese CMBS ‘structural deficiencies’ eyed
    The recent near-default of a Chinese CMBS issued by Yango Group - together with the two previous defaults of PKU TechPark and Hongbo Exhibition Center - expose several structural deficiencies in Chinese CMBS transactions, according to Fitch. Such deficiencies include low DSCR and collateral quality - due to weak underlying cashflow - limited protection through .......

    Market Moves 31 October 2022

  • Apollo, PIMCO set to acquire Credit Suisse SPG

    Sector developments and company hires

    Apollo, PIMCO set to acquire Credit Suisse SPG
    Credit Suisse has unveiled its new strategy and transformation plan, following a strategic review of the bank’s businesses (SCI 28 July). The bank says it is taking “extensive measures” to deliver a more integrated business model, with the goal of creating value for shareholders.

    Over the next three years, Credit .......

    Market Moves 28 October 2022

  • Irish reperforming RMBS stress tested

    Sector developments and company hires

    Irish reperforming RMBS stress tested
    S&P has conducted a scenario analysis of seven of the Irish reperforming RMBS it rates, to investigate the impact of the rising cost of living, since legacy mortgage loans are particularly vulnerable to rate increases as the borrowers in these transactions predominantly (94%) pay variable interest rates. The combination of an expected increase in debt .......

    Market Moves 26 October 2022

  • CMBS hedging agreements eyed

    Sector developments and company hires

    CMBS hedging agreements eyed
    DBRS Morningstar has raised concerns that the current DSCRs of three European CMBS it rates - Sage AR Funding No 1, Sage AR Funding 2021 and Taurus 2021-4UK - will be insufficient to enable the borrowers to use excess cash to purchase new interest rate cap agreements, without cash injections from the sponsors, as the respective .......

    Market Moves 25 October 2022

  • Reaching milestones

    John Beacham, ceo and founder of Toorak Capital Partners, answers SCI's questions

    Q: Toorak recently hit a US$10bn milestone in whole loan funding for housing rehab and construction since its inception in 2016. What does this mean to your company? 
    A: We’re extremely proud of hitting this milestone and excited for many more to celebrate in the future. When we first started Toorak, we saw an opportunity to provide stable, long-term capital to .......

    The Structured Credit Interview 24 October 2022

  • Regional bank CRT pipeline builds

    New SCI Global Risk Transfer Report published

    A couple more US regional bank capital relief trades are in the pipeline for late 2022 or early 2023, according to SCI’s new Global Risk Transfer Report. In terms of reference pools, a current area of focus is relatively high-quality assets that have a good credit story and are available in some depth.

    “I can think of .......

    News 12 October 2022

  • Non-calls to continue?

    Extension risk on the rise, particularly for non-bank issuers

    Following the announcement that buy-to-let RMBS Towd Point Mortgage Funding 2019 - Auburn 13 will not be called at its first call date this month, “given current market conditions”, extension risk in the European ABS/MBS market is expected to increase. Indeed, noting continued rate volatility, Barclays European securitised research analysts have revised their earlier opinion (SCI 31 August) .......

    News 10 October 2022

  • Testing the waters

    European ABS/MBS market update

    Following last week’s record €4bn securitisation BWIC volume, European and UK ABS/MBS secondary market activity is fading. At the same time, the primary market is still not completely shut, with a few deals out and testing market conditions.

    “The real action has certainly been for the most part in the secondary market with undeniably elevated volumes,” notes one .......

    News 7 October 2022

  • Primary stutters as secondary swamped

    European ABS/MBS market update

    In what has been a week of political and financial turmoil since last Friday’s UK mini-budget, two deals were pulled, though two more made it over the line. At the same time, the secondary market was flooded with BWICs, driving some hefty volumes.

    “This week has been all the about the secondary market,” notes one European ABS/MBS trader. .......

    News 30 September 2022

  • SCI In Conversation podcast is now live!

    We discuss the hottest topics in securitisation today...

    In this inaugural episode of the SCI In Conversation podcast, Angela Sharda chats to KBRA European research head Gordon Kerr about a European securitisation investor survey the rating agency undertook in June and the implications of the findings today. We also discuss a couple of new SCI Premium Content articles, one of which tracks the evolution of the STS synthetic .......

    News 30 September 2022

  • Split opinion

    Recession considerations discussed

    The jury is still out on the likely impact of next year’s forecast recession on the securitisation market. However, panellists at S&P’s European Securitisation Conference earlier this month did concur that the situation is likely to get worse for the sector before it gets better.

    While the forecast for the European securitisation market appears somewhat bleak, the majority .......

    News Analysis 27 September 2022

  • Branching out

    Thomas Majewski, managing partner and founder of Eagle Point...

    Q: Eagle Point recently announced its expansion into the ABS, MBS and SRT markets, which will be led by Karan Chabba as head of ABS, MBS, SRT and speciality finance (SCI 19 July). What were the motivations behind branching out into these markets?
    A: In terms of relative interest, the order we are looking at these is SRT, ABS .......

    The Structured Credit Interview 15 September 2022

  • SME funding partnership inked

    Sector developments and company hires

    SME funding partnership inked
    SME Capital and JPMorgan have agreed a new funding partnership dedicated to supporting UK SMEs. The collaboration entails JPMorgan extending a significant line of committed capital for SME cashflow lending over the next three years.

    The partnership forms the second phase in the development of SME Capital’s warehousing programme - the first phase being the .......

    Market Moves 2 September 2022

  • Active autumn?

    European ABS/MBS market update

    The European and UK ABS/MBS primary market looks set for an active autumn after a lacklustre August. The visible pipeline is beginning to build and a heavy potential refinancing calendar stretches over the next few months.

    Finnish auto ABS Tommi 3 was announced last week and is slated to price next week. The deal's top two tranches are .......

    News 31 August 2022

  • Not fit for purpose

    EIOPA conclusions 'conceptually flawed'

    Following its consultation paper in response to the European Commission’s call for advice on the review of the securitisation prudential framework under Solvency 2 (SCI 16 June), EIOPA has affirmed that it “considers that the current framework is fit for purpose.” However, this conclusion has failed to convince the securitisation industry of its validity.

    EIOPA’s broad assessment .......

    News Analysis 22 August 2022

  • ADB co-financing agreement inked

    Sector developments and company hires

    ADB co-financing agreement inked
    The Asian Development Bank (ADB) has signed an agreement with five global insurers that will mobilise up to US$1bn of co-financing capacity to support lending to financial institutions in Asia and the Pacific. The Master Framework Program for Financial Institutions will allow ADB to increase its lending to both commercial banks and non-bank financial institutions in .......

    Market Moves 19 August 2022

  • MBS social index proposed

    Sector developments and company hires

    Fannie Mae has published a proposed methodology for single-family social disclosure, which aims to provide MBS investors with insights into socially-oriented lending while preserving the confidentiality of borrowers. At the core of the methodology are three key outcomes that the GSE is seeking to achieve with its Single-Family Social Index: prioritise borrowers; allow investors to identify pools with high concentrations of .......

    Market Moves 18 August 2022

  • Unexpected update

    Recognition of EU STS securitisations to be extended

    Securitisation regulation in the UK has received a surprise amendment, following the publication last month of the new Financial Services and Markets Bill. The Bill is set to provide investors in the UK with access to a larger pool of STS securitisations with the introduction of a new STS equivalence regime for non-UK transactions.

    More broadly, the Bill .......

    News Analysis 17 August 2022

  • Symbiotic relationship

    'Recharacterisation' underway for European ABS

    The paucity of European publicly placed securitisations in recent months, against a backdrop of challenging conditions, is seen as a symptom of a market that is overregulated and has too few participants. Against this backdrop, a seemingly symbiotic relationship between the public and private securitisation markets is emerging.

    “The market for publicly issued securitisation bonds is too illiquid .......

    News Analysis 12 August 2022

  • Freddie charts fresh waters

    Inaugural June ACIS trade, dubbed AFH1, tackles loan warehouse capital charge

    The innovatory AFH ACIS reinsurance transaction, unveiled by Freddie Mac in June and designed to reduce capital charges for loan warehouse exposure, has a bright future, says Jeff Shue, senior director,  single-family credit risk transfer.

    “The transaction was a success by our metrics. It is a great example of the reinsurance market’s ability to execute on a forward basis, and we are likely .......

    News 2 August 2022
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