RMBS
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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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Last week of term?
European ABS/MBS market update
As July comes to an end, the European and UK primary ABS/MBS markets are looking forward to the summer hiatus after a difficut few months. Still, a few RMBS mandates managed to get over the line this week and there is even a deal in the visible pipeline.
Although widely distributed deals were yet to hit screens again .......
News 29 July 2022
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Relative rebound
European ABS/MBS market update
The penultimate week of July has seen activity rebound in the UK and European ABS/MBS primary markets. Although no widely distributed deals have yet been seen, issuance flows have been encouraging in comparison to recent weeks.
Facing continuing broader macroeconomic concerns exacerbated by political turmoil in Italy, issuers sought to get ahead of today’s long-awaited ECB rate rise by picking .......
News 21 July 2022
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'Penalising' RBC proposal criticised
Sector developments and company hires
‘Penalising’ RBC proposal criticised
Market Moves 21 July 2022
The LSTA has submitted a comment letter to the NAIC expressing its belief that the NAIC’s risk-based capital (RBC) proposal could penalise insurance company investments in CLOs and consequently impact the CLO and loan markets. The proposal would change the RBC framework such that capital requirements for purchasing all tranches of a CLO match the capital .......
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Looking for labels
Second-party opinions gaining traction
A total of 17 securitisations with second-party opinion (SPO) labels have been issued in Europe since 2016. With ESG factors playing an increasingly important role in investment decisions, tiering could emerge between transactions based on whether they have an SPO or not.
“There appears to be a trend: if you are an arranger or issuer, you check if you can .......
News 15 July 2022
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Making hay
New equilibrium for Australian securitisation market
In contrast to Europe and the UK, the Australian securitisation market is continuing to see healthy issuance activity, despite the country dealing with the same inflation and rates pressures as the rest of the world. This Premium Content article investigates why it’s always sunny Down Under.
After an extraordinarily busy 2021 - with A$48.79bn publicly placed across 64 individual ......
News Analysis 14 July 2022Premium Content
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Uncertainty prevails
Macroeconomic backdrop in focus
Thus far, 2022 has experienced some turbulent and choppy market conditions. Although poor performance has not yet affected the securitisation sector, the consensus – at least, in evidence during AFME and IMN’s Global ABS conference last month – is that uncertainty prevails and investor sentiment is predominantly focused on the macroeconomic backdrop.
During this period of market dislocation, .......
Talking Point 12 July 2022
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MBS falter
US MBS issuance set to tumble as refi rates collapse
There is increasing evidence that US mortgage refinancing is dropping fast, which, in turn, will reduce MBS issuance from the record-breaking volume of 2021.
According to data released by Black Knight today (July 6), in the 18-month period starting late 2020, the number of high quality refi candidates has dropped from an all-time high of 20m to the lowest seen since the .......
News 6 July 2022
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Over the HIL?
Home improvements drive resurgence in HELOC RMBS
Total spending on home improvements and repairs in the US reached US$369bn in 2021, an increase of 9.4% year-over-year, according to Harvard University’s Joint Center for Housing Studies. Home improvement loans (HILs) have emerged as an alternative form of financing for these renovations, particularly for those who lack substantial equity in their homes, while HELOC securitisations are also seeing .......
News Analysis 30 June 2022
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All eyes on FHFA
New GSE fee for joint offerings puts FHFA under pressure
Pressure is mounting on the Federal Housing Finance Authority (FHFA) to amend the capital treatment meted out to Unified Mortgage-Backed Securities (UMBS).
Fannie Mae and Freddie Mac are due to start charging a 50bp fee on each other’s collateral in comingled offerings tomorrow (July 1). This move has been precipitated by the onerous capital treatment of joint deals in the 2020 Enterprise Regulatory Capital .......
News 30 June 2022
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Better methods?
New definitions for green, social securitisations
ICMA has released new definitions for green and social securitisations, together with additional resources for climate transition finance under its update of the Green Bond Principles (GBP), Social Bond Principles (SBP), Sustainability Bond Guidelines (SBG) and Sustainability-Linked Bond Principles (SLBP). In a Q&A document published in conjunction with the updates, the association further clarifies that synthetic securitisations require additional .......
News 29 June 2022
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Suit filed over alleged CMBS fraud
Sector developments and company hires
Suit filed over alleged CMBS fraud
Market Moves 27 June 2022
Kasowitz Benson Torres, as counsel to investment vehicles associated with Carl Icahn, has filed a complaint in Nevada state court against Rialto Capital Advisors for breach of contract and fraud. The case is in connection with Rialto’s servicing of a CMBS trust (COMM 2012-CR4) secured by the Prizm Outlets mall in Primm, Nevada, which .......
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Cost of living concerns
Inflation pressures to push up UK RMBS arrears
The cost of living is increasing at a rate not seen for decades, as consumer price inflation is on the rise and monetary policy tightens in response. Due to elevated levels of inflation, arrears in UK RMBS transactions are expected to increase over the coming 12 months.
“Most people expect some level of deterioration on asset performance towards .......
News Analysis 27 June 2022
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Changing the paradigm
John Pellew, principal, distribution and securitisation at A...
In isolation and in the absence of mitigating factors, non-performing loan and distressed assets are inherently high-risk investments, but that’s not the whole story.
While it’s true that we are dealing with defaulted loans and distressed assets, these assets are not sold in isolation or single units, and they are not sold because they have no value. They .......
Talking Point 23 June 2022
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EIOPA consults on securitisation review
Sector developments and company hires
EIOPA has published a consultation paper in response to the European Commission’s call for advice (CfA) to the joint committee (JC) of the European Supervisory Authorities (ESAs) regarding a review of the securitisation prudential framework (SCI 28 October 2021). Under the CfA, the Commission sought the assistance of the JC to assess the recent performance of the rules on capital .......
Market Moves 16 June 2022
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Doing the right things
Mark Davies, md, BCMGlobal Mortgage Services, answers SCI's questions
Q: How and when did BCMGlobal become involved in the securitisation market?
A: BCMGlobal services £3.2bn of securitised loans, totalling 23,000 borrowers, across circa 25 portfolios and 10 securitisation programmes. We act as a standby servicer for £7.1bn of securitised loans for 17 clients across 47 transactions. Our loan portfolios are domiciled and secured in the UK and Ireland.Provider Profile 9 June 2022
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Goodbye convention?
Demand for inclusive credit scoring intensifies
Institutional investors have joined the charge of securitisation professionals demanding more inclusive credit scoring methodologies, following the SFA’s call for the use of alternative credit scores amid enduring concerns over the wealth inequality gap in the US (SCI 6 April). A new study, commissioned by VantageScore Solutions and conducted by FTI Consulting, finds that institutional investors also desire more .......
News 6 June 2022
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MidOcean bags PE bigwig
Sector developments and company hires
Erik Oken has joined MidOcean Partners as chairman of its private equity business, based in New York. He will work directly with the firm’s private equity investment team, with the aim of adding valuable senior insights and oversight to its thematic investment approach. Prior to joining MidOcean, Oken spent over 30 years at JPMorgan, most recently serving as global .......
Market Moves 1 June 2022
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Fit for purpose?
ESAs urged to revive securitisation market
AFME and Paris Europlace have jointly called for the European Commission and co-legislators to step up efforts to finalise the European securitisation framework and make it “fit for purpose”. The move follows a High-Level Forum, which took place today (31 May), organised by the two associations to discuss the role that securitisation can play in helping to meet Europe’s .......
News 31 May 2022
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Portfolio progress
Business model rethink continues apace
The trend of banks rationalising their business models continues apace across Europe. This Premium Content article explores the role of securitisation in their portfolio optimisation efforts.
The need for banks to fundamentally rethink their business models emerged post-financial crisis and continues still across Europe. Beyond disposals of non-performing assets, this entails focusing on core strategies and markets, ......
News Analysis 25 May 2022Premium Content
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Complex picture
European ABS/MBS market update
With two deals being pulled in the space of a week, the European ABS/MBS markets are facing thorny times. The current complex environment and volatility is set to hinder issuance in the short term.
Last Friday, HSBC announced it had to pull its UK student accommodation CMBS transaction – HXGN CMBS Finance 2022-1 – due to “exceptional market .......
News 20 May 2022