RMBS

  • 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

  • 'Investor-friendly' features introduced

    Sector developments and company hires

    Rising interest rates and widening spreads have spurred changes in US non-prime RMBS structures that introduce investor-friendly features for senior noteholders, Fitch reports. The move comes amid growing concern over coupon cap shortfalls and lower availability of excess spread.

    As such, many issuers have reduced the aggregate servicing fee to 25bp (which historically has been 50bp), while some have introduced .......

    Market Moves 11 May 2022

  • Servicer strategies

    BNPL affordability dynamic eyed

    The rapid growth of the buy now, pay later (BNPL) sector (SCI 25 March), coupled with heightened costs of living, is altering the affordability dynamic within existing RMBS portfolios. Against this backdrop, investors are being encouraged to question servicers about their strategies for BNPL schemes.

    “From a securitisation point of view, there aren’t huge issuances at the moment - and .......

    News 10 May 2022

  • Warehouse woes?

    Turnkey solution offered amid labour shortages

    US mortgage warehouse lenders face an increasing competitive landscape, with labour shortages posing an additional challenge. Against this backdrop, turnkey solutions could help lenders scale their businesses.

    “The mortgage warehouse financing competitive landscape is increasing. The workplace environment is also evolving; many employees are looking for remote or hybrid working arrangements. Our clients have noted that it is .......

    News 5 May 2022

  • MSCI and MarketAxess collaborate

    Sector developments and company hires

    MSCI has announced its entry into a strategic collaboration with MarketAxess to establish new portfolio analytics solutions and fixed income indexes. The two firms hope to improve the fixed income investment process, empower investors, and drive innovation through their collaboration by developing portfolio optimisation, trading, and analytics tools. The collaboration will rely on MarketAxess’ fixed income indexes and AI-informed pricing .......

    Market Moves 29 April 2022

  • Full steam ahead

    European ABS/MBS market update

    With seven deals marketing, the European and UK primary ABS/MBS markets are set for bustling days ahead. While the market remained relatively unmoved either side of the Easter break, this strong surge in deals all scheduled for next week will certainly test investors’ appetite.

    “With so many deals being announced, the doors are clearly open,” notes one European .......

    News 22 April 2022

  • ESG cat bond fund launched

    Sector developments and company hires

    Paschal Brooks and Justin Hull have co-founded Sustain ILS Management. Headquartered in New Jersey, the firm is an independent investment manager with a focus on sustainability and ESG within the catastrophe bond and reinsurance sectors. Brooks was previously ceo of AlphaCat Capital, which he joined in December 2011 as a portfolio manager. Before that, he worked at Goldman Sachs and .......

    Market Moves 21 April 2022

  • Dead CIRT

    Fannie Mae places 4th CIRT of 2022

    Fannie Mae has placed its fourth CIRT deal of 2022, a little over a week after its fourth CAS transaction of the year, the GSE announced today (April 19).

    The transaction, designated CIRT 2022-4, transferred $844.8m of mortgage credit risk to 22 insurance and reinsurance firms.

    The reference pool for CIRT 2022-4 is comprised by 76,600 mortgages with an unpaid principal balance .......

    News 19 April 2022

  • Landmark ruling

    HEAT decision "watershed" for RMBS litigation

    The New York Court of Appeals last month issued a landmark ruling in a case involving US Bank National Association versus DLJ Mortgage Capital, relating to the Home Equity Asset Trust (HEAT) 2007-1 transaction. The precedent-setting decision has ramifications for dozens of other US RMBS repurchase cases pending in the lower courts by significantly limiting the legal exposure of .......

    News Analysis 13 April 2022

  • Dutch courage

    European ABS/MBS market update

    The European and UK ABS/MBS markets are looking to take full advantage of a recent surge in activity. This week, with a number of deals due to price, the market will try to maintain its strong momentum into the Easter break.

    After feeling the full effects of macro volatility, the European and UK ABS/MBS markets have over the .......

    News 12 April 2022

  • Going Dutch

    Unprecedented RMBS issuance from the Netherlands

    A new Dutch prime RMBS issuer has hit the market, following a slow-down in issuance across the segment in recent years (SCI 26 January 2021). The Athora Group is debuting Prinsen Mortgage Finance 1, as the Dutch RMBS market experiences unprecedented levels of activity this week (see SCI’s Euro ABS/MBS Deal Tracker).

    The deal’s seller and .......

    News 7 April 2022

  • Mind the gap

    Alternative data, RMBS to help address wealth inequality

    Securitisation could prove a useful tool in addressing the growing wealth inequality gap. Indeed, the technology is already channelling capital towards underserved communities, aided by CDFI-backed RMBS and alternative data being used to calculate credit scores.

    Elen Callahan, head of research at the Structured Finance Association, believes that the use of alternative data to assess consumer credit scores .......

    News Analysis 6 April 2022

  • Positive performance

    INV RMBS gaining traction

    Investment property (INV) loan origination has risen substantially in the US post-pandemic, driving increased issuance of INV-only RMBS. Based on data from its prime jumbo and non-QM benchmarks, dv01 has published an analysis of performance across the sector.

    “We’ve been talking about INV deals as if they’re a new concept, but investor loans have been part of the .......

    News Analysis 4 April 2022

  • Cautious optimism

    European ABS/MBS market update

    Following a clear pick-up in activity last week, the European and UK primary ABS/MBS markets have carried over that dynamism into this week. Optimism is, it seems, back on the cards for now.

    “Well, I think things are much more positive,” states one European ABS/MBS trader. “We have seen a big turnaround in the market, where a lot .......

    News 1 April 2022

  • Quality control

    Call for ESG data improvements

    The lack of clear, unified standards continues to constrain the wider adoption of ESG securitisation in the EU. In order to fulfill investor demand for such product, both the quality and quantity of ESG data needs to improve, according to panelists at SCI’s recent ESG Securitisation Seminar.

    Andrew Lennox, portfolio manager at Federated Hermes, pointed out that pricing .......

    News Analysis 30 March 2022

  • Secondary CLO equity fund launched

    Sector developments and company hires

    Accunia Credit Management has launched a CLO equity fund called King’s Garden. The firm is targeting an IRR of at least 15% over the fund’s lifespan by investing in CLO equity tranches in the secondary market.

    The new strategy completes Accunia’s credit product suite aimed at family offices and ultra high net-worth individuals. The firm says it will start deploying .......

    Market Moves 25 March 2022

  • Window of opportunity

    European ABS/MBS market update

    This week is seeing clear evidence of a pickup in activity in the European and UK ABS/MBS primary markets. In what feels like an intermediate period of opportunity for issuers, the announcement of a flurry of transactions should test investor appetite and overall market conditions.

    “After a period that saw huge levels of issuance for covered bonds, our .......

    News 23 March 2022

  • Inequitable frameworks

    Data analyses demonstrate punitive ABS treatment

    AFME has published two independent data analyses, undertaken by Risk Control, in response to the European Commission’s call for advice regarding bank and insurance prudential capital treatment and the liquidity coverage ratio (LCR). Both reports demonstrate that the current European regulatory framework is disproportionately punitive for securitisation.

    One of the Risk Control analyses examines the relative risk of .......

    News Analysis 22 March 2022

  • STACR three

    Freddie Mac completes Q1 CRT borrowing

    Freddie Mac issued a US$1.8bn high LTV STACR transaction late on Friday via Bank of America and Nomura.

    The bond, designated STACR 2022-HQA1, is the first high LTV deal that Freddie Mac has sold in 2022. It references loans put on in 3Q21 and completes Freddie’s credit risk transfer business for this quarter.

    The GSE plans to .......

    News 21 March 2022

  • Barrow Hanley closes inaugural CLO equity fund

    Sector developments and company hires

    Barrow Hanley Global Investors has closed on its inaugural CLO equity fund – the Barrow Hanley CLO Fund I LP. The fund will be managed by the existing alternative credit team and follows the aims of the firm’s strategic partner, Perpetual Limited, to expand the product offering at Barrow Hanley. Perpetual, alongside employees at Barrow Hanley, have invested 35% of .......

    Market Moves 17 March 2022

  • Some stabilisation

    European ABS/MBS market update

    The European and UK ABS/MBS markets saw some elements of stabilisation in the last few sessions of last week. Nevertheless, spreads continue to widen in both a very active secondary and a quiet primary space.

    The secondary market saw its busiest week of 2022, with over €350m paper on BWIC and dealers reporting healthy bilateral activity as well. As the .......

    News 14 March 2022
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