RMBS

  • New partnership

    Sector developments and company hires

    Morningstar has announced the enhancement of its DealView product with the inclusion of climate risk data through partnership with property climate risk data provider, ClimateCheck. The firm’s subsidiary, Morningstar Credit Information and Analytics, will incorporate the new feature alongside its existing in-depth commercial real estate analytics to enhance existing efforts to inform investors on natural risk factors in their CMBS transactions. .......

    Market Moves 11 January 2022

  • New moves

    Sector developments and company hires

    EMEA

    Ashurst is set to further expand its European securitisation team with the appointment of new global capital markets partner, Agathe Motte. Motte will join the law firm in Paris from Linklaters, where she advised French and European banks, corporates, and funds on structured finance deals. She brings extensive experience in both domestic and multijurisdictional securitisation transactions, in a variety .......

    Market Moves 10 January 2022

  • SCI Forum: does the STS regime work?

    Our expert responds to readers' questions

    Is STS doing what it is designed to do for the securitisation market?

    Daniel Hill, partner at Allen & Overy, gives his view

    The STS regime, introduced in the EU for traditional securitisations on 1 January 2019 (and then for synthetic securitisations in April 2021), aimed at increasing issuances, widening the securitisation investor base and cementing securitisation at the centre of the European .......

    Talking Point 7 January 2022

  • Angel Oak hits up MILNs

    In the third and final in our series of EOY interviews with...

    Colin McBurnette handles RMBS allocation for Angel Oak, and in 2021 he expanded the footprint of his portfolio into the mortgage insurance-linked note market for the first time.

    Heading into March 2020, Angel Oak had zero dollars in total MI exposure in its flagship Angel Oak Multi Strategy Income Fund (ANGIX), but this year it climbed to a peak of $400m. The fund will continue .......

    Talking Point 3 January 2022

  • Decision notice issued against BlueCrest

    Sector developments and company hires

    Decision notice issued against BlueCrest
    The UK FCA has published a decision notice against BlueCrest Capital Management (UK) (BCMUK) setting out its decision to impose a financial penalty of £40.81m on the firm. BCMUK has elected to refer the case directly to the Upper Tribunal, which will determine the appropriate action, if any, for the FCA to take.

    The .......

    Market Moves 24 December 2021

  • From strength to strength

    Landmark year for Aussie securitisation

    With A$48.79bn publicly placed across 64 individual transactions in 2021, the Australian securitisation market has reached a post-financial crisis issuance high. Record volumes, combined with the entrance of a series of new issuers and programmes - in a market driven by the non-bank sector - all point to continued growth.

    “Perhaps the most interesting aspect, or at least .......

    News Analysis 23 December 2021

  • Nephila taps LBR vehicle

    Sector developments and company hires

    Nephila taps LBR vehicle
    Nephila Capital has funded its newly launched Syndicate 2358, which focuses on short- to medium-term insurance business lines, with capital provided through Lloyd’s London Bridge Risk PCC vehicle. The transaction provides reinsurance capital from a diverse group of investors, including four pension funds, to support underwriting beginning with the 2022 Year of Account.

    Nephila has .......

    Market Moves 21 December 2021

  • Spanish private debt fund wins EIF backing

    Sector developments and company hires

    Spanish private debt fund wins EIF backing
    Beka Finance has formed a private debt management unit, dubbed Beka Credit, which it hopes will help consolidate the firm’s growth and leadership position in the alternatives market. The unit is already preparing to launch its first private debt fund, with which it expects to raise around €250m.

    The Luxembourg-based vehicle will .......

    Market Moves 17 December 2021

  • Opportunities in interventionism?

    New housing bill opens door to Spanish BTL market

    Spain’s minority coalition partners recently agreed a draft housing law - the first since the country’s transition to democracy in 1975 - which could redefine the local real estate market. As the cost of housing soars, the leftwing government proposes to protect vulnerable tenants against investment funds and corporate landlord firms. The move could accelerate the emergence of a .......

    News Analysis 17 December 2021

  • CAS Christmas cracker

    Fannie's third CRT since its return makes Q4 top of the pile

    Fannie Mae has priced its third and final CAS deal of the year, and as this trade will settle before year-end it makes 4Q 2021 the busiest ever seen in the GSE CRT space, say sources.

    The US$909m four-tranche offering, dubbed CAS 2021-R03, references a pool of around 117,000 single family mortgages with an outstanding principal balance of .......

    News 16 December 2021

  • UK review released

    HMT 'broadly supportive' of securitisation market

    The UK government has published its report on the review of the securitisation regulation (SCI 28 June), which outlines specific areas of the regime that HM Treasury may revisit to ensure it “best delivers” for the UK securitisation market. The report appears to be broadly supportive of the industry - although notably isn’t supportive of extending the public .......

    News 14 December 2021

  • Game-changing potential

    In the second in our series of year-end interviews with inve...

    Opportunities for investment in CRT trades from US names will increase significantly in 2022, says Terry Lanson, a portfolio manager at Seer Capital.

     “We think we’ll see significant volume out of the US and also out of Europe. The programme is growing in adoption globally. It is receiving significant attention from investors and capital allocators like state pension .......

    News Analysis 13 December 2021

  • Year-end?

    European ABS/MBS market update

    With primary European ABS/MBS market activity fading further away, year-end feels awfully close. As a result, focus is already being directed on the upcoming new year.

    “I think it is fair to say that we have hardly looked at any potential trades this week,” says one European ABS/MBS trader. “As is appropriate for this time of year, there .......

    News 10 December 2021

  • Climate risk analytics firms acquired

    Sector developments and company hires

    Climate risk analytics firms acquired
    Intercontinental Exchange has acquired risQ and Level 11 Analytics, which deploy data-driven technologies for managing climate change risk. RisQ and Level 11 Analytics leverage a variety of advanced geospatial mapping systems and provide extensive expertise in analysing and joining vast amounts of disparate public, corporate and third-party data sources.

    This data is integrated and .......

    Market Moves 9 December 2021

  • Growth constraints

    Disconnect between Euro ABS ambitions and reality?

    European securitisation issuance for the first 11 months of the year stood at a decade high of over €112bn, up by more than 65% compared with the same period in 2020, according to S&P figures. However, despite such record growth, a disconnect appears to remain between the industry’s ambitions and what is being seen on the ground - which .......

    News Analysis 9 December 2021

  • Extendable CRE loans scrutinised

    Sector developments and company hires

    Extendable CRE loans scrutinised
    Fitch has published an unsolicited comment on highly extendable commercial mortgage loans that offer borrowers up to 20 years of successive annual extension options, as featured in the recent Sage AR Funding 2021 and HAUS (ELOC 39) CMBS. The agency notes that it does not treat this loan feature as credit enhancing because interest rate risk .......

    Market Moves 8 December 2021

  • ESG data coverage scrutinised

    Sector developments and company hires

    The European Leveraged Finance Association (ELFA) has analysed coverage by three ESG data vendors for three debt indices - the CS Western European Leveraged Loan Index, the ICE BofAML Developed Markets High Yield Constrained Index and the BBG Global Aggregate Corporate Index – and found what it describes as “major discrepancies” in data coverage across asset classes. The research shows .......

    Market Moves 7 December 2021

  • Winding down

    European ABS/MBS market update

    The European ABS/MBS primary market appears to have begun winding down for year-end this week. With softening prices, macroeconomic concerns and the upcoming festive season, it seems that participants are already looking ahead to 2022.

    “For me the year is already over,” says one ABS/MBS trader. “Most issuers have already come to market and the ABS market is .......

    News 3 December 2021

  • Enhanced value

    Securent president Justin Vedder and SitusAMC ceo Michael Franco answer SCI's questions

    Q: Securent is a newly formed SitusAMC entity that provides comprehensive risk management and insurance programmes for MBS and mortgage stakeholders (SCI 18 November). Tell us about your vision for the company.
    JV: Securent is designed for mortgage lenders, investors, RMBS issuers, warehouse lenders and other market participants. Securent takes a proactive and preventive approach to managing loan risk and .......

    Provider Profile 3 December 2021

  • ESG countdown

    ECB climate stress tests pending

    The ECB’s pending climate stress tests are expected to offer some answers around the data and modelling challenges pertaining to the analysis of climate risks. Indeed, the stress tests could also prove definitive for ESG significant risk transfer issuance, given the presence of the same data challenges.

    The two main challenges pertaining to the analysis of climate risks are data .......

    News Analysis 3 December 2021

  • Bosphorus CLOs transferred

    Sector developments and company hires

    Bosphorus CLOs transferred

    Cross Ocean Adviser, an affiliate of Cross Ocean Partners Management, has assumed collateral management of the Bosphorus CLO IV, Bosphorus CLO V and Bosphorus CLO VI transactions from Commerzbank. Moody's has confirmed that the move will not impact its current ratings assigned to the affected notes. Under the terms of the associated novation, termination and amendment and .......

    Market Moves 2 December 2021
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