RMBS

  • SPG spin-out rebranded as ATLAS

    Sector developments and company hires

    SPG spin-out rebranded as ATLAS
    Apollo and Credit Suisse have completed a substantial first close of their previously announced transaction, under which affiliates of the former purchased a significant portion of the latter’s securitised products group (SCI 28 October 2022). A majority of the assets and professionals associated with the transaction are now part of or managed by the .......

    Market Moves 9 February 2023

  • QT underway

    'Slight' tightening forecast for ECB-eligible ABS

    Rabobank credit strategists predict a drop of 45.8% in ECB reinvestments across all APP sub-programmes between March and June, equating to a potentially sizeable €1.5bn in redemptions not being reinvested, as the central bank embarks on its quantitative tightening programme. This figure is expected to rise to 80.7% in the second half of this year, given seasonality of redemptions .......

    News 8 February 2023

  • Alternatives combination agreed

    Sector developments and company hires

    Alternatives combination agreed
    FS Investments and Portfolio Advisors have entered into a definitive agreement to combine their firms. The move is set to see a joint growth in excess of their combined US$73bn in assets under management and a significant expansion to their resources - including a permanent capital base and a new distribution platform. As a combined company, the .......

    Market Moves 6 February 2023

  • Electronic loan trade completed

    Sector developments and company hires

    Electronic loan trade completed
    Octaura has completed its first entirely electronic syndicated loan trade. The news comes after the official launch of Octaura Holdings last year, which was founded with the intention to improve efficiency, liquidity and transparency in the CLO and syndicated loan trading processes (SCI 14 June 2022).

    At present, the US$1.5trn syndicated loan market functions .......

    Market Moves 2 February 2023

  • Time to shine

    Multi-sector structured credit 'top performer'

    Gapstow Capital Partners’ composite credit hedge fund index last year posted its lowest annual return – having declined by 3.9% - since its inception in 2009, with no peer group within the index producing a positive average return. Nevertheless, the multi-sector structured credit peer group - the funds of which invest across CLOs, MBS and ABS - was the .......

    News 2 February 2023

  • The affordability conundrum

    Impact of alternative credit scores explored

    The GSEs are under considerable political pressure to extend credit to the underserved. But what does this mean for CRT investors, issuers and rating agencies? This Premium Content article investigates.

    In October of last year, Sandra Thompson, director of the FHFA, unveiled potentially far-reaching policy changes with the aim of making US homes more affordable. All involve ......

    News Analysis 1 February 2023

    Premium Content

  • Fee fears

    FHFA opens another front in the war on affordability to industry concern

    The mortgage and securitization market has reacted with anxiety to the changes to the Loan Level Price Adjustments (LLPAs) announced by the Federal Home Finance Agency (FHFA) at the end of last week.

    Essentially, these changes make it less costly for borrowers with lower credit scores to secure a mortgage while and more costly those borrowers with higher credit scores.

    Not only, of .......

    News Analysis 26 January 2023

  • ECON votes on output floor

    Sector developments and company hires

    ECON votes on output floor
    The European Parliament's Committee on Economic and Monetary Affairs (ECON) has voted to apply the capital requirements output floor at the consolidated EU level under CRR3, in order to engender comparable risk weights and avoid variations in capital levels. Additionally, the Committee has agreed transitional adjustments for low-risk exposures secured by residential mortgages to mitigate .......

    Market Moves 24 January 2023

  • Alternative credit acquisitions hit record AUM

    Sector developments and company hires

    Alternative credit acquisitions hit record AUM
    The AUM of acquired alternative credit managers hit a record US$326bn across 37 transactions in 2022, according to Gapstow Capital Partners figures, with acquisitions of private lending firms accounting for nearly half of this activity (15 acquisitions at US$161bn in target AUM). In comparison, the tally for the prior two years was US$140bn in .......

    Market Moves 23 January 2023

  • 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

  • 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

  • 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

  • Call for additional index granularity

    Sector developments and company hires

    Call for additional index granularity
    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 .......

    Market Moves 13 January 2023

  • 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

  • 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

  • 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

  • Italian mid-cap deal debuts

    Sector developments and company hires

    Italian mid-cap deal debuts
    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 .......

    Market Moves 21 December 2022

  • NPL data templates introduced

    Sector developments and company hires

    NPL data templates introduced
    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- .......

    Market Moves 19 December 2022

  • 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

  • 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

  • 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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