RMBS
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Disposals pending
Irish NPL activity set for rebound
The Irish non-performing loan market is set for a rebound in the second half of the year, following a hiatus due to the coronavirus crisis. Indeed, owner-occupied residential mortgages are expected to be a major area of focus for banks as they develop their future strategies against the backdrop of a post-Covid economy.
Ireland has been one of .......
News 23 July 2021
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Credit events
US moratoria challenges highlighted
The capital relief trades market has adapted to the existence of payment holidays by either excluding them from portfolios or limiting their presence in them. Nevertheless, payment holidays have raised challenges for US synthetic securitisations - although their removal isn’t expected to have a negative impact on US deals, given that the bulk of take-up rates occurred last year .......
News 23 July 2021
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Angel eyes
Angel Oak Capital Advisors' Sam Dunlap talks value in non-agency MBS
Atlanta-based Angel Oak Capital Advisors’ flagship multi-strategy income fund (ANGLX), this year celebrates its 10-year anniversary. The ANGLX is a dedicated structured credit mutual fund, focussing chiefly on US non-agency residential MBS, and was launched after the Financial Crisis of 2007/2008. In the last decade, ANGLX has achieved average annualised returns of 5.66%, as of 6/30/21, and now has approximately $7bn .......
The Structured Credit Interview 20 July 2021
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Six STACRs - UPDATE
Freddie's sixth STACR of 2021 prints inside previous two
Freddie Mac late yesterday (July 19) priced its sixth STACR deal of the year, designated STACR 2021-DNA5, at levels inside recent DNA and HQA trades.
“Freddie Mac’s single family CRT programme continued to attract strong investor demand, with 66 unique investors participating in the STACR 2021-DNA5 transaction, the most since 2017. The B1 tranche drew 39 investors, the most in programme history. .......
News 20 July 2021
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Euro CLO BWICs down, but staying strong
Sector developments and company hires
Euro CLO BWICs down, but staying strong
European CLO 2.0 BWIC activity contracted sharply in the first half of 2021 versus 1H20. However, secondary liquidity remains more sustained compared to pre-pandemic levels, reflecting the market's maturity and expansion in recent years, according to Bank of America European CLO research analysts.BofA estimates overall BWIC volumes of €5.3bn for 1H21, .......
Market Moves 19 July 2021
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Minor deterioration
Spanish payment holidays buck the trend
The end of payment holidays for Spanish mortgages could lead to a minor deterioration in the collateral performance of Spanish RMBS. However, an impact on credit ratings is not expected.
“The collateral performance has experienced a very minor deterioration and the impact on credit ratings is unlikely. Once payment holidays schemes have ended, no ratings impact should happen .......
News 19 July 2021
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Foreclosure fears
CFPB's new rule curtailing foreclosures complicates mortgage market
The final rule on foreclosures introduced this week by the Consumer Financial Protection Burea (CFPB) is unlikely to interrupt MBS issuance in the short term but problems likely lie round the corner, say experts.
At the moment, record refinancing are contributing to healthy MBS issuance but if rates rise - as looks likely - then refinancing will become less popular and the .......
News Analysis 15 July 2021
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New CLO committee to tackle 'greenwashing'
Sector developments and company hires
New CLO committee to tackle ‘greenwashing’
Market Moves 15 July 2021
The European Leveraged Finance Association (ELFA) has created a new committee to establish industry best practice and serve investors in the CLO market. The CLO Investor Committee will provide a forum for members to identify CLO investors’ requirements, facilitate discussion on general market progress and key issues, and contribute to the regulatory dialogue on .......
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Back in vogue?
Reverse equity to test market appetite
Another UK RMBS backed predominantly by legacy Northern Rock assets has hit the market. The Towd Point Mortgage Funding 2021-Hastings 1 transaction marks the first public securitisation of UK equity release mortgages since the financial crisis.
Acquired by Cerberus in 2018, the £215.68m portfolio comprises 86.5% Northern Rock loans and 12.9% Legal & General loans, with the remainder .......
News 15 July 2021
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ILS efforts beefed up
Sector developments and company hires
ILS efforts beefed up
Market Moves 14 July 2021
AXIS Capital Holdings has appointed Chris Caponigro as global head of AXIS ILS, as its third-party capital unit has been rebranded. Caponigro will oversee the company’s activities related to third-party capital under management, supporting ILS efforts across its reinsurance and insurance segments. He will report to AXIS Re ceo Steve Arora and be based out of .......
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Endless cash
European ABS/MBS market update
As the pre-summer flow comes to a close, optimism still prevails across the European ABS/MBS primary market. Despite strong execution from the four widely marketed deals last week and three still in the pipeline (see SCI’s Euro ABS/MBS Deal Tracker for more), further tight pricing levels are expected.
“The ABS-RMBS space has been exceptionally strong during these .......
News 14 July 2021
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Positive story?
Mortgage performance eyed as support ends
European RMBS performance has remained robust in the face of unprecedented stresses brought about by Covid-19, supported by a number of government schemes. However, questions remain over how the withdrawal of these measures will affect the market.
“The structures have done what they have been designed to do and they have been robust – that is a positive .......
News Analysis 13 July 2021
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EU monetary policy to reflect carbon transition
Sector developments and company hires
EU monetary policy to reflect carbon transition
The ECB has published its new monetary policy strategy, which includes what it describes as “an ambitious climate-related action plan”. The central bank states that climate change has profound implications for price stability through its impact on the structure and cyclical dynamics of the economy and the financial system.As such, it .......
Market Moves 9 July 2021
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Taper talk
Fed tapering could lead to 50bp MBS repricing
If - as many expect - the Federal Reserve commences a taper operation in 2H21 then agency mortgage bonds could reprice wider by 40bp-50bp, suggest MBS analysts.
The Fannie Mae interpolated five year/10 year curve currently yields around 69bp to Treasuries, but if the Fed does execute a taper then the market could see yields back up to plus 110bp-120bp.
Mortgage-backed .......
News 7 July 2021
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Sustainable finance strategy unveiled
Sector developments and company hires
Sustainable finance strategy unveiled
The European Commission has adopted a number of measures in connection with sustainable finance. First, a new Sustainable Finance Strategy sets out several initiatives to tackle climate change, as well as increase investment in the EU's transition towards a sustainable economy.The strategy includes six sets of actions: extend the sustainable finance toolbox to facilitate .......
Market Moves 7 July 2021
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NPL facility inked
Sector developments and company hires
NPL facility inked
Market Moves 6 July 2021
Together Financial Services has launched a new £96.2m securitisation vehicle called Brooks Asset Backed Securitisation 1 (BABS), which matures in 2026. The facility consists of a varied pool of residential and commercial purpose non-performing loans, previously funded within the senior borrower group. Consistent with its wider securitisation programme, Together will continue to service and manage the loans .......
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Advantageous returns
Australian RMBS market update
With deals paying juicy yields, investors are turning to the Australian RMBS market for advantageous returns. Meanwhile, Bluestone is testing market appetite for a potential debut prime transaction.
“A clear trend is yield chasing,” says one trader. “New prime triple-A RMBS bonds currently price at around 60bp, even into the high 50s. Non-conforming and non-resident RMBS paper is .......
News 2 July 2021
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Tight summer
European ABS/MBS market update
Following a busy quarter that saw every new deal being met with heavy investor demand, there is no sign of the appetite for paper diminishing. Secondary has picked up too over the last week and is showing a similar trend.
Even with the summer holidays quickly approaching, primary spreads still appear to be tightening, matching levels not seen .......
News 2 July 2021
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Finish line
ESMA designates securitisation repositories
ESMA has announced the European DataWarehouse (EDW) and SecRep as the EU’s official securitisation repositories. The decision addresses an important element of the disclosure framework under the Securitisation Regulation that was long left open. More saliently, originators of synthetic securitisations will now have to submit data to the repositories as part of the new ESMA rules, albeit there is .......
News Analysis 29 June 2021
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Strong technical
WFH lifestyle boosts RMBS market
The UK stamp duty land tax (SDLT) break, which was introduced by the government in July 2020 to support the housing market during the pandemic, is being scaled back at the end of this month. Although the tax break has had a positive impact on the RMBS sector, other factors have also contributed to boost the market.
“There .......
News Analysis 28 June 2021
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Aussie green RMBS bags Nochu support
Sector developments and company hires
Aussie green RMBS bags Nochu support
Market Moves 25 June 2021
Firstmac has closed a groundbreaking A$750m green RMBS, backed by the Clean Energy Finance Corporation (CEFC) and Norinchukin. The underlying properties will be among the most energy efficient in Australia, meeting or exceeding a seven-star rating under the Nationwide House Energy Rating Scheme (NatHERS). The seven-star rating materially exceeds the minimum standards of the .......