RMBS
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High-quality counterparties
Insurer involvement in SRT on the rise
SCI publishes regular in-depth analysis of trends and developments across the capital relief trades market, in addition to our usual news output. In this latest CRT Premium Content article, we examine how insurers are gaining traction as high-quality counterparties to significant risk transfer transactions.
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News Analysis 4 December 2020
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Pre-pandemic trends persist for US CLOs
Sector developments and company hires
Pre-pandemic trends persist for US CLOs
Market Moves 2 December 2020
Pre-pandemic trends in US leveraged lending - including high leverage, weak covenants and declining recoveries - resumed by 3Q20 and should continue into 2021, absent a renewed downturn, according to Moody’s. Consequently, the agency expects that in 2021 US CLOs will include structural features for maintaining loan workout and trading flexibility to help manage .......
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Innovative SRT inked
Belgian synthetic RMBS finalised
AXA Bank Belgium has completed a synthetic RMBS that references a static €730m portfolio of Belgian prime mortgages. Dubbed CASPR-1, the significant risk transfer trade is unusual due to the underlying asset class and the amortisation structure.
Rated by Fitch and S&P, the transaction consists of a €23.575m AA/AA- rated class A tranche (which priced at three-month Euribor .......
News 2 December 2020
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NPL ABS capital treatment amended
Sector developments and company hires
NPL ABS capital treatment amended
The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. The rule aims to close a gap in the Basel framework by setting out prudent and risk-sensitive capital requirements for NPL ABS.The Committee consulted publicly on the technical amendment during the summer (SCI 24 .......
Market Moves 27 November 2020
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Offshore demand
Chinese securitisation continues to gain traction
A growing number of Chinese securitisation issuers are attempting to tap offshore investors, the most recent being China Merchants Bank, with its RMB4.75bn Zhaoyin HeJia 2002-5 RMBS. In the next few quarters, it is expected that offshore investors will have a wider variety of asset types available.
Jerry Fang, senior director and analytical manager for North Asia .......
News Analysis 27 November 2020
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Jumbo BDC merger agreed
Sector developments and company hires
Jumbo BDC merger agreed
Market Moves 26 November 2020
FS/KKR Advisor, a partnership between FS Investments and KKR Credit Advisors (US), has announced that FS KKR Capital Corp and FS KKR Capital Corp II - two publicly traded BDCs advised by FS/KKR - have entered into a definitive merger agreement. The merger will create one of the largest BDCs in the US, with US$14.9bn in .......
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Emergency exit
Taking the GSEs back to private hands in two months is the tallest of tall orders
The difficulties in pulling the Fannie Mae and Freddie Mac out of conservatorship and into private hands before the new administration assumes the reins of office are close to insuperable, say sources in the agency MBS market.
There are a large number of moving parts to such a process, and to tick every box in less than two months, with Thanksgiving, Christmas .......
News 24 November 2020
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UK STS notification portal launched
Sector developments and company hires
UK STS notification portal launched
Market Moves 24 November 2020
The UK FCA has launched its new STS notification platform, with the aim of allowing UK securitisation originators and sponsors to ‘pre-populate’ the STS list in anticipation of the end of the Brexit transition period on 31 December. The FCA states that during the transition period, UK firms should continue to notify ESMA where a .......
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EBA SRT report released
Sector developments and company hires
EBA SRT report released
Market Moves 23 November 2020
The EBA has published its long-awaited report on significant risk transfer in securitisations, which includes a set of detailed recommendations to the European Commission on the harmonisation of practices and processes applicable to the SRT assessment. The EBA proposals aim to enhance the efficiency, consistency and predictability of the supervisory SRT assessment within the current securitisation .......
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Generation change?
Investor, issuer ESG engagement surveyed
The vast majority (81%) of ABS issuers polled in a recent Structured Finance Association survey currently incorporate ESG in their overall business operations, with 73% doing so in their asset origination and underwriting practices. The survey assesses the extent ESG principles are incorporated at both the enterprise level and at the structured finance business unit level.
Michael Bright, .......
News 23 November 2020
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Highland trio launch new firm
Sector developments and company hires
Highland trio launch new firm
Market Moves 20 November 2020
Ex-Highland Capital Management executives Mark Okada, Jack Yang and Trey Parker have launched Sycamore Tree Capital Partners, an asset management firm specialising in private and alternative credit. Okada will serve as ceo, Yang will serve as president and head of business development, and Parker will serve as cio. John Muse and Ken Hersh are strategic .......
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Synthetic RMBS priced
Lloyds finalises Syon transaction
Lloyds has priced the third transaction from its Syon programme. The seven-year significant risk transfer trade is motivated by prudent risk management within the context of providing support to first-time buyers, in line with the bank’s Helping Britain Prosper Plan. After withdrawing high LTV mortgage products in March 2020, the UK lender is now seeking to re-enter that market .......
News 19 November 2020
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Democrats and CRT
Banks, GSEs eye Washington for policy clues
It is, probably, a reasonable assumption that US President-elect Joe Biden has never given a second thought to credit risk transfer mechanisms. But for this market and particularly the GSEs, the new administration represents a sea-change in philosophy and policy.
The potential extent of any legislative innovation depends, firstly, on whether the Senate will approve or block action .......
News Analysis 19 November 2020
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Transition revamp?
Legacy language amendments remain challenging
Standard Libor fallback language has been agreed and adopted by some new transactions ahead of the benchmark transition next year (SCI passim). However, language amendments for legacy transactions remains challenging.
“Government agencies have been pretty clear on the fact that Libor will not be extended. For several years now, new transactions have been printed with satisfactory fallback language. .......
News Analysis 13 November 2020
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Shortfalls hitting rated CMBS notes
Sector developments and company hires
Shortfalls hitting rated CMBS notes
KBRA reports that over 85% (225) of the 263 deals in its rated US conduit CMBS universe have been impacted by interest shortfalls to varying degrees. Prior to the coronavirus pandemic, shortfalls occurred in just over 40% (110) of the transactions, as of February 2020.“The increase is not surprising, as interest shortfalls are .......
Market Moves 12 November 2020
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Dutch BTL aggregator deal prepped
Sector developments and company hires
Dutch BTL aggregator deal prepped
Citi is in the market with a new Dutch buy-to-let RMBS. Dubbed Jubilee Place 2020-1, the transaction is backed by a €212.9m portfolio comprising 669 loans originated by Dutch Mortgage Services, DNL 1 and Community Hypotheken.These three platforms focus on the non-consumer segment of the BTL market – in other words, professional landlords – according .......
Market Moves 11 November 2020
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ESG-focused CLO manager formed
Sector developments and company hires
ESG-focused CLO manager formed
Market Moves 10 November 2020
A trio of ex-Ares Management partners have formed a new independent alternative credit investment firm that plans to adopt an active ESG screening approach. Founded by Americo Cascella, Daniel Hall and Shane Mengel, Pacific & Plains Capital is based in Dallas, Texas, with a presence also in Los Angeles, California. The firm will invest in loans .......
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CLO library launched
Sector developments and company hires
CLO library launched
Semeris has today launched a document library called Semeris Docs for CLOs. The service initially covers European CLO documents and summaries on over 75 transactions, which will continue to grow and see a US CLO library launched in 1Q21.Semeris Docs is built on NLP (natural language processing) and the latest AI techniques, combined with human .......
Market Moves 4 November 2020