RMBS
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Still strong
European ABS/MBS market update
In a quieter week than of late, two full capital stack deals have been competing for investor attention in the European ABS/MBS primary market. Strong demand for both Pixel 2021 and SC Germany Consumer 2021-1 suggests that the market is still strong.
“I think both deals have been executed very well,” notes one ABS/MBS trader. “For SC Germany Consumer .......
News 28 October 2021
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New banking rules
Sector developments and company hires
The European Commission has adopted new EU banking rules under CRR 3 and CRD 4, with the aim of ensuring that EU banks become more resilient to potential future economic shocks, while contributing to Europe's recovery from the Covid-19 pandemic and the transition to climate neutrality. The Commission notes that while the overall level of capital .......
Market Moves 28 October 2021
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Highland Capital lawsuit filed
Sector developments and company hires
Highland Capital lawsuit filed
Market Moves 25 October 2021
The latest lawsuit brought by Highland Capital Management (HCMLP) against former employees has been filed in the bankruptcy court of the northern district of Texas. The action seeks to “recover hundreds of millions of dollars in damages that HCMLP suffered at the hands of its founder, James Dondero, acting in concert with other entities that he owned .......
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Pockets of resilience
European ABS/MBS market update
European ABS/MBS spreads leaked slightly wider and investor demand cooled somewhat last week as the market finally caught up with broader macro volatility. However, some sectors continue to outperform and this week is off to a strong start with a broad range of deals in the primary pipeline to follow.
“Indisputably, on a macro level, the same concerns .......
News 20 October 2021
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Innovative SRT finalised
Bank of Ireland executes synthetic RMBS
Bank of Ireland has finalised a €265m synthetic securitisation that references a €1.4bn portfolio of restructured Irish mortgages (SCI 8 September). Dubbed Glen Securities Finance, the transaction is the first capital relief trade to be backed by restructured residential mortgages.
Rated by KBRA and S&P, Glen Securities Finance consists of €66.4m A-/A- rated class A notes, €83.8m .......
News 20 October 2021
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Big bang?
Tokenisation touted as a replacement for securitisation
Tokenisation is being touted as a potential replacement for securitisation, given its many applications and benefits. However, a number of challenges remain before the technology can be fully adopted by the market.
News Analysis 14 October 2021
“Tokenisation could replace securitisation – but it won’t be a big bang. However, when you see the speed of digitisation in some areas, you see it has the .......
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Beyond Covid-19: What effect has the pandemic had on the European RMBS and mortgage markets?
Andrew South, md, structured finance and Alastair Bigley, se...
The Covid-19 pandemic has provided a novel test of European RMBS credit performance, which the sector looks set to pass with flying colors. As virus-related social restrictions led to an economic shutdown and mortgage lenders introduced unprecedented borrower forbearance schemes, RMBS investors seemed to be at risk of taking a hit.
Mortgage payment holidays posed a potential liquidity .......
Talking Point 14 October 2021
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Forbearances plunge
Fresh data reveals biggest drop in forbearances in a year
The largest drop in the number of US mortgages in forbearance in 12 months was recorded last week in the seven days ending October 4 according to Black Knight data released today.
Active forbearance plans fell by 177,000, or 11%, with healthy declines recorded across all investor classes. There has been a reduction of forbearances of 294,000 in the last 30 days, which .......
News 8 October 2021
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US insurer CLO exposure 'relatively small'
Sector developments and company hires
US insurer CLO exposure ‘relatively small’
Market Moves 8 October 2021
The NAIC has released stress testing results on US insurers' exposure to CLOs, as of year-end 2020. The stress tests examined the resilience of CLOs under three different scenarios and mirrors findings from the year-end 2019 stress test, wherein normal CLO single-A rated tranches experienced losses under the worst-case scenario. In comparison, .......
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CIFC, TRS launch leveraged loan partnership
Sector developments and company hires
CIFC, TRS launch leveraged loan partnership
Market Moves 4 October 2021
Teacher Retirement System of Texas (TRS) and CIFC Asset Management have established a new leveraged loan investment fund platform known as Texas Debt Capital (TDC). A CIFC affiliate is the general partner and investment manager of TDC, while TRS is the anchor investor limited partner and has committed significant equity to the fund. The .......
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Synthetic Libor settings confirmed
Sector developments and company hires
Synthetic Libor settings confirmed
Market Moves 29 September 2021
The UK FCA has confirmed that to avoid disruption to legacy contracts that reference the one-, three- and six-month sterling and Japanese yen Libor settings, it will require ICE Benchmark Administration to publish these settings under a 'synthetic' methodology, based on term risk-free rates, for the duration of 2022. However, these six Libor settings will be .......
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Fraud charges for Honor Finance pair
Sector developments and company hires
Fraud charges for Honor Finance pair
Market Moves 24 September 2021
The US SEC has announced fraud charges against James Collins and Robert DiMeo, the former principals of Honor Finance, for misleading investors about the subprime automobile loans that backed its US$100m offering. The SEC's complaint, filed in US District Court for the Northern District of Illinois, alleges that the pair were responsible for false .......
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Excellent shape
European ABS/MBS market update
September is living up to its reputation as a busy month for the European ABS/MBS primary market. Even though four deals are due to price today and tomorrow and three printed yesterday spreads remain tight and demand is still strong.
“It’s pleasing to see that the primary ABS market is in excellent shape,” notes one trader. “Although there is an .......
News 23 September 2021
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US CLOs, Trups CDOs under observation
Sector developments and company hires
US CLOs, Trups CDOs under observation
Market Moves 22 September 2021
Fitch has placed 102 tranches issued by 43 US CLOs and 13 tranches issued by seven Trups CDOs under criteria observation (UCO), following the publication of its CLO and corporate CDO rating criteria last week (SCI 17 September). The agency intends to resolve the UCO status by applying the updated criteria to each .......
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Pandemic 'feedback loop' highlighted
Sector developments and company hires
Pandemic ‘feedback loop’ highlighted
Market Moves 21 September 2021
Secular changes affecting the recovery of in-person office occupancy in New York City is consequential not only for property-level cashflow, but may also have ripple effects on other sectors, Fitch suggests. The city is the largest US office market and the rating agency says it provides a good case study of the potential feedback loop of .......
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Pagaya goes public via SPAC
Sector developments and company hires
Pagaya goes public via SPAC
Fintech securitisation issuer Pagaya Technologies and EJF Acquisition Corp (EJFA), a publicly traded SPAC, have entered into a definitive business combination agreement. As a result of the transaction, which values the combined company at an estimated enterprise value of approximately US$8.5bn at closing, Pagaya will become a publicly listed entity.Founded in 2016 by .......
Market Moves 20 September 2021
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BPCE up
Debut French green RMBS prepped
BPCE is in the market with its inaugural green French prime RMBS via BPCE Home Loans FCT 2021 Green UOP (see SCI’s Euro ABS/MBS Deal Tracker). The STS-compliant transaction comprises tranches A and B, tentatively sized at 92.6% (with a 3.3-year WAL) and 7.4% respectively of the overall deal size.
The provisional pool has a total outstanding .......
News 20 September 2021
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Securitisation execs promoted in PGIM reorg
Sector developments and company hires
Securitisation execs promoted in PGIM reorg
PGIM Fixed Income has reorganised its senior management team, with the appointments effective from 1 January 2022. Under the reorganisation, md John Vibert has been promoted to the newly created role of president.Vibert joined PGIM Fixed Income in 2014 as the head of securitised products and serves in that role currently. Prior .......
Market Moves 17 September 2021
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NPR issued on GSE capital framework
Sector developments and company hires
NPR issued on GSE capital framework
Market Moves 16 September 2021
The FHFA is seeking comment on a notice of proposed rulemaking that would amend the Enterprise Regulatory Capital Framework (ERCF) for Fannie Mae and Freddie Mac. The proposed amendments would refine the prescribed leverage buffer amount (PLBA) and the capital treatment of credit risk transfers (CRT) to better reflect the risks inherent in the .......
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On the up
Growth in private real estate deals continues
The UK real estate sector is seeing strong growth in private transactions, with loan-on-loan financings emerging as a popular method of funding for debt funds and challenger lenders. At the same time, forward flow transaction volume is gathering pace (SCI 26 April).
“This longer-term arrangement is proving to be quite popular and there has been a lot .......
News 16 September 2021
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Specialist lender stake acquired
Sector developments and company hires
Specialist lender stake acquired
Market Moves 15 September 2021
BNP Paribas Asset Management (BNPP AM) is set to acquire a majority stake in Dynamic Credit Group, the Amsterdam-based asset manager and specialist lender with €9bn of assets under management. The deal will allow BNPP AM’s private debt and real assets (PDRA) investment division - which currently managed €11bn of client commitments - to significantly grow .......