RMBS

  • LCR eligibility eyed

    Final credit mapping framework awaited

    Prime Collateralised Securities last week withdrew several liquidity coverage ratio assessments on double-A rated STS securitisation bonds. The move was in connection with an EBA Q&A that includes a temporary mapping, in which the credit quality step (CQS) 1 corresponds with triple-A ratings only.

    Ruben van Leeuwen, head of credit strategy and regulation at Rabobank, says: “The interpretation .......

    News 10 June 2020

  • Resolve and resilience

    Content sponsored by Ocorian

    James Maitland, regional head of Americas, Bermuda & Caribbean, and global head of capital market services at Ocorian, spoke to SCI about how resilience is benefiting the industry and his firm

    With the traditional office environment disappearing almost overnight and widespread personal restrictions, we have seen a smooth transition and incredible resilience both within our own firm and across the .......

    Talking Point 10 June 2020

  • Spread compression

    European ABS market update

    The rally in broader risk assets and the lack of new supply has boosted demand for paper in the European ABS secondary market. An increasingly acute supply/demand imbalance is expected to be supportive of valuations over the near term, however.

    “We have been on a bit of tear over the last week and a half,” says one European ABS trader. .......

    News 9 June 2020

  • CLO business integrated

    Sector developments and company hires

    CLO business integrated
    RBC’s US-based CLO management business is being integrated into BlueBay’s CLO management platform. Sid Chhabra, who joined BlueBay – which is owned by RBC - in 2018 to build the firm’s structured credit and CLO capabilities, will lead this team. The US-based team includes four experienced individuals and the US$500m CLOs they manage.

    In other news…

    Market Moves 8 June 2020

  • May payments slump

    Forbearances are down for the first time since CARES, but payments by borrowers in forbearance slump

    Last week saw the first net fall in US mortgage forbearances since the beginning of the Covid 19 crisis, according to Black Knight data released this morning, but this encouraging news hides other more disquieting information, say market experts.

    While welcoming the decline in forbearances, Black Knight ceo Anthony Jabbour notes that “far fewer homeowners in forbearance remitted .......

    News 5 June 2020

  • Capital trouble

    GSEs stare down the barrel of reduced capital relief for CRT deals

    The re-proposed capital rules for the GSEs before they exit conservatorship, released by the Federal Housing Finance Authority (FHFA) on May 20, add further doubts to the future of the credit risk transfer market, according to market opinion.

    Compared to the rules released in 2018, the new iteration cuts in half the credit relief afforded by CRT deals. .......

    News Analysis 5 June 2020

  • Senators seek TALF expansion

    Sector developments and company hires

    Senators seek TALF expansion
    US Senators Jerry Moran, Martha McSally and Thom Tillis sent a letter to Fed chairman Jerome Powell and Treasury secretary Steve Mnuchin requesting that TALF be expanded to accept ABS backed by assets from all essential lending sectors as eligible collateral. The letter specifically urges personal instalment loans and non-agency RMBS be included as eligible collateral .......

    Market Moves 5 June 2020

  • Conduit CMBS on watch

    Sector developments and company hires

    Conduit CMBS on watch
    S&P has placed its ratings of 96 classes from 30 US conduit CMBS on credit watch (CW) with negative implications, reflecting the bonds' exposure to the adverse impact of Covid-19 on the lodging and retail sectors, and the related uncertainty about the duration of the demand disruption. The agency says it will resolve or update the .......

    Market Moves 4 June 2020

  • Vulnerability highlighted

    Irish re-performing RMBS 'more sensitive'

    Measures taken to contain the coronavirus pandemic have resulted in economic contraction, which is expected to weaken Irish RMBS further (SCI 30 April). Due to the characteristics of the underlying collateral, S&P suggests that Irish re-performing RMBS are particularly vulnerable to performance deterioration.

    Payment holidays of up to six months are being offered by all lenders and .......

    News 4 June 2020

  • More Euro CLOs on review

    Sector developments and company hires

    More Euro CLOs on review
    Moody’s has put a further 234 tranches from 77 European BSL CLOs on review for possible downgrade. The securities involved are rated Baa2 to B1 and below. The action brings the total number of European CLOs Moody’s has under negative review to 351, representing around 16% by count, or 6.5% by balance, of its rated .......

    Market Moves 3 June 2020

  • New paradigm?

    Trustee discretion required in virtual environment

    The coronavirus crisis ushered in a new paradigm for securitisation noteholder communication and documentation processes, as remote working was enforced. This change has demanded flexibility from trustees and agents amid the uncertainty.

    Morgan Krone, partner and head of the global corporate trust and agency practice at Allen & Overy, says: “I think trustees and agents have done extremely .......

    News Analysis 2 June 2020

  • Risk mitigation

    Southern European RMBS 'insulated'

    An increase in European RMBS delinquency rates is expected in the coming months, reflecting coronavirus-induced stress on borrowers. However, Southern European RMBS transactions have structural features and portfolio characteristics that are expected to mitigate the negative impact of the crisis.

    Andrea Corda, avp at Moody’s, says: “Italian, Spanish and Portuguese RMBS we rate would largely weather a short, .......

    News 1 June 2020

  • Equity opportunities?

    Sector developments and company hires

    Equity opportunities?
    Despite a lack of visibility and liquidity and with cashflows likely to deteriorate further into upcoming July payment dates, there may be some opportunities in the CLO equity space, according to a new research report from JPMorgan.

    It finds that while NAVs remain negative, there has been some improvement between March lows and late 2019. Equally, cashflow .......

    Market Moves 1 June 2020

  • Renewables JV inked

    Sector developments and company hires

    Renewables JV inked
    By way of a joint venture, illimity Bank and VEI Green II have set up a securitisation vehicle for distressed loans with underlying assets that produce electricity from renewable sources. This vehicle will invest up to €100m and operate in both the Italian primary and secondary energy markets. The partnership has commenced activities by carrying out its .......

    Market Moves 29 May 2020

  • Forbearances falter

    Forbearance volumes slow, but the next stage is daunting

    The rate of increase of US home loans in forbearance plans has slowed significantly lately, according to data compiled by Black Knight, the mortgage technology and data provider, but the overall picture remains sobering.

    Only 7,000 new mortgages were added to the overall total of 4.76m homeowners in forbearance plans in the week-ending May 26. This compares to a 325,000 net increase .......

    News 29 May 2020

  • Pan-European guarantee fund launched

    Sector developments and company hires

    Pan-European guarantee fund launched
    The EIB board has approved a €25bn Pan-European Guarantee Fund (EGF) - which will be funded by EU member states pro rata to their shareholding in the bank – as part of its overall response to the Covid-19 crisis. By guaranteeing parts of portfolios, operations under the guarantee fund will free up capital for financial intermediaries .......

    Market Moves 27 May 2020

  • CLO manager performance assessed

    Sector developments and company hires

    CLO manager performance assessed
    JPMorgan has issued its latest CLO manager quarterly reports for both the US and Europe.

    72% of US CLOs are now failing their S&P triple-C test and 38% are failing their Moody’s Caa1 test, but there are still three managers passing both tests in all of their transactions: Blackrock, DFG/Vibrant, and Silvermine. Meanwhile, JPMorgan CLO .......

    Market Moves 21 May 2020

  • Moratoria mulled

    Payment holidays set to test CRT provisions

    Portfolios referencing loans subject to payment holidays may create a new sub-asset class within the capital relief trades market. Nevertheless, it remains to be seen whether provisions in outstanding synthetic securitisations will prevent lenders from being paid due to the implementation of moratoria.

    Roberto Savina, head of structured risk solutions at AmTrust International, confirms that he has been .......

    News Analysis 21 May 2020

  • TALF subscription date announced

    Sector developments and company hires

    TALF subscription date announced
    The New York Fed has scheduled the first TALF ABS loan subscription date for 17 June, with the first loan closing date to be 25 June. On fixed days each month, borrowers will be able to request one or more three-year TALF loans. The Fed has published a Master Loan and Security Agreement, which provides further details on the terms .......

    Market Moves 20 May 2020

  • Covid-19 relief initiative launched

    Sector developments and company hires

    Covid-19 relief initiative launched
    Community Capital Management has launched an initiative to invest US$100m of assets in Covid-19 relief efforts. The aim is to offer organisations that wish to contribute to the long-term US recovery post-pandemic an opportunity to complement their philanthropic and volunteer resources through a seasoned fixed income strategy designed to provide high current income consistent with the .......

    Market Moves 19 May 2020

  • Forbearance frontiers

    4.7m home loans now in forbearance

    Almost 4.7m US homeowners are in forbearance plans as of May 12, an increase of 200,000 in seven days, according to Black Knight, which provides data and analysis on the mortgage markets.

    This represents 8.8% of all active mortgages and over $1trn in unpaid principal. Around 7% of all GSE-guaranteed loans and 12.4% of all Federal Housing Authority (FHA) .......

    News 15 May 2020
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