RMBS

  • 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

  • Corporate actions slow down

    Sector developments and company hires

    Corporate actions slow down
    Negative rating actions on corporate loan issuers continue to accumulate within US BSL CLOs, though the pace is moderating, according to S&P. Since early March, more than 28% of US BSL CLO collateral has been downgraded or placed on credit watch negative by the agency, while triple-C buckets have tripled to 12.3% from about 4% (though .......

    Market Moves 14 May 2020

  • Liquidity support

    Amendments mitigate forbearance impact

    A number of UK securitisation issuers are enhancing their deals to mitigate the negative impact on revenue of coronavirus-induced payment holidays. Among the first-movers to support public transactions were Santander and Volkswagen Financial Services UK.

    Notably, Santander amended the transaction documents for its master trust issuances - Holmes Master Issuer series 2016-1, 2017-1, 2018-1 and 2018-2 and Fosse .......

    News Analysis 14 May 2020

  • Portfolio resilience

    Technology-driven investment gaining traction

    Pagaya has expanded to the US West Coast, beefing up its origination group. At the same time, the fintech firm is seeking opportunities in new asset classes and new partnerships.

    As part of its expansion, Pagaya has appointed Jason Hass as svp of originations and Mike Cannatella as vp of originations, in Phoenix and Los Angeles respectively. Hass will oversee .......

    News 14 May 2020

  • TALF CLO rules clarified

    Sector developments and company hires

    TALF CLO rules clarified
    The US Federal Reserve has clarified its CLO eligibility rules for TALF. It defines its stipulation that all or substantially all of the leveraged loans underlying CLOs must have been “newly issued” as those originated or refinanced on or after 1 January 2019. The Fed also announced additional CLO portfolio requirements: maximum second lien loan concentration .......

    Market Moves 13 May 2020

  • SFSF investments disclosed

    Sector developments and company hires

    SFSF investments disclosed
    The AOFM has disclosed the recent investments it has made under the Structured Finance Support Fund. In the primary market, the fund was the sole third-party investor in the A2 tranches of FirstMac 2020-1 (it also invested in the A1 through D tranches) and Liberty Series 2020-1 on 27 March and 8 May respectively. It has also .......

    Market Moves 12 May 2020

  • On the rack

    Recent limitations on liability leave unanswered questions for mortgage servicers

    The 21 April FHFA announcement that agency mortgage servicers will have to fund no more than four months of missed payments on a loan in forbearance (SCI 22 April) only partially lifts the dark cloud over the servicers, say market sources.

    “The announcement was a welcome development and we were very happy to see it, but there .......

    News Analysis 7 May 2020

  • STS synthetics proposals published

    Sector developments and company hires

    STS synthetics proposals published
    The EBA has published its proposals for developing an STS framework for synthetic balance-sheet securitisations, which includes the criteria to be considered when labelling a transaction as ‘STS' and provides the pros and cons of a potentially differentiated capital treatment for this type of securitisation. Among the proposed STS criteria are requirements on simplicity, standardisation and transparency .......

    Market Moves 6 May 2020

  • Ladder locks in financing

    Sector developments and company hires

    Ladder locks in financing
    Ladder Capital has entered into a strategic financing arrangement with Koch Real Estate Investments, under which Koch will provide the company with approximately US$206.4m in senior secured financing to fund transitional and land loans. As part of the strategic financing agreement, Koch has the right to make a US$32m equity investment in the Ladder at any time .......

    Market Moves 5 May 2020

  • WAM guidelines finalised

    Sector developments and company hires

    WAM guidelines finalised
    The EBA has published its final guidelines on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitisation transaction, as laid down in the CRR. These guidelines aim at ensuring that the methodology applicable for the determination of the WAM for regulatory purposes is sufficiently transparent and harmonised .......

    Market Moves 4 May 2020

  • CRT vol aims for the stars

    No longer staid and dependable, the CRT market is at record-breaking volatility

    Despite a levelling out in April, volatility in the credit risk transfer market remains extremely elevated, particularly in the context of an asset class that hitherto has demonstrated very little volatility at all.

    Annualised vol for the CRT sector was 13.06% at the end of April, according to data produced by Mark Fontanilla and Co, a Charlotte, North .......

    News Analysis 2 May 2020

  • MBS overvaluation case settled

    Sector developments and company hires

    Overvaluation case settled
    The US SEC has accepted an offer of settlement from Semper Capital Management in connection with administrative and cease-and-desist proceedings against it. On the basis of the offer, the Commission finds that from July 2013 through May 2014, Semper overvalued certain odd lot positions in securities held by the Semper MBS Total Return Fund (SEMMX), which caused .......

    Market Moves 1 May 2020

  • Targeted action

    Wholesale ratings downgrades questioned

    The raft of negative rating actions currently hitting the securitisation market is perceived to be driven by the stress created by coronavirus containment efforts. To the extent that some credit ratings were heading for a downgrade before the pandemic, this stress may simply be hastening rating actions. However, there are some who question whether wholesale downgrades are helpful in the .......

    News Analysis 1 May 2020

  • Performance pressures

    Irish mortgage loan restructurings anticipated

    Deteriorating collateral values and higher defaults are expected to impair the performance of Irish re-performing RMBS, even if cash reserves are adequate to cover liquidity shortfalls related to Covid-19 payment holidays. Indeed, Scope Ratings expects an increase in mortgage defaults to drive another wave of loan restructurings, which will – in turn - increase recovery timings.

    The top .......

    News 30 April 2020

  • Home sales plunge

    Over 20% drop in March homes sales bodes ill for MBS

    The US March pending home sales report plunged 20.8% compared to February and 16.3% lower than a year ago, the National Association of Realtors (NAR) reported today, showing the calamitous effect of Covid 19 upon the housing market. The Pending Home Sales Index (PHSI) for March is at 88.2, compared to 111.5 in February.

    Analysts had predicted a .......

    News 30 April 2020

  • Prudential flexibility reiterated

    Sector developments and company hires

    Prudential flexibility reiterated
    The European Commission has adopted a package to help facilitate bank lending to households and businesses throughout the European Union that includes an Interpretative Communication on the EU's accounting and prudential frameworks, as well as targeted ‘quick fix’ amendments to the CRR, in order to maximise the ability of banks to lend and absorb losses related to .......

    Market Moves 29 April 2020

  • PEFF funds allocated

    Sector developments and company hires

    PEFF funds allocated
    The steering body of the World Bank’s Pandemic Emergency Financing Facility (PEFF) has allocated US$195.84m to 64 of the world’s poorest countries with reported cases of Covid-19 to fund critical lifesaving medical equipment and support for health workers on the frontlines of the crisis. The allocation represents the amount received when the PEFF insurance window triggered for .......

    Market Moves 28 April 2020

  • Securitisation support

    AOFM initiatives to boost volumes

    The Australian Office of Financial Management has acted quickly to support the Australian securitisation market amid the coronavirus fallout. Indeed, a boost to both primary and secondary ABS volumes is expected as a result of its A$15bn Structured Finance Support Fund (SFSF) initiative (SCI 30 March) and the proposed Forbearance SPV respectively.

    Martin Jacques, director, head of .......

    News Analysis 28 April 2020

  • European SME ABS struggling

    Sector developments and company hires

    European SME ABS struggling
    Coronavirus-driven disruption is creating financial difficulties for European SMEs that heavily rely on securitisations for funding. Consequently, the crisis and subsequent recession will challenge the asset quality of SME ABS, according to a new report from Moody’s.

    “There is a widespread lack of financial strength and fewer financing options among SMEs, relative to large corporate .......

    Market Moves 27 April 2020

  • Inventory ABS prepped

    Sector developments and company hires

    Inventory ABS prepped
    Fintech platform Supply@ME Capital (SYME) has entered into an agreement with StormHarbour Securities for the issue, distribution and placing of a series of ABS that are guaranteed against inventories purchased directly by the platform's SPVs (SCI 15 April). Details of the securitisation programme are being finalised, but it is anticipated to cover - within 12 months .......

    Market Moves 24 April 2020

  • Non-agency CMBS goes it alone

    The non-agency CMBS market is an orphan of the storm

    While a raft of measures to aid liquidity and forestall insolvency have been introduced by the US authorities to asset-backed markets in recent weeks, the non-agency CMBS sector remains outside the umbrella, leading to fears it faces huge losses.

    GSE-backed CMBS are considered eligible as collateral under the terms of TALF 2.0, while in the private label sector .......

    News Analysis 24 April 2020
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