RMBS

  • CLO outlook updated

    Sector developments and company hires

    CLO outlook updated
    Fitch says it expects to change a significant portion of its CLO outlooks to stable from negative, following the revision of its CLO coronavirus stress scenario to assume half of the corporate exposure on negative outlook is downgraded by one notch instead of 100%. Approximately one-third of corporate issuers with loans in CLOs currently have a negative .......

    Market Moves 25 January 2021

  • Libor lives on

    Likely postponement of USD Libor expiry gives structured finance market breathing space

    The demise of USD Libor seems likely to be delayed until mid-2023, which gives the structured finance market another two and a half years to gets its house in order - but the time must be used wisely, stress well-placed market observers.

    A December 1 announcement by the ICE Benchmark Administration, which administers Libor, that it was seeking an extension of life .......

    News Analysis 22 January 2021

  • 'Unique' CMBX reflects Covid trends

    Sector developments and company hires

    ‘Unique’ CMBX reflects Covid trends
    The IHS Markit CMBX.14 index is expected to launch on 25 January, uniquely referencing 25 conduit CMBS issued between September 2019 and December 2020. All five of the 2019 deal constituents are also referenced in CMBX.13, creating collateral overlap between the two series.

    Morgan Stanley CMBS strategists note that on average, CMBX.14's original credit .......

    Market Moves 21 January 2021

  • CLO team finds new home

    Sector developments and company hires

    CLO team finds new home
    Fidelity International has established a new private credit capability with experienced hires from AnaCap-owned MeDirect Bank. Concurrently, the firm has been awarded the delegation of management for the €400m Grand Harbour CLO 2019-1 transaction. Fidelity says it will continue to engage with MeDirect to explore further strategic opportunities.

    The private credit team will continue .......

    Market Moves 20 January 2021

  • Eviction limitations extended

    New law poses risk for Spanish asset quality

    Royal Decree-Law 37/2020, introduced last month by the Spanish government, extends the limitations on evictions of vulnerable residential tenants until May 2021. The regulations are expected to negatively impact RMBS and non-performing loan ABS performance by prolonging the time lag until property repossession, as well as reducing the incentive for private-sector investment in Spanish residential real estate and adversely .......

    News 19 January 2021

  • Euro CLO equity yields dip

    Sector developments and company hires

    Euro CLO equity yields dip
    Annualised equity dividend yields across European CLOs averaged 12.9% in 2020, down from 15.1% in 2019 and below the 15% yearly average for the 2014-2020 2.0 era, according to research from Bank of America. However, the research suggests that in light of the pandemic disruption, the dip was moderate and mainly driven by a drop .......

    Market Moves 18 January 2021

  • QM queue

    New seasoned QM category could open door to increased MBS

    On December 10, the Consumer Finance Protection Bureau (CFPB) issued the final rule for the criteria which define a Qualified Mortgage, and the introduction of an innovative seasoned loan category could provide a route for increased lending and greater MBS issuance, say market observers.

    Under the new ruling, mortgages which do not initially meet the qualification benchmarks for QMs may become a .......

    News Analysis 15 January 2021

  • Strong opening

    UK RMBS market update

    The first public European securitisation of the year, dubbed Hops Hill 1, is expected to price today. Sponsored by UK Mortgages, the UK buy-to-let RMBS has received strong demand across the capital stack.  

    The £332.6m deal is backed by 1,465 mortgage loans. Guidance for the senior notes was set at SONIA plus 100bp area, while guidance for .......

    News 15 January 2021

  • illimity inks NPL ABS duo

    Sector developments and company hires

    illimity inks NPL ABS duo
    illimity Bank has finalised two non-performing loan transactions, including the sale to Phinance Partners and SOREC involving a €129m GBV portfolio related to around 4,500 debtors. The portfolio consists of unsecured loans related to granular mainly retail exposures that were acquired by illimity during 2019 as part of an investment transaction in a large portfolio .......

    Market Moves 15 January 2021

  • Lloyd's ILS platform unveiled

    Sector developments and company hires

    Lloyd’s ILS platform unveiled
    Lloyd's has established London Bridge Risk PCC, the first UK ILS structure to be approved by the PRA for use for multiple, market-wide transactions for Lloyd's members. Clifford Chance worked with Lloyd's and the regulators to devise a structure and set of market standard template documentation with flexibility to accommodate a range of individual investment models and .......

    Market Moves 14 January 2021

  • Libor linkage

    UK RMBS transition risks highlighted

    A number of UK RMBS issuers are initiating consent solicitation processes to amend notes and swap contracts from Libor to SONIA ahead of the cessation of Libor. Legacy transactions without active sponsors or those comprising US dollar-denominated notes are at the highest risk of disorderly transition, according to Fitch.

    Fitch expects logistical challenges to arise this year in .......

    News 12 January 2021

  • Ocwen, CFPB mediation unresolved

    Sector developments and company hires

    Ocwen, CFPB mediation unresolved
    Ocwen Financial Corporation has issued a statement expressing its disappointment that settlement discussions with the CFPB have not been resolved (SCI 21 April 2017). The move is in response to the mediator’s notice that the company’s court-ordered mediation with the bureau has concluded, after the parties were unable to reach a settlement.

    The company .......

    Market Moves 12 January 2021

  • Landmark Pan-Asian ILS launched

    Sector developments and company hires

    Landmark Pan-Asian ILS launched
    MS Amlin Underwriting has launched Phoenix 1 Re, the first locally issued ILS to provide capacity to a local cedant, solely focused on the Pan-Asia region. The special purpose reinsurance vehicle (SPRV) is domiciled in Singapore and provides US$42m of collateralised capacity to support MS Amlin Syndicate 2001’s Asia reinsurance portfolio through its Singapore-based underwriting platform.
    Phoenix .......

    Market Moves 11 January 2021

  • Forbearance falters

    Decline in loan removal from forbearance suggests large unknowns ahead

    There has been a “troubling slowdown” in the rate of improvement of the number of mortgages in forbearance plans, says housing data provider Black Knight. This slowdown indicates the mortgage-backed sector enters a period of considerable uncertainty in less than three months, it adds.

    There was a 3% drop in the first week of January, or 92,000, and was underpinned by the .......

    News 8 January 2021

  • RFC issued on GSE living wills

    Sector developments and company hires

    RFC issued on GSE living wills
    The US FHFA is seeking comment on a notice of proposed rulemaking that would require Fannie Mae and Freddie Mac to develop resolution plans (or ‘living wills’) that would facilitate a rapid and orderly resolution, should the authority have to be appointed their receiver under the Housing and Economic Recovery Act of 2008. The .......

    Market Moves 24 December 2020

  • Fed frenzy

    Ongoing Fed bid for GSE paper stronger than faster prepayments in 2021

    Price action in GSE-issued MBS in 2021 will be dominated by the opposite pressures of faster prepayments on the one hand and continued Fed action on the other, but of these two the latter will be the stronger, says Brendan Doucette, portfolio manager with GW&K Investment Management.

    The Boston-based investment firm has $47bn under management, and of that 1.37bn is invested in .......

    News 23 December 2020

  • RBS settles RMBS claims

    Sector developments and company hires

    RBS settles RMBS claims
    The securities division of Maryland Attorney General Brian Frosh has entered into an US$18m settlement with RBS Financial Products, resolving claims that RBS misled investors in its issuance and underwriting of financial crisis-era RMBS. RBS offering documents for these transactions made representations that the underlying loans generally complied with the lender’s underwriting guidelines and applicable laws, .......

    Market Moves 23 December 2020

  • Romanian NPE deal sealed

    Sector developments and company hires

    Romanian NPE deal sealed
    National Bank of Greece (NBG) has entered into an agreement with Bain Capital Credit for the disposal of a Romanian-risk corporate non-performing loan portfolio. Dubbed Project Danube, the transaction has a total GBV of circa €174m (€102m of allocated collateral value).

    The deal is being implemented in the context of NBG’s NPE deleveraging strategy and .......

    Market Moves 22 December 2020

  • Divergent regimes?

    STS synthetics onshoring awaited

    Formal adoption by the EU of the STS synthetics regime will not realistically occur until 1Q21, after the text has been translated into the languages of the various member states - despite the recent trilogue agreement regarding targeted changes to the Securitisation Regulation and CRR (SCI 11 December). As such, the framework will not be onshored as part .......

    News Analysis 22 December 2020

  • Secondary supply

    Euro ABS trading set to dominate

    European ABS secondary spreads have completed a three-quarter circle from their coronavirus-related spike in March, relative to their tightest levels observed in February. The market saw a notable rise in trading volumes, following the coronavirus shock, with secondary activity expected to dominate in the early part of 2021.

    “There has been significant BWIC activity in the last few .......

    News 22 December 2020

  • Issuance forecasts lowered on TFSME extension

    Sector developments and company hires

    Issuance forecasts lowered on TFSME extension
    The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.

    JPMorgan international ABS analysts expect eligible banks and .......

    Market Moves 18 December 2020
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