RMBS

  • 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

  • CLO manager transfers accelerate overlap

    Sector developments and company hires

    CLO manager transfers accelerate overlap
    When managers acquire CLOs, the underlying portfolios become more like the existing portfolios of the acquiring manager, according to a new report from Fitch.

    During 2020, Fitch noted four CLO contract changes, two platform sales and two ownership changes. The contract sales this year were Crestline Denali’s sale of CLO management contracts to Ares .......

    Market Moves 16 December 2020

  • CLO liquidity complexity examined

    Sector developments and company hires

    CLO liquidity complexity examined
    CLO secondary market activity is booming across the board, but the underlying liquidity picture is a complex one, according to a new report by JPMorgan CLO research analysts.

    CLO BWIC trading volume has already reached an all-time annual high in 2020 at US$48.1bn for the US and €11.7bn for Europe, the JPMorgan report says. However, it adds .......

    Market Moves 11 December 2020

  • Disclosure charges settled

    Sector developments and company hires

    Disclosure charges settled
    BlueCrest Capital Management has agreed to pay US$170m to settle US SEC charges concerning inadequate disclosures, material misstatements and misleading omissions. These charges concern the firm’s transfer of top traders from its flagship client fund, BlueCrest Capital International (BCI), to BSMA Limited, a proprietary fund, and replacement of those traders with an underperforming algorithm. The SEC’s order .......

    Market Moves 9 December 2020

  • ESN debate

    Could structures cannibalise true sale ABS?

    The European Parliament recently called for legislation to establish European Secured Notes (ESNs) to facilitate SME funding. The EBA is also supportive of an ESN funding option, alongside traditional covered bonds, but there are concerns about the potential for the instrument to eclipse true sale securitisation issuance.

    “ESNs are touted as dual-recourse instruments and are expected to largely .......

    News Analysis 9 December 2020

  • ADI securitisation review underway

    Sector developments and company hires

    ADI securitisation review underway
    The Australian Prudential Regulation Authority is undertaking a review of securitisation practices, having recently identified repurchased residential mortgage loans at some authorised deposit-taking institutions that were subject to repayment deferral from their securitisations. In APRA’s view, this represents implicit support, which is inconsistent with Prudential Standard APS 120 Securitisation. APS 120 requires ADIs to be clearly .......

    Market Moves 8 December 2020

  • CMBS value deficiencies compared

    Sector developments and company hires

    CMBS value deficiencies compared
    DBRS Morningstar has identified US$9.79bn in US CMBS loans transferred to special servicing since March, whose collateral was subsequently reappraised. Although updated appraisals on properties backing these loans suggest an average value decline of 24% since origination, only about 17% have a loan-to-value ratio of 100% or higher, resulting in a value deficiency. The analysis also .......

    Market Moves 7 December 2020

  • Next step

    Call for greater EPC data disclosure

    The European Commission last month launched a consultation on the first two sets of criteria for economic activities to qualify as economically sustainable under the EU's Taxonomy classification system, including for the first time a formal definition of what constitutes an energy efficient building. The move has been welcomed as part of industry efforts to progress green mortgage lending.

    News Analysis 7 December 2020

  • Synthetic RMBS debuts

    Raiffeisen completes capital relief trade

    News 7 December 2020

  • 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.

    To upgrade your subscription to access all CRT premium content for a year, .......

    News Analysis 4 December 2020

  • Pre-pandemic trends persist for US CLOs

    Sector developments and company hires

    Pre-pandemic trends persist for US CLOs
    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 .......

    Market Moves 2 December 2020

  • 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

  • Risk transfer round-up - 30 November

    CRT sector developments and deal news

    News 30 November 2020

  • 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

  • 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

  • Jumbo BDC merger agreed

    Sector developments and company hires

    Jumbo BDC merger agreed
    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 .......

    Market Moves 26 November 2020

  • 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

  • UK STS notification portal launched

    Sector developments and company hires

    UK STS notification portal launched
    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 .......

    Market Moves 24 November 2020

  • EBA SRT report released

    Sector developments and company hires

    EBA SRT report released
    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 .......

    Market Moves 23 November 2020

  • Risk transfer round-up - 23 November

    CRT sector developments and deal news

    News 23 November 2020

  • 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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