RMBS

  • Plunging forbearance

    Mortgage forbearances enjoy biggest single Covid era weekly tumble

    The number of US home loans in active forbearance schemes has nosedived by 649,000 over the last seven days, according to data released today by mortgage data and analysis firm Black Knight.

    This represents an 18% reduction in the number of forbearances, which is the largest single week decline since the beginning of the Covid 19 lockdown.

    The first forbearances initiated last April .......

    News 9 October 2020

  • US CLO recovery continues

    Sector developments and company hires

    US CLO recovery continues
    US CLO OC cushions are continuing to recover, according to the latest quarterly US manager report from JPMorgan CLO research.

    It says: “In the upcoming final quarterly October payment (majority of CLOs), we estimate as much as circa 92% equity will pay a cashflow compared to circa 89% in July and circa 40% during the GFC. .......

    Market Moves 9 October 2020

  • Litigation finance fund formed

    Sector developments and company hires

    Litigation finance fund formed
    Tetragon and its diversified alternative asset management business TFG Asset Management have entered into an agreement with Brandon Baer to invest in his newly-created company, Contingency Capital. The company – which is expected to formally launch on 1 November - is a multi-product global asset management business that will sponsor and manage litigation finance-related investment funds.

    Baer .......

    Market Moves 8 October 2020

  • IP transaction debuts

    Sector developments and company hires

    IP transaction debuts
    Aon has launched an intellectual property (IP) capital market solution with the close of an IP-backed ILS transaction, believed to be the largest such deal ever consummated. The deal involves agriculture technology company Indigo, which is borrowing over US$100m utilising its IP as collateral, with the value of that collateral insured by a group of insurance markets led .......

    Market Moves 7 October 2020

  • Fix-and-flip profits

    Low interest rates, inventory levels driving demand

    The US fix-and-flip sector has experienced an increase in demand, fuelled by securitisation. Historic low interest rates and inventory levels are further boosting the market.

    William Tessar, president of CIVIC Financial Services, says: “These are non-owner occupied investor property loans, not subject to regulations that owner occupied properties are subject to. Overall, interest rates are at historic lows. .......

    News 7 October 2020

  • 'Quick fix' draft legislation published

    Sector developments and company hires

    ‘Quick fix’ draft legislation published
    The European Parliament has published draft legislative resolutions on amendments to the Securitisation Regulation and CRR in connection with STS synthetics and non-performing exposures.

    Among the proposals is a tightening of the definition of an NPE securitisation and the introduction of stricter language on risk retention, according to Rabobank credit analysts. The regulatory treatment .......

    Market Moves 6 October 2020

  • Range of moratoria take-up 'stark'

    Sector developments and company hires

    Range of moratoria take-up ‘stark’
    With payment holiday concentrations having fallen over the past few remittance periods, the range of payment holiday take-up across UK RMBS is stark, according to JPMorgan’s latest Covid-19 Payment Holiday Tracker. Reflecting data reported primarily through September and August, the report identifies zero percent (in the case of the MORTI 2020-1 deal) and 0.6% (TWIN .......

    Market Moves 5 October 2020

  • Risk transfer round-up - 5 October

    CRT sector developments and deal news

    Lloyds is rumoured to be readying its third mortgage significant risk transfer trade from the Syon programme for 4Q20. The last Syon transaction closed in February (see SCI’s capital relief trades database). Fitch placed Syon Securities 2019 and 2020 under rating watch negative (RWN) in April, but removed them from RWN last month (SCI 25 September).

    .......

    News 5 October 2020

  • Mezz CLO fund closed

    Sector developments and company hires

    Mezz CLO fund closed
    Pearl Diver Capital has completed the final closing of its eighth closed-end CLO investment fund, PDC Opportunities VIII, at US$400m. Launched with a target raise of US$300m, the fund hit its hard cap, with LPs represented by public pension systems, corporate pension plans, high net-worth family offices and endowments. The fund is designed to invest opportunistically .......

    Market Moves 29 September 2020

  • Revolver exposures on offer

    Sector developments and company hires

    Revolver exposures on offer
    Goldman Sachs is in the market with a balance sheet synthetic securitisation referencing a portfolio of predominantly investment-grade senior unsecured revolving loan facilities. Dubbed Goldman Sachs Bank USA credit-linked notes due 2025, the transaction comprises two classes of S&P-rated CLNs for a total of US$184.8m.

    The transaction documentation links the ability of Goldman Sachs to .......

    Market Moves 25 September 2020

  • Syon safe

    Fitch affirms ratings for Lloyds SRTs

    Fitch has removed the Syon Securities 2019 and 2020 transactions from rating watch negative (RWN), after having placed them there in April following the coronavirus outbreak. The class C and D notes of Syon 2019 and class C notes of Syon 2020 were placed on RWN due to an expectation of weakening asset performance.

    Syon Securities 2019 and .......

    News 25 September 2020

  • Spread compression

    European securitisation market update

    European auto and consumer ABS have seen a strong reception this week, despite renewed virus-related concerns. The first German auto ABS since May printed at tight levels, for example, while a rare UK consumer ABS from Premium Credit has entered the pipeline.

    One trader notes: “Over the last session, we had seen a slight pause in the market .......

    News 23 September 2020

  • Private credit fund formed

    Sector developments and company hires

    Private credit fund formed
    FrontWell Capital Partners has launched with committed seed capital of more than US$350m from a group of international investors. Headquartered in Toronto, the firm aims to provide transitionary senior debt financing - including asset-based and cashflow loans - to middle-market companies in the US and Canada.

    FrontWell is led by founder and ceo Patrick Dalton, who previously .......

    Market Moves 23 September 2020

  • Forbearance crossroads

    Mortgages in forbearance well off the peaks but uncertainty beckons

    The number of US home loans in forbearance plans declined for the fourth week in succession and is now more than 22% lower than the peak seen in late May, according to data released by Black Knight today (18 September).

    As of September 15, 3.7m loans, representing $7.81bn in unpaid principal, are in Covid 19 forbearances plans compared to 4.7m by May .......

    News 18 September 2020

  • Aussie opportunities

    Increasing issuance in Australian primary market

    The recent announcement that the Royal Bank of Australia’s (RBA) Term Funding Facility (TFF) will be increased and extended into 2021 suggests that while ongoing issuance from the non-bank sector is expected, it is highly unlikely that significant levels of ADI issuance will be seen while lenders have access to the TFF, say well-placed market participants.

    “Over the last month, the primary .......

    News 15 September 2020

  • LLPA exceptions

    Record origination in Q2 as rates scrape the lows

    The controversial adverse market fee announced by the GSEs in August initiated an immediate 12.5bp increase in 30-year mortgage rates and a drop in rate-lock activity, according to Black Knight, the mortgage data and research firm.

    “When the 50bp fee was made public, 30-year rates increased by an eighth of a point, and rate lock activity pulled back by 20%. The fee .......

    News Analysis 11 September 2020

  • Pent-up demand

    European RMBS market update

    The European securitisation market reopened post-summer with a blow-out print for ARA Venn’s latest STS Dutch prime RMBS, the €300m Cartesian 5. The books for the class A notes were 5.5x covered, with orders reaching €1.5bn, indicating pent-up demand for paper.

    “I was quite surprised by the level of demand,” says one ABS trader. “The main driver is .......

    News 10 September 2020

  • Multi-level Libor exposure eyed

    Sector developments and company hires

    Multi-level Libor exposure eyed
    Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of Japanese structured finance transactions the agency rates have Libor exposure and, in some cases, there is Libor exposure through notes, as well .......

    Market Moves 9 September 2020

  • Euro CLO payment mismatch grows

    Sector developments and company hires

    Euro CLO payment mismatch grows
    The payment frequency mismatch between underlying loans and European CLOs is growing as loan issuers switch to semi-annual payments to manage risks in the Covid crisis, according to Fitch. The agency reports an increase in the share of semi-annual obligations among quarterly-paying Fitch-rated CLOs to around 50% of the portfolio balance in July 2020, from .......

    Market Moves 8 September 2020

  • Dispersion emerging

    Mortgage payment holidays rolling off

    A significant number of borrowers across Europe have resumed their mortgage payments, after exiting payment holiday schemes. However, dispersion across RMBS pools is emerging, due to the different lending practices of each lender.

    Julian Craughan, partner at Hogan Lovells, notes the commonality in responses as regulators and central banks took a pragmatic approach to addressing coronavirus-induced stress. “Different .......

    News Analysis 7 September 2020

  • Reporting template RTS published

    Sector developments and company hires

    Reporting template RTS published
    Seven Commission Delegated and Implementing Regulations comprising the technical standards in connection with the details to be made available by the originator, sponsor and SSPE in a securitisation transaction subject to the Securitisation Regulation have been published in the EU Official Journal. Publication means that the reporting templates RTS will be effective on 23 September, after .......

    Market Moves 4 September 2020
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