RMBS

  • Euro CLO par burn rises

    Sector developments and company hires

    Euro CLO par burn rises
    After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built par in 2020 YTD by an average +19bp, while the remaining 30 managers burnt par by an average -41bp. .......

    Market Moves 16 July 2020

  • Seeking clarity

    Call to reassess repo language

    The AG MIT CMO versus Royal Bank of Canada case, which recently settled (SCI 3 June), highlights how Covid-19 disruption has caused confusion over what constitutes a ‘recognised market’ for the purpose of selling securities. Indeed, the lawsuit underscores the need for greater clarity in securitisation repurchase agreements.

    In the case, AG Mortgage Investment Trust argued that RBC .......

    News 16 July 2020

  • Conflict-free trading

    Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions

    Q: How and when did Meraki Global Advisors become involved in the securitisation market?
    A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outsourced trading and operations firm that was launched in April 2019.

    We identified a need among the more sophisticated multi-asset hedge fund community .......

    The Structured Credit Interview 16 July 2020

  • October cliff edge looms

    The apparent recovery of many parts of the MBS market may be a false dawn

    Mortgage-backed securities have in general rebounded with confidence in recent weeks, but there is an undercurrent of alarm in the market that the resurgence might have over-reached itself. Despite the last non-farm payroll report, much economic data is still extremely sobering and a shock in Q4 could be on the cards, say analysts.

    For example, seven credits of the 100 constituent credits .......

    News Analysis 15 July 2020

  • Dual-speed transition?

    Libor replacement risks highlighted

    The Alternative Reference Rates Committee's timelines for transitioning from Libor to SOFR is behind those of the sterling market’s for transitioning to SONIA, implying that the adoption of many risk-free rate best practices will take place in late 2021. At the same time, legacy securitisation documentation might not have embedded strong transition language, which could lead to counterparty litigation.

    News Analysis 14 July 2020

  • Fannie takes a step back

    As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules

    Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Federal Finance Housing Authority (FHFA) on May 20 is causing Fannie Mae to hold back from CRT issuance, confirm market sources close to the agency.

    “They’re trying to evaluate what the new capital rules might mean before they take the next step,” says one consultant.

    At the beginning .......

    News Analysis 14 July 2020

  • LCX platform expanded

    Sector developments and company hires

    LCX platform expanded
    LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled the company to sell previously originated loans at, above or below par, from its balance sheet. For the first time, LendingClub .......

    Market Moves 13 July 2020

  • Forbearance plans plummet

    Forbearances fall to April levels, but rollercoaster ride isn't over

    Forbearances fell by 435,000 last week - the biggest single week drop yet - taking the overall number of home owners in forbearance plans to 4.14m, according to data released this morning by Black Knight. This is the lowest number of forbearances since April 28.

    Some 7.8% of all US mortgages are now in forbearance, a 0.8% decline from the .......

    News 10 July 2020

  • OC ratios examined

    Sector developments and company hires

    OC ratios examined
    Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P. It finds that average senior and junior OC cushions declined between February and May by 1% to remain healthy at over 8% and 3% respectively.

    However, S&P says: “We are seeing a wider dispersion of OC cushions across .......

    Market Moves 10 July 2020

  • Spanish CP vehicle formed

    Sector developments and company hires

    Spanish CP vehicle formed
    ODF Energía has registered on MARF the first issuance of commercial paper, sized at €30m, from its innovative new Spanish securitisation fund. Dubbed HT Suministros, the fund is a multi-compartment vehicle with a maximum issuance amount of €200m, secured by the successive purchase of credit rights belonging to different companies or private businesses groups.

    The .......

    Market Moves 9 July 2020

  • CPR for CRT from Freddie

    Freddie Mac's new upsized STACR shows market is healthy

    Freddie Mac has demonstrated that reports of the death of the CRT bond market are greatly exaggerated with its upsized $1.1bn STACR 2020-DNA3 deal priced at the end of last week and announced on Monday, July 6. This was the first single family GSE CRT offering since March.

    The deal was worth $500m at launch but was more than doubled to $1.1bn due .......

    News Analysis 9 July 2020

  • CQS portfolio refinanced

    Sector developments and company hires

    CQS portfolio refinanced
    AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m. Originated by a large Italian bank, these loans were initially securitised in 2016. In July 2019, AnaCap acquired the equity in the securitisation and in June 2020 it exercised its right to acquire the .......

    Market Moves 8 July 2020

  • Positive signs for CLOs

    Sector developments and company hires

    Positive signs for CLOs
    US CLO manager metrics have begun to improve or stabilise, according to JPMorgan’s Q2 report on the sector, published today. “In the very latest reported data, the percent of US CLOs failing the junior-most OC test (double- or single-B) dropped from 20% a few weeks ago to 16% - likely due to higher triple-C loan market values, .......

    Market Moves 7 July 2020

  • Volcker revision impact modest

    Sector developments and company hires

    Volcker revision impact modest
    The impact of the changes made to the Volcker Rule (SCI 26 June) will be relatively modest for the CLO market, according to S&P. The agency notes that nearly all current CLO documents prohibit investing in bonds, so will not see any changes unless they’re amended, which would require investor consent. However, a small number .......

    Market Moves 6 July 2020

  • Consumer considerations

    Borrower relief aids performance

    The downward trend of 30-plus delinquency rates for US marketplace lending, auto and credit cards continued into May. Higher delinquent levels were mitigated by borrower relief programmes.

    Melvin Zhou, senior director, consumer ABS at KBRA, says: “30-plus delinquency rates for MPL, auto and credit cards were either stable or turning down in March and April, regardless of credit .......

    News 1 July 2020

  • Forbearances forge ahead again

    Mortgage servicers under pressure as forbearances climb once more

     

    Forbearances increased in the week-ending June 23 after three consecutive weeks of declines, according to data released this morning by Black Knight.

    The number of US home loans ticked up by 79,000 in the week-ending June 19, reducing the improvement seen since May 22 by about 50%.

    All categories of home loans showed an increase in forbearances. The GSE-backed mortgages in forbearance grew .......

    News 26 June 2020

  • Volcker changes finalised

    Sector developments and company hires

    Volcker changes finalised
    The CFTC, FDIC, OCC, SEC and US Fed have finalised a rule modifying the Volcker Rule's prohibition on banking entities investing in or sponsoring hedge funds or private equity funds – known as covered funds. The final rule is broadly similar to the proposed rule from January (SCI 31 January).

    Like the proposal, the final .......

    Market Moves 26 June 2020

  • Subprime auto performance eyed

    Sector developments and company hires

    Subprime auto performance eyed
    Davis & Gilbert’s latest Credit Chronometer subprime auto study indicates that Covid-era market participants generally believe that the most reliable indicator of a subprime auto securitisation’s success is its projected performance - and they hold this belief even more strongly than in the past. The survey suggests that since 2019, the importance of credit ratings as a .......

    Market Moves 25 June 2020

  • QM price-based approach mooted

    Sector developments and company hires

    QM price-based approach mooted
    The CFPB has issued two notices of proposed rulemaking (NPRMs) to address the impending expiration of the GSE patch, which is scheduled to expire in January 2021 (or when the GSEs exit conservatorship, if that happens first). The bureau estimates that, absent regulatory action, approximately 957,000 mortgage loans would be affected by the expiration of the .......

    Market Moves 23 June 2020

  • Impact SRTs eyed

    Newmarket launches asset management business

    Newmarket has launched its asset management business, which will focus on the nexus of structured solutions and impact investing. Newmarket has spun out of Mariner Investment Group and will build upon a history of risk transfer investing. Along with this launch, Newmarket has formally assumed the management of the IIFC strategy, launched seven years ago at Mariner.

    Molly .......

    News Analysis 23 June 2020

  • Champagne on hold

    Latest forbearance numbers encourage, but end of July cliff edge looms

    Despite the reported recent drop in the number of home loan borrowers in forbearance, Moody’s strikes a cautionary note in its latest report on the RMBS sector, released this week.

    “Yes, we’ve observed a flatlining in forbearance numbers lately, but we’re not say ready to say it’s all over and it’s business as usual just yet,” says Karandeep Bains, .......

    News 19 June 2020
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