RMBS
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Risk mitigation
Southern European RMBS 'insulated'
An increase in European RMBS delinquency rates is expected in the coming months, reflecting coronavirus-induced stress on borrowers. However, Southern European RMBS transactions have structural features and portfolio characteristics that are expected to mitigate the negative impact of the crisis.
Andrea Corda, avp at Moody’s, says: “Italian, Spanish and Portuguese RMBS we rate would largely weather a short, .......
News 1 June 2020
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Equity opportunities?
Sector developments and company hires
Equity opportunities?
Despite a lack of visibility and liquidity and with cashflows likely to deteriorate further into upcoming July payment dates, there may be some opportunities in the CLO equity space, according to a new research report from JPMorgan.It finds that while NAVs remain negative, there has been some improvement between March lows and late 2019. Equally, cashflow .......
Market Moves 1 June 2020
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Renewables JV inked
Sector developments and company hires
Renewables JV inked
Market Moves 29 May 2020
By way of a joint venture, illimity Bank and VEI Green II have set up a securitisation vehicle for distressed loans with underlying assets that produce electricity from renewable sources. This vehicle will invest up to €100m and operate in both the Italian primary and secondary energy markets. The partnership has commenced activities by carrying out its .......
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Forbearances falter
Forbearance volumes slow, but the next stage is daunting
The rate of increase of US home loans in forbearance plans has slowed significantly lately, according to data compiled by Black Knight, the mortgage technology and data provider, but the overall picture remains sobering.
Only 7,000 new mortgages were added to the overall total of 4.76m homeowners in forbearance plans in the week-ending May 26. This compares to a 325,000 net increase .......
News 29 May 2020
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Pan-European guarantee fund launched
Sector developments and company hires
Pan-European guarantee fund launched
Market Moves 27 May 2020
The EIB board has approved a €25bn Pan-European Guarantee Fund (EGF) - which will be funded by EU member states pro rata to their shareholding in the bank – as part of its overall response to the Covid-19 crisis. By guaranteeing parts of portfolios, operations under the guarantee fund will free up capital for financial intermediaries .......
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CLO manager performance assessed
Sector developments and company hires
CLO manager performance assessed
JPMorgan has issued its latest CLO manager quarterly reports for both the US and Europe.72% of US CLOs are now failing their S&P triple-C test and 38% are failing their Moody’s Caa1 test, but there are still three managers passing both tests in all of their transactions: Blackrock, DFG/Vibrant, and Silvermine. Meanwhile, JPMorgan CLO .......
Market Moves 21 May 2020
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Moratoria mulled
Payment holidays set to test CRT provisions
Portfolios referencing loans subject to payment holidays may create a new sub-asset class within the capital relief trades market. Nevertheless, it remains to be seen whether provisions in outstanding synthetic securitisations will prevent lenders from being paid due to the implementation of moratoria.
Roberto Savina, head of structured risk solutions at AmTrust International, confirms that he has been .......
News Analysis 21 May 2020
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TALF subscription date announced
Sector developments and company hires
TALF subscription date announced
Market Moves 20 May 2020
The New York Fed has scheduled the first TALF ABS loan subscription date for 17 June, with the first loan closing date to be 25 June. On fixed days each month, borrowers will be able to request one or more three-year TALF loans. The Fed has published a Master Loan and Security Agreement, which provides further details on the terms .......
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Covid-19 relief initiative launched
Sector developments and company hires
Covid-19 relief initiative launched
Market Moves 19 May 2020
Community Capital Management has launched an initiative to invest US$100m of assets in Covid-19 relief efforts. The aim is to offer organisations that wish to contribute to the long-term US recovery post-pandemic an opportunity to complement their philanthropic and volunteer resources through a seasoned fixed income strategy designed to provide high current income consistent with the .......
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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
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Corporate actions slow down
Sector developments and company hires
Corporate actions slow down
Market Moves 14 May 2020
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 .......
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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
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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
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TALF CLO rules clarified
Sector developments and company hires
TALF CLO rules clarified
Market Moves 13 May 2020
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 .......
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SFSF investments disclosed
Sector developments and company hires
SFSF investments disclosed
Market Moves 12 May 2020
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 .......
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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
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STS synthetics proposals published
Sector developments and company hires
STS synthetics proposals published
Market Moves 6 May 2020
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 .......
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Ladder locks in financing
Sector developments and company hires
Ladder locks in financing
Market Moves 5 May 2020
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 .......
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WAM guidelines finalised
Sector developments and company hires
WAM guidelines finalised
Market Moves 4 May 2020
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 .......
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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
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MBS overvaluation case settled
Sector developments and company hires
Overvaluation case settled
Market Moves 1 May 2020
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 .......