RMBS
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Credit clutch
European ABS market update
The European ABS slow-down continues, with prices drifting wider and subdued credit growth across the board. In particular, an aversion to duration risk has emerged this week.
“Credit is headed for the worst year since 2008,” one trader explains. “ABS traders are not used to showing negative figures to their clients. People are reassessing the market.”
In .......
Market Reports 20 November 2018
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Double Dutch
Dutch RMBS market sees surge of activity
The Dutch RMBS market has seen a surge of activity with two new Dutch RMBS transactions marketing, both of which are backed by prime Dutch residential mortgages and touted as STS compliant. NIBC is back on the scene after a five-year hiatus with the €476.2m Dutch MBS 19 deal, while also marketing is the Goldman Sachs-mandated €337m EDML 2018-2 transaction from .......
News 16 November 2018
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Selling stagnation
European ABS market update
Activity in the European ABS primary and secondary markets has slowed this week, with volumes generally stabilising across both segments.
“It feels a little softer on the secondary market,” says one trader. “There has been between a 5bp to 10bp drop in spreads across the board, although a decent bid remains for 2.0 paper. There are fewer sellers .......
Market Reports 16 November 2018
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Dry powder
International ABS market update
Pepper Group is prepping an Australian RMBS that is expected to be sized at A$500m-equivalent and include a short US dollar tranche and a Euro-denominated pass-through tranche. Elsewhere in the European primary securitisation market, Tesco’s Delamare Cards MTN Issuer Series 2018-1 deal – the senior tranche of which is being talked at one-month Libor plus 70bp – is expected .......
Market Reports 15 November 2018
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Diverging dynamics
Aussie non-banks driving change
Around A$30bn of Australian RMBS issuance is expected for full-year 2018, over 50% of which will be originated by non-bank lenders. A confluence of demand and regulatory factors is driving growth in non-bank issuance and changing the shape of the market.
Jordan Batchelor, director, structured capital markets at ANZ, says that a divergence is emerging between RMBS originated .......
News Analysis 15 November 2018
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Tranche tinkering
US RMBS market update
Freddie Mac has restructured some of the mezzanine tranches in its most recent credit risk transfer RMBS, STACR 2018-HRP2, which references high LTV re-performing mortgage loans. IPTs for the transaction are similar to those of previous STACR deals, with the third mezzanine tranche split into two classes of notes.
“Credit has been good and has been performing fundamentally .......
Market Reports 14 November 2018
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NPL transaction markets
Sector developments and company hires in structured finance
NPL deal markets
Banco Santander Totta is in the market with Hefesto STC (Guincho), a €98m securitisation backed by a €481m portfolio, by gross book value (GBV), of Portuguese non-performing residential, commercial and unsecured loans originated by Banco Santander Totta. DBRS and Scope have assigned provisional ratings, respectively, of triple-B (low)/triple-B minus to the €84m class A notes and triple-C/single-B minus to the €14m ......
Market Moves 13 November 2018Premium Content
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Paper prioritised
European RMBS market update
Spreads have widened in the European RMBS sector, with secondary market activity remaining slow amid ever-increasing primary issuance. A BWIC with a concentration in peripheral names - including Spanish auto loan and RMBS bonds – is out for the bid today and predicted to perform poorly in current market conditions.
One trader says that ECB-eligible paper is being .......
Market Reports 13 November 2018
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Unpredictable factors
Macro and micro challenges highlighted
European market participants are facing three unpredictable factors in 2019, all of which will drive ABS activity and supply in the new year. ECB monetary policy evolution, Brexit execution and securitisation legislation implementation represent challenges from both macro and micro perspectives.
Among these challenges is the Basel 4 output floor. Alexander Batchvarov, md at BofA Merrill Lynch Global .......
News Analysis 9 November 2018
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CLO investor poached
Company hires and sector developments in structured finance
Acquisitions
LibreMax Capital has entered into an agreement to acquire Trimaran Advisors and certain affiliated companies (Trimaran) from KCAP Financial. Following the close of the transaction, Trimaran’s cio and head of its CLO platform, Dominick Mazzitelli, will continue to lead the business, supported by the existing management team. Trimaran currently manages six CLOs with approximately US$3bn AUM and .......
Market Moves 9 November 2018
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CRE platform acquired
Sector developments and company hires in structured finance
Acquisitions
AXA Investment Managers has expanded its global debt platform through the acquisition of Quadrant Real Estate Advisors. This includes an acquisition of Quadrant’s investment team and management of US$9.4bn of US commercial real estate loan mandates. As part of the transaction, 24 members of Quadrant, including five of the founding members, will join AXA IM - Real Assets. .......
Market Moves 8 November 2018
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Broad attention
European RMBS primary market update
A new UK non-conforming RMBS is expected to enter the pipeline within the next two weeks. The originator of the deal is, as yet, unknown.
“The issuer does not want the deal going into December,” says a trader. “Hence, that gives it roughly a two-week window to get it printed.”
Meanwhile, the Dilosk 2 Irish legacy RMBS .......
Market Reports 6 November 2018
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Global head hired
Company hires and sector developments in structured finance
Dechert has hired Cameron Mitcham as a partner in London at the firm’s global finance practice, joining from Allen & Overy. Mitcham will work with the CLO team and securitisation practice, acting for managers, arrangers, originators, investors and other deal parties in CLO transactions.
ING has hired Stefan Rolf as global head of securitisation for wholesale bank lending. Based in .......
Market Moves 6 November 2018
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Housing practice pinched
Company hires and sector developments in structured finance
Fund launch
Trium Capital is partnering with Ellington Global Asset Management to launch the Ellington Trium Alternative Credit UCITS, a long/short credit UCITS fund. The fund is set to be launched 4Q18 and will leverage Ellington’s expertise in RMBS, CMBS, CLOs and corporate credit relative value strategies.
ILS
Nephila Climate has hired Ariane West as director .......
Market Moves 5 November 2018
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Strong technicals
European RMBS and CMBS primary market update
Technicals remain strong in the European CMBS and RMBS primary markets.
The Dilosk No. 2 deal is in focus in the primary RMBS market. Initial price thoughts of 90-95 have been released for the transaction’s senior notes – which are expected to pay a coupon of three-month Euribor plus 75bp – and it is likely to price on Wednesday (7 .......
Market Reports 5 November 2018
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Reverse mortgage deal prepped
First reverse mortgage RMBS since 2007 markets
Waterfall Asset Management is marketing the first publically-rated RMBS backed by reverse mortgages since 2007. Dubbed CFMT 2018-RM2, the US$571.8m transaction is backed by 915 active, proprietary reverse mortgage loans originated between 2002 and 2008.
The underlying loans were originated by eight legacy reverse mortgage lenders and subsequently aggregated by Cascade and Waterfall controlled entities. This was over .......
News 2 November 2018
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Market moves update
Company hires and sector developments in structured finance
Acquisitions
Lennar Corporation has agreed to sell its Rialto Investment and Asset Management business to investment funds managed by Stone Point Capital for US$340m. The transaction is scheduled to close on 30 November, subject to consent by the funds managed by Rialto and customary closing conditions. Lennar will retain its Rialto Mortgage Finance business, which it expects to move into .......
Market Moves 31 October 2018
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Mixed outlook
Risk transfer diversity set to increase
The outlook for risk transfer issuance volumes is mixed, according to panellists at SCI’s Capital Relief Trades Seminar last week. However, they agreed that the market will continue to increase in diversity, in line with bank origination channels and balance sheet needs.
The traditional Northern European CRT jurisdictions have seen a lot of activity over the last couple .......
Talking Point 26 October 2018
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Heightened holding
European ABS market update
Invesco is preparing a new €410m European CLO deal, along with GSO Capital Partners, which is planning a CLO reset. Elsewhere, Och-Ziff’s latest OZLME deal is reported to be sized at €412m (see SCI’s deal pipeline).
Overall European CLO spreads remain unchanged to slightly wider, as only a handful of bonds are out for the bid today. .......
Market Reports 26 October 2018
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Market moves update
Sector developments and company hires in structured finance
China
Fitch Ratings has launched Fitch Bohua Credit Ratings to serve China's onshore bond market and has appointed Danny Chen as Fitch Bohua's ceo. Initially, the company will cover banks, non-bank financial institutions and insurers, as well as the structured finance sector. Chen was previously ceo of Qingdao Conson Financial Holdings. A team of analysts, business development and support staff .......
Market Moves 25 October 2018
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CLOs in demand
Quarterly SCI data update
Analysis of SCI's databases underlines the significant demand for CLO paper seen in 3Q18, in both primary and secondary markets. Meanwhile, a bias towards Northern European jurisdictions is evident in capital relief trade volumes.
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News Analysis 23 October 2018