Market Moves
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NPL prudential framework revised
Sector developments and company hires
NPL prudential framework revised
Market Moves 13 December 2021
The EBA has published its final report on the draft regulatory technical standards (RTS) amending its RTS on credit risk adjustments in the context of the calculation of the risk weight (RW) of defaulted exposures under the standardised approach (SA) of credit risk. The proposed amendments follow up on the European Commissions’ action plan to tackle .......
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Climate risk analytics firms acquired
Sector developments and company hires
Climate risk analytics firms acquired
Intercontinental Exchange has acquired risQ and Level 11 Analytics, which deploy data-driven technologies for managing climate change risk. RisQ and Level 11 Analytics leverage a variety of advanced geospatial mapping systems and provide extensive expertise in analysing and joining vast amounts of disparate public, corporate and third-party data sources.This data is integrated and .......
Market Moves 9 December 2021
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Extendable CRE loans scrutinised
Sector developments and company hires
Extendable CRE loans scrutinised
Market Moves 8 December 2021
Fitch has published an unsolicited comment on highly extendable commercial mortgage loans that offer borrowers up to 20 years of successive annual extension options, as featured in the recent Sage AR Funding 2021 and HAUS (ELOC 39) CMBS. The agency notes that it does not treat this loan feature as credit enhancing because interest rate risk .......
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ESG data coverage scrutinised
Sector developments and company hires
The European Leveraged Finance Association (ELFA) has analysed coverage by three ESG data vendors for three debt indices - the CS Western European Leveraged Loan Index, the ICE BofAML Developed Markets High Yield Constrained Index and the BBG Global Aggregate Corporate Index – and found what it describes as “major discrepancies” in data coverage across asset classes. The research shows .......
Market Moves 7 December 2021
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Bosphorus CLOs transferred
Sector developments and company hires
Bosphorus CLOs transferred
Cross Ocean Adviser, an affiliate of Cross Ocean Partners Management, has assumed collateral management of the Bosphorus CLO IV, Bosphorus CLO V and Bosphorus CLO VI transactions from Commerzbank. Moody's has confirmed that the move will not impact its current ratings assigned to the affected notes. Under the terms of the associated novation, termination and amendment and .......
Market Moves 2 December 2021
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RFC issued on ABS tax policies
Sector developments and company hires
RFC issued on ABS tax policies
Market Moves 1 December 2021
HMRC is seeking feedback on two draft statutory instruments: the Taxation of Securitisation Companies (Amendment) Regulations 2022 and the Securitisation Companies and Qualifying Transformer Vehicles (Exemption from Stamp Duties) Regulations 2022. The UK government consulted on making changes to clarify or reform certain aspects of the taxation of securitisation companies and the stamp duty .......
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BWIC workgroup formed
Sector developments and company hires
Mortgage Industry Standards Maintenance Organization (MISMO) has formed a BWIC data development workgroup, with the aim of standardising the BWIC format to facilitate accuracy, liquidity and rapid pricing for MBS transactions. The initiative focuses on creating a standard format for MBS sellers to present BWIC data to security dealer desks. The workgroup intends to address the growing number of MBS .......
Market Moves 30 November 2021
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Syon upgraded on stable performance
Sector developments and company hires
KBRA has completed a surveillance review of Lloyds’ synthetic RMBS Syon Securities 2020-2. The agency subsequently upgraded the class A and B notes by a notch to single-A minus and double-B plus respectively, in light of the fully ramped-up portfolio’s characteristics and the generally stable collateral performance. Syon 2020-2 is the third SRT transaction issued by Bank of Scotland referencing .......
Market Moves 25 November 2021
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Rare RMBS with a twist
Sector developments and company hires
A rarely seen public Swedish RMBS is in the market with an unusual structural twist – Hypoteket Mortgages 3 AB. "Credit enhancement is provided through overcollateralisation and can increase as the transaction captures all excess spread available," explains Rodrigo Conde Puentes, vp senior analyst, structured finance, at Moody’s. "A rare feature in European RMBS, but one we may start to .......
Market Moves 23 November 2021
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Upgrades anticipated after CMBS updates
Sector developments and company hires
Moody’s has updated three commercial real estate sector methodologies, following requests for comments on the proposals in July. The rating agency has placed a number of US CMBS tranches on review for upgrade as a result.
One of the updates is in connection with Moody's methodology for rating US and Canadian conduit/fusion CMBS, which replaces the version from September 2020. .......
Market Moves 22 November 2021
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GSE scorecard released
Sector developments and company hires
GSE scorecard released
The FHFA has released the 2022 Scorecard for Fannie Mae, Freddie Mac and Common Securitization Solutions (CSS). The purpose of the 2022 Scorecard is to hold the GSEs and CSS accountable for fulfilling their core mission requirements by promoting sustainable and equitable access to affordable housing and operating in a safe and sound manner.
The 2022 Scorecard focuses .......
Market Moves 18 November 2021
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Dutch mortgage alliance expanded
Sector developments and company hires
Dutch mortgage alliance expanded
Market Moves 16 November 2021
Achmea Bank is set to acquire a €500m mortgage portfolio from Dutch insurer a.s.r., which will continue to manage the mortgages for Achmea Bank. The two organisations have expressed the intention to conduct additional transactions of €500m in both 2022 and 2023. In addition, Achmea Bank will acquire roughly €190m of newly originated mortgages from a.s.r. .......
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ESG exclusion checklist unveiled
Sector developments and company hires
ESG exclusion checklist unveiled
Market Moves 15 November 2021
The European Leveraged Finance Association (ELFA) has launched an ESG exclusion checklist for business activities, which aims to streamline the negative screening and exclusion process for CLO managers. The checklist is designed for arranging banks to complete at the time of a new corporate loan or bond syndication to help investors quickly determine if a corporate .......
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Sri Lanka eyes remittance securitisation
Sector developments and company hires
Sri Lanka eyes remittance securitisation
The government of Sri Lanka (GOSL) is requesting competitive proposals from banks and investors for consideration to be appointed as counterparts or arrangers for its proposed securitised financing arrangement (SFA). The arrangement would be backed by foreign currency receipts of the Central Bank of Sri Lanka (CBSL) under the mandatory sale of 10% of workers' .......
Market Moves 12 November 2021
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First LBR PCC investor signed
Sector developments and company hires
First LBR PCC investor signed
Lloyds has announced that Ontario Teachers’ Pension Plan Board will be the first investor to support underwriting through its multi-insurance SPV, London Bridge Risk (LBR) PCC. LBR was established in January of this year with sponsorship from Lloyds, with ambitions to create a market that invites new forms of capital and allow for easier access .......
Market Moves 10 November 2021
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Multi-currency CLO closed
Sector developments and company hires
Multi-currency CLO closed
Barclays has closed a multi-currency managed cashflow balance sheet CLO. Dubbed Duke Global Funding, the £4bn-equivalent transaction is backed by 519 senior secured and senior unsecured loans extended predominantly to large corporate obligors in Western Europe and the US. The underlying loans are denominated in US dollars, sterling and euro.In terms of geographical diversification, the initial portfolio .......
Market Moves 9 November 2021
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US CLO equity outperforms
Sector developments and company hires
US CLO equity outperforms
US CLO Equity cashflows average 15.2% across 1,038 BSL transactions that have had four payment dates in 2021, according to a report from JPMorgan CLO research analysts. This is the highest since 2016, which averaged 19.6%.CLOs that were reset in 2021 fared best with a 22% average return driven in part by a small minority that .......
Market Moves 8 November 2021
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Fed set to reduce asset purchases
Sector developments and company hires
Fed set to reduce asset purchases
The New York Fed’s FOMC has increased the System Open Market Account (SOMA) holdings of Treasury securities by at least US$70bn per month and of agency MBS by at least US$35bn per month during the monthly purchase period beginning in mid-November. Additionally, SOMA holdings of Treasury securities will increase by at least US$60bn per .......
Market Moves 5 November 2021
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Servicers facing 'unprecedented' turnover
Sector developments and company hires
Servicers facing ‘unprecedented’ turnover
US commercial mortgage servicers are facing unprecedented turnover levels and filling open positions in the tight labour market may ultimately increase the cost of servicing loans, Fitch suggests. However, the agency notes that to date, there have not been any noted declines in servicing proficiency among Fitch-rated primary, master and special servicers.
Fitch reports lower-than-average employee .......
Market Moves 4 November 2021
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SLM EODs eyed
Sector developments and company hires
Fitch has downgraded from single-B to double-C the outstanding class A4 and B notes of SLM Student Loan Trust 2007-7, 2008-1 and 2008-4, due to the legal final maturity date of the class A4 notes being approximately three months away in January 2022 for SLM 2007-7 and 2008-1 and less than 10 months .......
Market Moves 2 November 2021
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Securitisation stamp duty eyed
Sector developments and company hires
Securitisation stamp duty eyed
Market Moves 29 October 2021
The UK government is introducing legislation within Finance Bill 2021-22 that provides a power to make stamp duty and stamp duty reserve tax (SDRT) changes relating to securitisations and ILS by secondary legislation. The power will be a freestanding provision and will allow HM Treasury to make regulations to provide that stamp duty or SDRT is .......