Market Moves
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SSRT trio revealed
Sector developments and company hires
SSRT trio revealed
Market Moves 19 August 2020
S&P has published its ratings and research on three previously privately-rated risk transfer RMBS issued by Freddie Mac, at the issuer's request. The trio of deals are STACR Single-Seller Risk Transfer (SSRT) Series 2019-CS02 (sized at US$245.2m and closed in March 2019), 2020-CS01 (US$578.36m; April) and 2020-CS02 (US$190.78m; July). The transactions transfer a portion of the risk .......
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Special servicing assets transferred
Sector developments and company hires
Special servicing assets transferred
Market Moves 18 August 2020
The assignment of substantially all of the assets of C-III Asset Management to Greystone Servicing Company, pursuant to the applicable PSA associated with each of the C-III specially-serviced CMBS, is complete. The assignment includes 64 transactions rated by Moody's and 28 Moody's-rated US conduit CMBS that hold C-III specially-serviced companion loans, but excludes the non-C-III specially-serviced .......
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Hotels dominate special servicing transfers
Sector developments and company hires
Hotels dominate special servicing transfers
Market Moves 17 August 2020
During 1H20, 1,065 US CMBS loans totalling US$40.1bn (representing approximately 7% of total outstanding CMBS) transferred to special servicing, as CMBS borrowers continued to grapple with the economic impact of the coronavirus pandemic, according to Fitch. The vast majority of these transfers, more than 900 loans totalling US$35.5bn, occurred during 2Q20. In comparison, special servicers .......
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'Flip clause' complaint dismissed
Sector developments and company hires
‘Flip clause’ complaint dismissed
Market Moves 14 August 2020
The US Court of Appeals for the Second Circuit has ruled that investors should keep roughly US$1bn received from various Lehman Brothers affiliates after the bank’s 2008 bankruptcy filing triggered the liquidation of dozens of CDOs. The case centres on the Bankruptcy Code’s treatment of ‘flip clauses’ in a securitisation waterfall, which reprioritise cashflow upon bankruptcy and .......
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LLPA increase 'misguided'
Sector developments and company hires
LLPA increase ‘misguided’
Market Moves 13 August 2020
Fannie Mae and Freddie Mac are increasing the loan-level price adjustment (LLPA) by 50bp as an adverse market delivery charge on effectively all mortgage refinances, except for construction loans, with settlement dates after 1 September. In response to the move, the Mortgage Bankers Association states that the announcement “flies in the face of the Administration's recent executive .......
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Hertz review reversed
Sector developments and company hires
Hertz review reversed
Market Moves 12 August 2020
Moody's has changed the direction of review for 11 tranches of rental car ABS issued by Hertz Vehicle Financing II (HVF II) to under review for upgrade from under review for downgrade. The action is prompted by: the recent court-approved order requiring Hertz to make lease payments and remit required vehicle sales proceeds (SCI 31 July), .......
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Piraeus taps HAPS
Sector developments and company hires
Piraeus taps HAPS
Market Moves 11 August 2020
Piraeus Bank has filed an application for inclusion of its Phoenix non-performing loan securitisation under the Hercules Asset Protection Scheme (HAPS). The total gross book value of the portfolio is €1.9bn, the majority of which relates to mortgage loans, and the application is in connection with a Greek state guarantee on senior notes with a total gross .......
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CMBS repeat loan volume declines
Sector developments and company hires
CMBS repeat loan volume declines
The percentage of US CMBS repeat loans dropped to 17.7% in 2019 and to 13.9% in 1H20, down by 21.4% year-over-year, according to DBRS Morningstar figures. Nevertheless, the volume of CMBS loans refinanced into CRE CLOs has remained strong, with over two billion loans exiting through such vehicles.Based on an analysis of CMBS .......
Market Moves 10 August 2020
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Alternative CLO ETF announced
Sector developments and company hires
Alternative CLO ETF announced
Market Moves 7 August 2020
Alternative Access Funds (AAF) has announced the registration of its new AAF First Priority CLO Bond ETF, which is scheduled to become effective on 14 August and - if all approvals and launch objectives are met - begin trading in early September under the ticker ‘AAA’. The new ETF will focus its investments in US dollar-denominated .......
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CMBS DQ rate declined
Sector developments and company hires
CMBS DQ rate declined
Market Moves 6 August 2020
The overall US CMBS delinquency rate dropped to 8.53% last month, while 25.78% of balances previously in grace became delinquent, according to S&P’s monthly tracker. All five sectors – industrial, office, multifamily, retail and lodging – saw declines month-on-month in their overall DQ rates. There were 290 newly delinquent loans (totaling US$6.4bn) in July, including 139 .......
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Middle market JV agreed
Sector developments and company hires
Middle market JV agreed
Market Moves 5 August 2020
PennantPark Investment Corporation (PNNT) has formed a joint venture with the private credit investment business of Pantheon to create PennantPark Senior Loan Fund I (PSLF). The strategic transaction seeks to enable PennantPark to leverage its middle-market lending capabilities and capitalise on compelling senior loan opportunities amid historic market volatility. Pantheon has invested US$35m in capital to .......
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MM CLO test failures rise
Sector developments and company hires
MM CLO test failures rise
Market Moves 4 August 2020
The continued deterioration in credit quality of issuers due to the coronavirus pandemic resulted in a large number of US middle market CLOs failing a variety of tests for the first time in 2Q20, according to Fitch’s latest report on the sector. Of the 58 MM CLOs covered in the report, 23 failed at least one .......
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Euro CLO equity edges ahead
Sector developments and company hires
Euro CLO equity edges ahead
Market Moves 3 August 2020
European CLO equity cashflow returns average 9.3% year-to-date and - as all CLOs in reinvestment are currently paying - the full-year 2020 cashflow return is likely to be low-teens, according to a new report from JPMorgan CLO research analysts. As such, European equity pieces have edged ahead of their US counterparts, currently returning 8% year-to-date .......
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GSE results improve
Sector developments and company hires
GSE results improve
Market Moves 31 July 2020
Both Fannie Mae and Freddie Mac have reported sharply improved Q2 results, despite the ongoing housing market dislocation as a result of Covid-19. Fannie Mae said net comprehensive income was US$2.53bn, compared to US$476m in Q1, while Freddie Mac had income of US$1.94bn compared to US$620m in Q1. Both GSEs had much lower than usual profits in .......
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AGs fight Madden rule
Sector developments and company hires
AGs fight Madden rule
Market Moves 30 July 2020
The attorneys general of California, Illinois and New York have filed a suit against the OCC’s ‘valid when made’ rule (SCI 1 June), which they claim would allow the federal government to pre-empt state usury laws and allow third-party entities “to prey on vulnerable” borrowers. The AGs note that the ability to pre-empt state usury .......
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CLO ETF prepped
Sector developments and company hires
CLO ETF prepped
Market Moves 29 July 2020
Janus Henderson Investors has filed a preliminary registration statement with the US SEC in connection with the Janus Henderson AAA CLO ETF (JAAA), which is expected to launch on 22 October and will be offered to US investors. The fund will be managed by portfolio managers John Kerschner and Nick Childs, while Jessica Shill will serve as .......
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ILS issuance remains resilient
Sector developments and company hires
ILS issuance remains resilient
Market Moves 28 July 2020
US$2.8bn of property catastrophe bond limit was placed in 2Q20, bringing the total issued year-to-date to US$6.5bn, according to Aon Securities’ latest ILS Update report. In comparison, 2019 saw a total of US$5.4bn in property cat bond limit placed for the entire year. The total amount of property cat bonds outstanding is marginally down on 2019 .......
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CLO equity defies predictions
Sector developments and company hires
CLO equity defies predictions
Market Moves 27 July 2020
US CLO equity cashflow performance is defying pessimistic predictions, according to a new report from JPMorgan CLO research analysts. As of 23 July reporting, US CLO equity on average paid 8% cashflow year to date (based on 842 tranches or circa 70% of the universe) and the report estimates 89% of equity is paying, compared to .......
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'Quick fix' for NPE, synthetic securitisation
Sector developments and company hires
‘Quick fix’ for NPE, synthetic securitisation
The European Commission has adopted a capital markets recovery package, as part of its overall coronavirus recovery strategy. The measures aim to make it easier for capital markets to support European businesses to recover from the crisis via targeted changes to capital market rules.Building on recent work by the EBA, the proposals .......
Market Moves 24 July 2020
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ReoCo restructuring in the works
Sector developments and company hires
ReoCo restructuring in the works
Market Moves 23 July 2020
The Leviticus SPV issuer is set to implement a ReoCo structure, having appointed Credito Fondiario as the servicer to carry out all core ReoCo activities. The main purpose of the ReoCo is to encourage third-party acquisitions at auctions above auction base prices or to repossess real estate assets at otherwise empty auctions and re-sell them .......
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Canadian CMBS forbearance highlighted
Sector developments and company hires
Canadian CMBS forbearance highlighted
As of the June 2020 remittance reports for the Canadian conduit CMBS sector, 48 loans totalling C$559.9m were on the servicer's watchlist for coronavirus-related relief, according to DBRS Morningstar. In most of these instances, the servicer’s commentary confirmed that borrowers were granted loan modifications and/or forbearances.The majority of these loans are secured by retail .......
Market Moves 22 July 2020