Market Moves

  • 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

  • Second CLN references WaMu loans

    Sector developments and company hires

    Second CLN references WaMu loans
    JPMorgan is in the market with its second public synthetic RMBS, Chase Mortgage Reference Notes 2020-CL1. Principal payments on the notes are based on the actual payments received and performance of a US$2bn reference pool consisting of 8,683 prime-quality residential mortgage loans. According to Fitch, the majority of the loans were originally negative amortisation loans originated .......

    Market Moves 21 July 2020

  • UK Mortgages offer disclosed

    Sector developments and company hires

    UK Mortgages offer disclosed
    M&G Investment Management (MAGIM), on behalf of one of its managed funds - M&G Specialty Finance Fund (£) SCSp – has disclosed that it has made several approaches to the board of UK Mortgages Limited (UKML) with a view to making a recommended cash offer for UKML, all of which have been rejected. The most recent approach .......

    Market Moves 20 July 2020

  • 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

  • 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

  • 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

  • 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

  • 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

  • RFC issued on NPL ABS treatment

    Sector developments and company hires

    RFC on NPL ABS treatment
    The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. This proposal, which the Committee started developing before the onset of the Covid-19 pandemic, addresses a gap in the regulatory framework and sets out a prudent treatment for NPL ABS. The technical amendment establishes a 100% risk weight .......

    Market Moves 24 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

  • MILN market set to reopen

    Sector developments and company hires

    MILN market set to reopen
    Arch has returned to the market with Bellemeade Re 2020-1, after it was pulled in March amid the Covid-19 fallout (SCI 29 May). Moody's has upgraded from A3 to A1 and from Baa3 to Baa1 the provisional ratings of the mortgage insurance credit risk transfer deal’s respective class M1A and M1B notes and assigned provisional .......

    Market Moves 22 June 2020

  • CMBS scores in first TALF window

    Sector developments and company hires

    CMBS scores in first TALF subscription
    Investors requested US$252m in loans under the first TALF 2.0 subscription window. Of this total, US$145m was for CMBS purchases, with the remainder almost evenly split between premium finance and small business deals. Wells Fargo CMBS analysts note that although wider spreads in the CMBS sector relative to the ABS sector may continue to .......

    Market Moves 18 June 2020

  • Bridging gaps

    Linking SRT originating banks with insurance partners

    Texel is aiming to help insurers and banks bridge gaps in their understanding of how each sector approaches significant risk transfer transactions. With insurers expected to become more active in the capital relief trades market, the firm’s structured and bespoke solutions group last month recruited former Qbera Capital securitisation advisory head Paul Petkov (SCI 15 May), who .......

    Market Moves 17 June 2020

  • Older CLOs underperforming

    Sector developments and company hires

    Older CLOs underperforming
    A significant proportion of all the US BSL CLOs S&P has on negative watch closed in 2015 or before. The rating agency reports that such deals also experienced a steeper average decline in OC cushion, falling by 3.23%, and their average junior OC cushion is now approaching 0%.

    Of the 410 currently reinvesting deals within the .......

    Market Moves 16 June 2020

  • Californian auto loans eyed

    Sector developments and company hires

    Californian auto loans eyed
    The Westlake Automobile Receivables Trust 2020-2 issuer has disclosed that the state of California is considering new legislation - Assembly Bill No. 2501 (AB 2501) - that could significantly impact auto loan securitisations with high concentrations of Californian loans. S&P notes that in its current form, if this legislation is enacted, it could require servicers of .......

    Market Moves 12 June 2020

  • Euro ABS 'game changer' recommended

    Sector developments and company hires

    Euro ABS ‘game changer’ recommended
    The European High-Level Forum (HLF) on the capital markets union (CMU) has published its final report, which proposes 17 inter-connected “game changers” – measures that the EU needs to implement to remove the biggest barriers in its capital markets. The European Commission stresses that completing the CMU has become particularly urgent in order to speed .......

    Market Moves 11 June 2020

  • NCSLT consent judgment denied

    Sector developments and company hires

    NCSLT consent judgment denied
    Fitch has affirmed 37 notes and maintained its rating watch negative placement on nine notes from 12 National Collegiate Student Loan Trust (NCSLT) securitisations. The move follows Delaware District Judge Maryellen Norieka’s decision last month not to approve a consent judgment proposed by the CFPB and purportedly agreed to by the NCSLTs.

    The judgment was .......

    Market Moves 9 June 2020
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