Sector developments and company hires

EGF expression of interest launched
The EIF has issued a call for expression of interest in participating in its Pan-European Guarantee Fund (EGF), which forms part of the overall package of measures agreed by the Eurogroup on 9 April and further endorsed by the European Council on 23 April (SCI passim). The EGF has a target size of €25bn and aims to generate up to €200bn of additional financing through deploying a number of equity, debt fund and guarantee products in cooperation with selected financial intermediaries for the benefit of SMEs and mid-caps.

In other news…

Call for delayed capital rule
The SFA has responded to the FHFA’s re-proposed capital rule for the Enterprise Capital Framework (ECF), calling on FHFA to suspend implementation until a number of fundamental threshold issues are adequately addressed. The association’s comment letter raises two overarching issues: the capital rule assumes resolution and clarity on a number of outstanding policy issues; and it unnecessarily penalises the GSE credit risk transfer programmes. In particular, the letter points out that it remains unclear whether there will be a full-faith and credit guaranty on legacy and new-issue agency MBS in place before the Fannie Mae and Freddie Mac exit conservatorship.

EMEA
Twelve Capital has appointed founding partner Urs Ramseier as group executive chairman, succeeding Frank Schnewlin, who is retiring after serving the group for over seven years. Additionally, Thomas Müller has been appointed to the firm’s board. He currently serves as a board member at Raiffeisen Switzerland, as well as being the chair of the risk committee. He is also currently the chairman of the Swiss Takeover Board.

GSE CRT delinquencies ‘elevated’
GSE CRT delinquency levels paper declined in July, but overall delinquencies remain elevated in both CAS and STACR deals, according to August RMBS data released by DBRS Morningstar. Moreover, newer actual loss paper often has higher levels of delinquency than more seasoned deals, including fixed severity transactions. 

For example, CAS 19-RO4 actual loss HLTV REMIC showed a total delinquency rate of 11.13% in August, while the CAS 19-RO5 actual loss LLTV REMIC was only a little healthier with a delinquency rate of 10.14%.

Levels of delinquency in STACR paper fell more sharply (the CAS reporting period lags that of STACR by a month), but in some vintages it remains eye-catching. STACR 19 HQA3 HLTV trust notes have a delinquency rate of 9.17%, while the 19 HQA2 LTVH trust notes are only slightly better at 9.07%.

The 90- to 120-day delinquency bucket contributes the largest slice of total delinquencies in both CAS and STACR deals.