Market Moves
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RFC issued on NPL ABS treatment
Sector developments and company hires
RFC on NPL ABS treatment
Market Moves 24 June 2020
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 .......
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QM price-based approach mooted
Sector developments and company hires
QM price-based approach mooted
Market Moves 23 June 2020
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 .......
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MILN market set to reopen
Sector developments and company hires
MILN market set to reopen
Market Moves 22 June 2020
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 .......
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CMBS scores in first TALF window
Sector developments and company hires
CMBS scores in first TALF subscription
Market Moves 18 June 2020
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 .......
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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
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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
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Californian auto loans eyed
Sector developments and company hires
Californian auto loans eyed
Market Moves 12 June 2020
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 .......
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Euro ABS 'game changer' recommended
Sector developments and company hires
Euro ABS ‘game changer’ recommended
Market Moves 11 June 2020
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 .......
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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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CLO business integrated
Sector developments and company hires
CLO business integrated
RBC’s US-based CLO management business is being integrated into BlueBay’s CLO management platform. Sid Chhabra, who joined BlueBay – which is owned by RBC - in 2018 to build the firm’s structured credit and CLO capabilities, will lead this team. The US-based team includes four experienced individuals and the US$500m CLOs they manage.In other news…
Market Moves 8 June 2020
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Senators seek TALF expansion
Sector developments and company hires
Senators seek TALF expansion
Market Moves 5 June 2020
US Senators Jerry Moran, Martha McSally and Thom Tillis sent a letter to Fed chairman Jerome Powell and Treasury secretary Steve Mnuchin requesting that TALF be expanded to accept ABS backed by assets from all essential lending sectors as eligible collateral. The letter specifically urges personal instalment loans and non-agency RMBS be included as eligible collateral .......
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Conduit CMBS on watch
Sector developments and company hires
Conduit CMBS on watch
Market Moves 4 June 2020
S&P has placed its ratings of 96 classes from 30 US conduit CMBS on credit watch (CW) with negative implications, reflecting the bonds' exposure to the adverse impact of Covid-19 on the lodging and retail sectors, and the related uncertainty about the duration of the demand disruption. The agency says it will resolve or update the .......
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More Euro CLOs on review
Sector developments and company hires
More Euro CLOs on review
Market Moves 3 June 2020
Moody’s has put a further 234 tranches from 77 European BSL CLOs on review for possible downgrade. The securities involved are rated Baa2 to B1 and below. The action brings the total number of European CLOs Moody’s has under negative review to 351, representing around 16% by count, or 6.5% by balance, of its rated .......
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Equity opportunities?
Sector developments and company hires
Equity opportunities?
Despite a lack of visibility and liquidity and with cashflows likely to deteriorate further into upcoming July payment dates, there may be some opportunities in the CLO equity space, according to a new research report from JPMorgan.It finds that while NAVs remain negative, there has been some improvement between March lows and late 2019. Equally, cashflow .......
Market Moves 1 June 2020
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Renewables JV inked
Sector developments and company hires
Renewables JV inked
Market Moves 29 May 2020
By way of a joint venture, illimity Bank and VEI Green II have set up a securitisation vehicle for distressed loans with underlying assets that produce electricity from renewable sources. This vehicle will invest up to €100m and operate in both the Italian primary and secondary energy markets. The partnership has commenced activities by carrying out its .......
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No call for OATH 1
Sector developments and company hires
No call for OATH 1
Market Moves 28 May 2020
UK Mortgages and TwentyFour Asset Management have notified Oat Hill No. 1 bondholders that the RMBS will not be redeemed on its first refinancing call date of 27 May (SCI 22 April). TwentyFour says the transaction was not called as, due to the Covid-19 situation, financing markets were only available at relatively expensive levels .......
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Pan-European guarantee fund launched
Sector developments and company hires
Pan-European guarantee fund launched
Market Moves 27 May 2020
The EIB board has approved a €25bn Pan-European Guarantee Fund (EGF) - which will be funded by EU member states pro rata to their shareholding in the bank – as part of its overall response to the Covid-19 crisis. By guaranteeing parts of portfolios, operations under the guarantee fund will free up capital for financial intermediaries .......
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CLO tender offer launched
Sector developments and company hires
CLO tender offer
Market Moves 22 May 2020
The Black Diamond CLO 2015-1 issuer has launched a tender offer to all noteholders of the €176.3m class A1 and the US$67.2m class A2 notes. The purchase price for any bonds tendered under the offer will equal 98.75% of the principal amount outstanding of each note. The offer expires on 2 June, with settlement due on 9 .......
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CLO manager performance assessed
Sector developments and company hires
CLO manager performance assessed
JPMorgan has issued its latest CLO manager quarterly reports for both the US and Europe.72% of US CLOs are now failing their S&P triple-C test and 38% are failing their Moody’s Caa1 test, but there are still three managers passing both tests in all of their transactions: Blackrock, DFG/Vibrant, and Silvermine. Meanwhile, JPMorgan CLO .......
Market Moves 21 May 2020
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TALF subscription date announced
Sector developments and company hires
TALF subscription date announced
Market Moves 20 May 2020
The New York Fed has scheduled the first TALF ABS loan subscription date for 17 June, with the first loan closing date to be 25 June. On fixed days each month, borrowers will be able to request one or more three-year TALF loans. The Fed has published a Master Loan and Security Agreement, which provides further details on the terms .......
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Covid-19 relief initiative launched
Sector developments and company hires
Covid-19 relief initiative launched
Market Moves 19 May 2020
Community Capital Management has launched an initiative to invest US$100m of assets in Covid-19 relief efforts. The aim is to offer organisations that wish to contribute to the long-term US recovery post-pandemic an opportunity to complement their philanthropic and volunteer resources through a seasoned fixed income strategy designed to provide high current income consistent with the .......
