A review of securitisation activity over the past seven days

Market commentary
Portuguese RMBS outperformed other securitisation asset classes last week, boosted by the surprise call of the Lusitano Mortgages No. 2 transaction (SCI 22 July). The sector is expected to continue to perform strongly at tight levels.  

"Lusitano 2 wasn't expected to be redeemed, but it was and it had an impact on other Lusi deals. Previously, there was no call optionality assigned to the deconsolidated deals, but Lusi 2 being called means that similar deals are now trading with some optionality," says a trader.

A shortage of high-quality collateral has been accompanied by strong demand for prime bonds, underpinned by the ECB's activity in the primary market. The trader concludes: "We have seen a tightening trend in the last two months, but senior prime RMBS - including Portuguese deals - will continue performing well."

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Stories of the week
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Performance model revealed
Innovative approach highlights smaller manager outperformance
QM revisited
Private mortgage market to fill the void?

Other deal-related news

• A winding-up order has been issued by the High Court of Justice of the Isle of Man, Chancery Division in respect of Clifden IOM No.1 and PricewaterhouseCoopers has been appointed official receiver of the firm. The move follows a Part 8 claim issued by Clifden, naming RMAC No. 1 series 2006-NS1, 2006-NS2, 2006-NS3, 2006-NS4 and 2007-NS1 as defendants (SCI 29 July).
• Zip Co, an Australian non-bank lender, has extended its securitisation warehouse programme and offered existing Class B noteholders an option to exchange on a one-for-one basis into $60m of new Class B notes in the warehouse which also provides the option to refinance the facility through the rated securitisation market (SCI 29 July).
• Fannie Mae has executed a new credit insurance risk transfer (CIRT) transaction that, for the first time, covers a pool of primarily single-family affordable loans. These covered loans are delivered to Fannie Mae with a short-term lender repurchase obligation, provided primarily by state housing finance agencies, which serves as the initial loan credit enhancement (SCI 31 July).
• The International Swaps and Derivatives Association (ISDA) today announced that Bloomberg Index Services Limited (BISL) has been selected to calculate and publish adjustments related to fallbacks that ISDA intends to implement for certain interest rate benchmarks in its 2006 ISDA Definitions (SCI 31 July).
• The Board of the International Organization of Securities Commissions (IOSCO) has published a Statement on Communication and Outreach to Inform Relevant Stakeholders Regarding Benchmarks Transition. It seeks to inform relevant market participants of how an early transition to risk free rates (RFRs) can mitigate potential risks arising from the expected cessation of Libor (SCI 31 July).
• Banca Monte dei Paschi di Siena has finalised the sale of non-performing exposures (NPEs) for about €455m to a subsidiary of Cerberus Capital Management. The agreement concerns the sale of unlikely-to-pay exposures owned by Banca MPS and MPS Capital Services and the portfolio mainly includes secured loans to corporate customers. The bank has also signed two agreements with Illimity Bank for the sale of almost €700m non-performing exposures (SCI 2 August).
• The EBA has launched a public consultation on draft guidelines regarding the determination of the weighted average maturity (WAM) of the contractual payments due under a tranche, as per CRR Article 257(1) (a). The draft guidelines aim to ensure that the methodology applicable for the determination of the WAM for regulatory purposes is sufficiently harmonised in order to increase consistency and comparability in the own funds held by institutions, both for traditional and synthetic securitisations (SCI 2 August).

Regulatory round-up

• The CFPB has issued an advance notice of proposed rulemaking (ANPR) seeking information relating to the expiration of the temporary qualified mortgage provision applicable to mortgage loans eligible for purchase or guarantee by Fannie Mae and Freddie Mac (also known as the GSE patch), which is scheduled to expire on 10 January 2021 (SCI 29 July).
• Final injunctions have been granted against Greencoat Investments (GIL) (including against its directors, which include Clifden IOM No.1, Rizwan Hussain, Rajnish Kalia and Alfred Oyekoya), Greencoat Holdings (GHL), Portfolio Logistics (PLL), Patrick Anthony FitzSimons, Maria Stoica and Oyekoya in connection with Business Mortgage Finance 6 (SCI 2 August).
• The US SEC has charged Brixmor Property Group, a publicly-traded real estate investment trust, and four former senior executives with fraud in connection with a scheme to manipulate a key non-GAAP metric relied on by analysts and investors to evaluate the company's financial performance. Brixmor has agreed to settle the Commission's charges and pay a $7 million penalty (SCI 2 August).
• Judge Jennifer Frisch of the Minnesota District Court, Second Judicial District, has denied Goldman Sachs' motion for summary judgment on claims asserted by Kasowitz Benson Torres on behalf of its client, Astra Asset Management, seeking termination of the Abacus 2006-10 synthetic CDO. Astra Asset Management, an investor in Abacus, asserts that Goldman engaged in misconduct relating to the collateral that secured the notes issued by the CDO (SCI 2 August).

Data

Pricings
Deals that priced last week included:
ABS
Magnolia BTV 1; Marzio Finance 6-2019; Oaktown Re III; Upstart Securitization Trust 2019-2; Vantage Data Centers 2019-1
CLO
Anchorage Capital CLO 11 2019-11; Ares European CLO XII 2019-12; Ares XLI 2016-41 (refinancing); Bain Capital Credit CLO 2019-2; Barings Euro CLO 2019-1; Credit Advisors CLO 2017-1 (refinancing); Euro-Galaxy V CLO (refinancing); GoldenTree 2019-5; Golub Capital Partners CLO 43 2019-43; Hayfin Emerald CLO III 2019-3; Jamestown CLO IX 2016-9 (refinancing); Man GLG Euro CLO II 2016-2 (refinancing); OZLM XXIV CLO 2019-24; Parallel CLO 2019-1; Steele Creek CLO 2019-2; Trinitas CLO XI 2019-11; Venture 38 CLO 2019-38; Voya CLO 2016-2 (refinancing); ZAIS CLO 13
CMBS
JPMCC 2019-BOLT
CRE CLO
BDS 2019-FL4
RMBS
Angel Oak Mortgage Trust 2019-4; BPCE Home Loans FCT 2019-2; Connecticut Avenue Securities 2019-R05; Home Partners of America 2019-1; New Residential Mortgage Loan Trust 2019-RPL2; Station Place Securitization Trust 2019-WL1
WBS
SESAC Finance Series 2019-1

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