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Issue 706 - 21st August

  • News Analysis

    • Capital Relief Trades

      • Maximum impact

        Full deduction SRTs stage comeback

        Supranational and private capital relief trade structures have had to be adjusted following the coronavirus fallout to address the impact of payment holidays on deal performance, according to SCI’s latest CRT Case Study. Both supranational...

    • RMBS

      • Suburban bounce

        SFR volumes up as renters vacate cities

        Single-family rental (SFR) securitisation issuance has picked up this year, despite coronavirus-related volatility. Notably, suburban developments appear to be benefiting as renters seek alternatives to the urban environment. “The impact...

      • Lack of transparency

        Reporting discrepancies cause confusion

        US RMBS reporting discrepancies are becoming a source of confusion among investors, with some shelves and servicers not always reporting loans in forbearance as delinquent. These discrepancies appear to be more visible in the reperforming loan space,...

  • News

    • Structured Finance

      • SCI Start the Week - 17 August

        A review of securitisation activity over the past seven days

        Last week's stories Collections clarity Payment arrangement ABS strengthened Problem solving Apex Group, answers SCI's questions Repeat patterns CLO equity activity continues to be challenged Other deal-related news The perce...

      • Mixed outlook

        Divergent default performance highlighted

        Second quarter corporate default data reveals a cluster of defaults around retail, services and the automotive sector as post-Covid negative outlooks for all three persist. However, the default landscape between the three segments shows some marked d...

      • Freddie, Fannie fight back

        The GSEs have come out swinging after widespread denunciation of the LLPA

        Fannie Mae and Freddie Mac have offered a robust defence of their August 12 announcement to impose a 50bp loan level price adjustment (LLPA) on mortgage refinancing from September 1, which has elicited a firestorm of criticism from wide sections of t...

    • Capital Relief Trades

      • Car capital relief

        JPM Chase tests the auto loan waters with new CRT deal

        Investors and analysts have given a cautious welcome to the latest JP Morgan CRT deal - a $1.8bn auto loan securitization, which also marks the bank’s return to the auto loan sector market after an absence of 14 years. The deal is being m...

      • Risk transfer round-up - 20 August

        CRT sector developments and deal news

        Banca Carige is rumoured to be readying a capital relief trade referencing corporate loans for 2H20. The transaction would be the Italian lender’s first significant risk transfer deal (see SCI’s capital relief trades database). ...

      • Freddie trifecta

        Freddie prints its third STACR since lockdown, while Fannie remains on sidelines

        Freddie Mac yesterday priced another STACR deal, its third since lockdown conditions began in early March. Its 2020-DNA4 comprised $1.088bn of M1, M2, B1 and B2 tranches, and, like the previous two offerings there will be an associated ACIS insurance...

    • CLOs

      • New targets

        US CLO spread and issuance targets raised as previous levels already met

        US CLO triple-A and triple-B secondary spreads are now at 150bp and 450bp, while net primary supply passed US$27bn this week. As a result, post-Covid crisis targets for the entirety of 2020 set by JPMorgan CLO research analysts have already been met...

  • Market Moves

    • Structured Finance

      • Hotels dominate special servicing transfers

        Sector developments and company hires

        Hotels dominate special servicing transfers 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 imp...

      • Special servicing assets transferred

        Sector developments and company hires

        Special servicing assets transferred 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. T...

      • Seasoned QMs proposed

        Sector developments and company hires

        Seasoned QMs proposed The CFPB has issued a notice of proposed rulemaking (NPRM) to create a new category of seasoned qualified mortgages, with the aim of encouraging innovation and to help ensure access to a responsible, affordable mortgage credit...

    • Capital Relief Trades

      • SSRT trio revealed

        Sector developments and company hires

        SSRT trio revealed 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) Serie...


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