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Issue 759 - 10th September

  • News Analysis

    • RMBS
      • Intrinsically ambiguous

        Social RMBS may convey 'elevated' credit risks

        While demand for ESG assets is gaining traction, social RMBS transactions might convey inherent credit risks, a recent S&P report warns. If green deals have managed to attract a ‘greenium’, defining social bonds appears to...

    • Capital Relief Trades
      • Love me tender

        STACR tender shows validity of CRT and salience of capital efficiency

        The significance of Freddie Mac’s STACR tender offer, announced earlier this week, should not be underestimated, say market insiders. The tender shows, on the one hand, that the GSE is acutely conscious of the demands of greater capital e...

  • News

    • ABS
      • Back in business

        European ABS/MBS market update

        The European ABS/MBS primary market is up and running again after the summer lull. This afternoon saw the first widely marketed deal to price since the August hiatus, with more set to follow this week and beyond. UK non-conforming RMBS Together Ass...

      • NPL ABS seminar line-up finalised

        Regulatory developments, servicing trends on the agenda

        SCI’s 3rd Annual NPL Securitisation Seminar is taking place virtually on 14 September. The event will explore the impact of the coronavirus fallout on performance and issuance, as well as on pricing assumptions, servicing and workout trends...

    • Structured Finance
      • Chinese reserves

        Growth boosts domestic securitisation market

        China’s continued economic growth has boosted both securitisation performance and issuance volumes. However, bank asset quality remains at risk because of high economic uncertainties from the lingering pandemic threat and ongoing structural...

      • SCI Start the Week - 6 September

        A review of SCI's latest content

        Last week's news and analysis Cliff edge looms 400,000 loans face forbearance expiry CMBS vigour CMBS issuance for rest of 2021 to keep everyone busy Forward strides Middle East Islamic finance market looks good into 2022 High...

    • Capital Relief Trades
      • Tender Freddie

        GSE has commenced a debut buyback scheme to retire old STACR issuance

        Freddie Mac yesterday (September 7) inaugurated its first-ever tender offer programme to buy back STACR notes to reduce indebtedness, the agency told SCI last night. The tender offer period will run until midnight EDT on October 4 and will be manag...

      • Risk transfer round-up - 8 September

        CRT sector developments and deal news

        Bank of Ireland is believed to be readying a synthetic RMBS that is expected to close in 2H21. The bank’s last capital relief trade, dubbed Vale Securities Finance 2019-1, closed in 4Q19 (see SCI’s capital relief trades database)....

      • WAL enters CRT space

        CRT trade covers first losses on warehouse loans

        Western Alliance Bancorporation (WAL), a $35bn western US lender headquartered in Phoenix, Arizona, completed a $242m 144a credit linked note (CLN) sale at the end of June to cover first losses on $1.9bn reference pool of mortgage warehouse loans. ...

      • JP Morgan into fifth gear

        Third CLN in 2021 to cover auto loan losses soon to print

        JP Morgan Chase is to price its second auto loan-linked CLN deal in two months, its third of the year and its fifth in just over 12 months as the auto loan book become the clear favourite for the bank’s use of the CRT mechanism. Designate...

    • CLOs
      • Structural innovation

        Evolution of Euro CLOs set to continue

        European CLOs issued during 2021 have started to resemble pre-pandemic deals, with par subordination returning to the 38%-40% range compared with 42%-44% for CLOs issued last year. At the same time, documentation and structural features continue to e...

  • Market moves

    • Structured Finance
      • Assured wraps Euro CLO pair

        Sector developments and company hires

        Assured wraps Euro CLO pair Assured Guaranty has over the last month wrapped a portion of debt issued by two European CLOs for European investors. Assured Guaranty (Europe) guaranteed €125m of triple-A rated class A notes issued by NIBC B...

      • SFDR to spur Article 8 CLOs

        Sector developments and company hires

        SFDR to spur Article 8 CLOs CLOs may soon be structured as Article 8 funds under the EU Sustainable Finance Disclosure Regulation (SFDR), as part of the rotation of capital towards assets that promote ESG objectives, according to White & C...

      • Cyberattack scenarios weighed

        Sector developments and company hires

        Cyberattack scenarios weighed S&P reports that it has seen more credit-relevant cyber events in the last six months than in the previous six years, including the first structured finance transaction reporting an operational disruption follow...

      • CLO equity investment agreement inked

        Sector developments and company hires

        CLO equity investment agreement inked CQS has entered into a strategic investment agreement with Jefferies and three investment management firms to support the new issuance of US CLOs on the CQS platform. Under the terms of the agreement, Jefferie...

      • RFI issued on sustainable housing

        Sector developments and company hires

        RFI issued on sustainable housing The FHFA is requiring Fannie Mae and Freddie Mac to submit Equitable Housing Finance Plans by end-2021, with the plans to be updated annually. The plans will identify and address barriers to sustainable housing oppo...

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