ABS

  • Slicing the risk

    Capital relief trade issuers and investors are weighing in on the virtues of a structuring technique dubbed 're-tranching'. The innovation involves slicing in two the junior risk, in an attempt to cope with higher capital requirements under the CRR (SCI 23 February 2017).

    "We're actively working with issuers and investors to move this forward," says Kaelyn Abrell, partner and portfolio .......

    News Analysis 26 January 2018

  • Going green

    Current status of green ABS market discussed

    Representatives from Clifford Chance, TMF and Ygrene Energy Fund recently discussed the current status of green ABS during a live webinar hosted by SCI (view the webinar here). This Q&A article highlights the main talking points from the session, including the established asset classes, those that are developing, and what is next for the sector.

    Q: As the .......

    Talking Point 25 January 2018

  • Debut Canadian utility ABS prepped

    The Canadian province of Ontario has launched the country's first ABS backed by utility cost recovery charges. The transaction, dubbed Fair Hydro Trust, has yet to be valued but comprises three tranches and is designed to finance lower electricity costs for 5.05 million households and businesses throughout the province.

    The Fair Hydro Trust issuer has been established in connection with .......

    News 23 January 2018

  • Landmark financial guarantee completed

    The EIB and Credit Agricole completed an innovative synthetic securitisation in late December. Dubbed VIADUC, the risk transfer transaction combines a guarantee by the EIF - which covers Credit Agricole's large corporate clients - with a commitment by the French lender to provide €830m of subsidised loans to French SMEs and medium-sized companies (see SCI's capital relief trades News Analysis 23 January 2018

  • Programmatic issuance continues

    Intesa Sanpaolo last month returned to the risk transfer market with another GARC transaction. Dubbed GARC-SME 6, the €120m cash collateralised deal references a €2.5bn Italian SME portfolio.

    The Banca IMI-arranged transaction has established Intesa Sanpaolo as a programmatic issuer, being the Italian lender's sixth GARC deal. According to Elisabetta Bernardini, head of credit portfolio management at Intesa Sanpaolo: "With .......

    News Analysis 22 January 2018

  • Non-QM tipped as 'next opportunity'

    Last year marked the beginning of a transition from a post-crisis distressed recovery trade to a more efficient market for the US securitisation sector, underpinned by robust performance and favourable economic conditions. Against this backdrop, mortgage credit and private credit financings are expected to remain a strong source of risk-adjusted returns.

    Greg Parsons, ceo of Semper Capital Management, characterises the .......

    News Analysis 19 January 2018

  • Market moves - 19 January

    Acquisitions
    RenaissanceRe Ventures is set to acquire a minority shareholding in Catalina Holdings (Bermuda), with the aim of helping the business to explore a wider range of transaction structures. The agreement is subject to regulatory approval and is expected to close concurrently with the majority acquisition of Catalina by affiliates of Apollo Global Management. Aditya Dutt, president of Renaissance Underwriting Managers, will .......

    Market Moves 19 January 2018

  • Carillion liquidation met with cautious optimism

    The Irish stock exchange announced this week that a company, believed to be liquidated construction giant Carillion, triggered a credit event for HSBC's US$300m CLN dubbed 'Metrix portfolio distribution'. Despite the event, the market's initial reaction remains cautiously optimistic given the sturdy performance of synthetics over the last four years.

    Metrix was closed at end-2015 (see SCI's capital relief trades .......

    News 19 January 2018

  • Scenario analysis

    Elena Rinaldi, portfolio assistant at TwentyFour Asset Manag...

    ABS is an asset class that lends itself well to detailed underwriting, from onsite due diligence through to cashflow and risk modelling. Specifically within the CLO sector, once TwentyFour Asset Management has reviewed the manager and the collateral, we focus on stress testing and sensitivity analysis. The hypothetical question "what if?" plays a fundamental role in assessing the resilience of .......

    Talking Point 12 January 2018

  • Risk transfer round-up - 12 January

    Details have emerged of a Lloyds capital relief trade dubbed Cheltenham Securities 2017. The transaction was executed in late December (see SCI's capital relief trades database). The £40.524m CLN references a £517m portfolio of UK mid-market loans and matures in August 2022.

    During the same period, the EIF guaranteed a €330m portfolio of Austrian and German .......

    News 12 January 2018

  • Barclays adds to US CRT impetus

    Barclays recently completed Colonnade Global 2017-4 Financial Guarantee, a rare US$100m risk transfer transaction referencing a US$1.25bn portfolio of US corporate loans. Adding impetus to a growing American capital relief trades market (SCI 8 January), the jurisdiction of both the deal's counterparty and investor is the US.

    Rated by DBRS, Colonnade Global 2017-4 comprises US$1bn triple-A rated class A notes, .......

    News Analysis 11 January 2018

  • UBI Banca debuts SRT

    UBI Banca has executed its first capital relief trade, dubbed UBI 2017 RegCap 1. The approximately €100m cash collateralised financial guarantee references a €1.9bn corporate portfolio.

    According to Simone Tufo, head of capital management at UBI Banca: "Financial guarantees have been used extensively in the market, so we had plenty of benchmark cases to look at. However, this is only .......

    News 10 January 2018

  • CRTs coming to America?

    Capital relief trades (CRTs) have become an established feature of the European securitisation market, with multi-billion euro deals frequently issued to achieve regulatory capital relief (see SCI's capital relief trades database). Although these transactions have not yet been embraced by US banks, that is expected to change.
     
    Rumours of US CRTs in the offing continue to circulate. Sources suggest .......

    News Analysis 8 January 2018

  • Risk transfer round-up - 5 January

    Deutsche Bank is understood to have closed two CRAFT risk transfer transactions, a bilateral deal and a syndicated one. The US$147m bilateral deal - dubbed CRAFT 2017-2A - is said to pay 8.75% and feature a 7.5-year WAL, with an expected maturity of July 2025 (see SCI's capital relief trades database).

    Other recently-closed capital relief trades include a .......

    News 5 January 2018

  • Market moves - 5 January

    Acquisitions/Investments
    SoftBank Group Corp     has acquired Fortress Investment Group for US$3.3bn in cash and now – along with its subsidiaries – owns all outstanding Fortress shares. Fortress shareholders approved the transaction last summer and all necessary regulatory approvals have now also been received. As a result of the acquisition, each outstanding Fortress class A share has been converted into the right to .......

    Market Moves 5 January 2018

  • China aircraft ABS placed publicly

    China Asset Leasing Group Holdings (CALC) has launched China's first ABS denominated and settled in a foreign currency. It is also China's first ABS in aircraft leasing in the public placement market.

    CALC is a full value-chain aircraft solutions provider for global airlines. Its subsidiary, China Asset Leasing Company, has issued the ABS. Huatai Securities (Shanghai) Asset Management is the .......

    News 4 January 2018

  • 'Unique' French windstorm ILS placed

    Willis Towers Watson placed €90m of ILS for Covea Mutual Insurance Group last month in a "unique transaction". The transaction was the first time a European catastrophe bond has supported capacity at the bottom of a traditional reinsurance programme and also the first time a European indemnity-trigger cat bond was placed on an annual aggregate basis, the company says.

    Hexagon .......

    News 3 January 2018

  • Dynamica makes ABS bow

    Dynamica Retail has issued its first salary assignment and payment delegation loans transaction in Italy. The transaction has a subscribed amount of €166.1m and a maximum note amount of €263.5m.

    Dyret SPV is a revolving cash securitisation of consumer loan receivables. Moody's has rated the senior notes A2. That A tranche has been subscribed for €137.2m and has a maximum .......

    News 3 January 2018

  • Job swaps round-up - 22 December

    CDS options clearing

    LCH's CDSClear has become the first platform to clear credit index options, with post-trade services for both dealer-to-dealer and dealer-to-client flows provided by MarkitSERV. The service is expected to benefit members and clients in a number of ways, including full cross-margining of options with indices and single-name CDS, multilateral netting from facing a single counterparty (LCH) and .......

    Job Swaps 22 December 2017

  • Embracing a tactical approach

    David Moffitt, head of tactical investment opportunities at LibreMax Capital, answers SCI's questions

    Q: How and when did LibreMax Capital become involved in the securitisation market?
    A: LibreMax Capital was established in October 2010 by founding cio Greg Lippmann and founding president Fred Brettschneider, who previously worked at Deutsche Bank and Credit Suisse together. The firm - which focuses exclusively on .......

    The Structured Credit Interview 22 December 2017

  • SRT investor concerns disclosed

    AFME, in association with the International Association of Credit Portfolio Managers (IACPM), has responded to the EBA's significant risk transfer discussion paper. The response reveals investor-related concerns around certain aspects of the paper, most notably on the early termination of credit protection.

    The responses that have been disclosed thus far - especially during the EBA's public hearing last month - .......

    News 21 December 2017
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