ABS

  • 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

  • Sharp rise in Italian NPL ABS expected

    Italy is set to see a jump in GACS-eligible securitisations in 2018, potentially totalling €40bn-€45bn in gross book value of sold non-performing loans, compared with €8bn this year. Scope Ratings suggests that should Banca Monte dei Paschi di Siena NPL ABS not close next year, GACS-eligible securitisations in the jurisdiction should still double 2017's total.

    Scope anticipates that Italy will .......

    News 21 December 2017

  • Landmark shipping SRT completed

    Further details have emerged of Nord LB's landmark shipping significant risk transfer trade (SCI 8 December). Dubbed Northvest 2, the financial guarantee is believed to be the largest post-crisis synthetic securitisation of shipping assets.

    Nord LB's latest transaction references a €10.1bn mixed portfolio of around 4300 high quality loans, including €1bn of shipping loans. Other assets in the portfolio include .......

    News 20 December 2017

  • IFRS 9 volatility persists

    The Bank of England did not disclose any data on the capital impact of IFRS 9, following the recent PRA stress tests, as had initially been expected - although subsequent statements by the central bank signal no overall impact for stress-based capital requirements. However, sources in the capital relief trade market note that the need for managing IFRS 9 volatility .......

    News Analysis 20 December 2017

  • Esoterics shine in 2017

    The US esoteric ABS market has gone from strength to strength in 2017, as investors gained comfort with less vanilla assets in a continued hunt for yield. Whole business and aviation ABS have been notable highlights, with both segments seeing record issuance levels this year.

    Aviation ABS activity has seen steady growth for the last five years. Evan Wallach, president of Global .......

    News Analysis 20 December 2017

  • Broad-based recovery underlined

    The global securitisation markets continued their broad-based recovery in 2017, with total issuance reaching about US$850bn-equivalent through November, an increase of 27% over the approximately US$667bn-equivalent recorded in full-year 2016. Volumes have been supported by economic growth and more market participants embracing securitised products in order to diversify funding sources and add yield.

    The US recorded US$478bn in new issue securitisation volume .......

    News Analysis 20 December 2017

  • PPC benchmark securitisation pending

    Finacity has been awarded the role of securitisation advisor on behalf of Greece's Public Power Corporation (PPC). The move is expected to pave the way for the first Greek securitisation for a corporate entity and establish a benchmark for other non-performing loan transactions.

    A consortium led by Finacity and Qualco has been tasked with enhancing PPC's working capital and managing .......

    News 19 December 2017

  • Debut Russian RMBS 'just the start'

    VTB Capital has closed an inaugural RMBS under the Russian government-backed AHML programme, which the bank suggests could be one of many securitisations to come, across a range of asset classes. The RUB48.2bn transaction is a securitisation of the mortgage portfolio of the bank's retail arm, VTB24, is secured by privately-owned apartments and features a single-tranche pass-through structure, offering a fixed annual coupon of .......

    News Analysis 15 December 2017

  • Risk transfer round-up - 15 December

    Barclays has returned to the capital relief trade market with another Colonnade transaction. Colonnade UK 2017-1 financial guarantee references a £2.6bn corporate portfolio. Under the senior guarantee, Barclays will buy protection for both principal and interest, which is a typical feature of Colonnade transactions (SCI 8 September).

    The deal follows rumours of another corporate risk transfer transaction from Italian lender .......

    News 15 December 2017

  • Debut SLABS more of a 'distressed bond'

    After a Brexit-related delay, the UK government has closed Income Contingent Student Loans 1 (2002-2006), its debut £3.94bn student loan securitisation (SCI 1 November and 29 March). The transaction has been hailed as a success by ABS analysts, but it may have deterred some traditional ABS investors and has led to suggestions that it's not a recognisable ABS product at .......

    News Analysis 14 December 2017

  • Basel 4 proportionality expected

    The Basel Committee last week finalised the long-awaited Basel 4 reforms (SCI 8 December). The proposals have received an overall positive reception from the market, although much will depend on how the rules are translated into the CRR. Indeed, the prospect of proportionality at the EU level appears to be more promising (SCI 23 October).

    According to last week's agreement, .......

    News Analysis 14 December 2017

  • MPL sector shakes off reputational threats

    With continued growth of the marketplace lending ABS sector and repeat issuance from a range of firms, the market appears to have shaken off its label as an esoteric asset class. At the same time, a potential resolution to the ongoing Madden case suggests that the sector could finally be overcoming its reputational issues.

    Last quarter was strong for the .......

    News Analysis 13 December 2017

  • Risk transfer round-up - 8 December

    Nord LB has this week closed a shipping significant risk transfer transaction dubbed Northvest 2. The €1bn shipping credits form part of a €10.1bn multi-asset portfolio.

    The transaction coincides with the finalisation of the outstanding Basel 3 reforms. The RWA output floor has been agreed at 72.5%, as expected.

    More importantly though, banks will have until 2027 to adhere to .......

    News 8 December 2017

  • Confidence boost for synthetic NPL deals

    A recent Ashurst survey notes that securitisation may prove to be the most prevalent method of non-performing loan resolution in Greece in the early years of the market, given the established infrastructure for this type of transaction. Indeed, NPL investors rank Greece in their top-two southern European target investment countries for the next 12 months.

    According to the survey results, .......

    News Analysis 8 December 2017

  • Auto ABS spread distortion eyed

    European auto ABS bonds are trading at similar spreads to unsecured corporate debt issued by the same parent company, indicating a distortion of risk in the market. The trend may eventually be broken, however, as the ECB slows its ABS purchasing programme and regulatory changes taking affect next year broaden the European investor base for auto ABS.

    Vaclav Vacikar, ABS .......

    News Analysis 5 December 2017

  • Innovative financial guarantee printed

    Raiffeisen's €1.2bn ROOF Slovakia 2017, which is believed to be the first synthetic securitisation of Slovak assets (SCI 1 December), strengthens the bank's common equity tier 1 ratio (fully loaded) by around 12bp at the group level. The bank plans to be a programmatic issuer of risk transfer trades via its 'ROOF' securitisation platform.

    ROOF Slovakia 2017 represents a financial guarantee .......

    News 5 December 2017

  • Job swaps round-up - 1 December

    EMEA

    CBRE has hired Paul Coates as executive director and head of debt and structured finance EMEA. He will report to Richard Dakin, md of CBRE Capital Advisors. Coates was previously md, head of UK real estate finance at RBS.

    North America

    THL Credit co-ceo Christopher Flynn has been named sole ceo of the firm, following the resignation of co-ceo .......

    Job Swaps 1 December 2017

  • Risk transfer round-up - 1 December

    Raiffeisen has completed ROOF Slovakia 2017, a €1.2bn financial guarantee from its Slovak subsidiary Tatra banka, referencing a portfolio of corporate loans and project financings. The transaction is believed to be the first synthetic securitisation of Slovak assets and enabled capital relief to be achieved at RBI Group level, with the P&L of Tatra banka unaffected.

    The SPV is a .......

    News 1 December 2017

  • Fino phase two initiated

    UniCredit has closed Fino 1 Securitisation, marking the beginning of phase two of Project FINO, its plan to sell down a portion of the retained exposure relating to a €17.7bn portfolio of non-performing loans (SCI passim). The lender can now apply for the Italian GACS guarantee and sell the senior notes to investors, a first for GACS senior notes.

    The .......

    News Analysis 30 November 2017

  • Euro ABS/MBS stable

    The European ABS/MBS secondary market continues to remain stable.

    "It's been a sporadically active month - our total volumes and flows indicate November is the busiest since July," says one trader. "However, market tone is still strong and we're not seeing any areas of weakness."

    As a result, the trader says: "Secondary spreads remain well-supported, so we continue to steadily .......

    SCIWire 30 November 2017

  • Risk transfer come-back

    Bank of Ireland has returned to the risk transfer market with Mespil Securities 2017-1. The lender's latest capital relief trade will increase its common equity Tier 1 capital ratio by 0.45% and comes a year after it carried out a similar transaction on around €3bn of loans from its business banking and corporate banking divisions in Ireland (see SCI's capital .......

    News 29 November 2017
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