ABS
-
Risk transfer round-up - 5 October
The week's CRT developments and deal news
Market news
News 5 October 2023
A new paper published by the European Systemic Risk Board (ESRB) suggests that the synthetic securitisation sector has reached sufficient critical mass to make SRT a permanent feature in the capital management toolkit of European banks. However, it notes that as more banks and investors enter the market, the current assessment process will “need to become .......
-
Latest SRTx fixings released
Index values indicate incremental widening in spreads, while...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Participants’ estimates indicate a tightening in European spreads compared with September’s fixings (SCI 7 September), while market sentiment relating to credit risk remains elevated across the board in both Europe and the US.
This month’s survey responses suggest that European spread estimates have .......
News 4 October 2023
-
'Sluggish' September?
Quarterly SCI CRT data review
CRT issuance so far this year appears to have consistently tracked below that of last year’s volumes. In terms of deal count, SCI data shows that 39 transactions have closed in the year to end-September 2023, versus 52 for the corresponding period in 2022.
.......
News 4 October 2023
-
Front and centre
More bank origination expected as TLTROs expire
An uptick in securitisation originations among European banks is anticipated as central bank funding programmes, including the ECB’s targeted longer-term refinancing operations (TLTROs), reach maturity. Central bank liquidity supressed bank-originated securitisation issuance over the last decade, as banks stepped away from the market due to the abundance of cheap funding.
“Just 10 years ago, most European securitisation issuance .......
News 4 October 2023
-
RRAM acquires second slate of CLOs
Market updates and sector developments
Redding Ridge Asset Management has acquired CLO management contracts totalling US$2.8bn in AUM from Gulf Stream Asset Management. With the close of the transaction, Redding Ridge will have more than US$26bn of AUM and expects a seamless integration of the contracts and to actively manage the new portfolios consistent with its disciplined CLO strategy.
Redding Ridge is an .......
Market Moves 3 October 2023
-
Fundamental review
FSB response calls for level playing field
Paris Europlace has filed its response to the Financial Stability Board's (FSB) request for feedback on the effects of the G20 regulatory reforms on securitisation implemented since the GFC. Regarding the CRT market, the organisation underlines several issues, while noting that although volumes have recently improved, a detailed assessment of the kind of measures that should define significant .......
News 2 October 2023
-
Fed clarifies CLN definition
Market updates and sector developments
The US Fed has updated its FAQs on Regulation Q to provide guidance in connection with the recognition of CLNs under the capital rule, a step that the US CRT market has been awaiting for over a year. Under the capital rule, a Fed-regulated institution can recognise the credit risk mitigation of the collateral on a reference portfolio under the .......
Market Moves 29 September 2023
-
Next level
ESG back-reporting gaining traction
ESG back-reporting may be the next step for sustainable disclosures as the battle to beat greenwashing continues. The GSEs are leading the back-reporting charge, with the introduction of Fannie Mae’s Social Index calculations and Freddie Mac’s historical data file release for all active and inactive MBS pools since 2010 (SCI 18 August 2022).
“They are really driving .......
News Analysis 29 September 2023
-
LBBW, mBank out of the blocks
SRT Market Update
Further details have emerged on one of the Polish SRT trades that had been in the pipeline (SCI 28 September). Meanwhile, LBBW has closed an innovative synthetic securitisation with the EIB Group.
Polish lender mBank has completed its third SRT transaction, representing the largest-ever synthetic securitisation in the CEE region. Dubbed Makalu, the deal references an approximately .......
News 29 September 2023
-
Job swaps weekly: Khan heads to Natixis CIB
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Natixis CIB hiring a new head of structured credit capital markets. Elsewhere, Arrow Global has recruited two senior execs to its real estate and credit divisions, while Intesa Sanpaolo has appointed a new head of structured finance and loans legal advisory.
MUFG’s Asif Khan has joined Natixis CIB as md .......
Market Moves 29 September 2023
-
Risk transfer round-up - 28 September
The week's CRT developments and deal news
People moves
News 28 September 2023
ArrowMark Partners has recruited Moritz Ruhdorfer as a senior member of its securitised credit investment team. Based in ArrowMark’s London office, Ruhdorfer will assist the team with origination, structuring and execution for banks of SRT investments. With over 12 years of industry experience, his relationships in the asset class will expand the diversity of the firm’s sourcing networks .......
-
Wilmington bank adds CLO expertise
Market updates and sector developments
WSFS Financial Corporation’s global capital markets team is expanding into the CLO market, as it seeks to grow its wealth business and generate fee income on a national scale. To support this expansion, the company has recruited two new associates with expertise in CLOs.
WSFS Global Capital Markets provides global services to the leveraged loan and capital markets, .......
Market Moves 28 September 2023
-
Pedal to the metal
Auto ABS accelerates as supply-chain issues dissipate
The European auto ABS space is enjoying a drastic pick-up in activity, fueled by the easing of supply chain challenges that weighed on the automotive sector following Covid 19 and the invasion of Ukraine. While a post-summer acceleration in activity was expected, the pace of issuance throughout September has taken some market participants by surprise.
Aggregate deal value .......
News Analysis 25 September 2023
-
ESMA shines light on private securitisations
Market updates and sector developments
ESMA has published an overview of EU securitisation volumes, based on the data it receives under the Securitisation Regulation. The study shows that the size of the European securitisation market has decreased significantly since its peak of €2trn at end-2010. It also highlights that private deals represent 59% of STS securitisation notifications.
As reported to the registered securitisation .......
Market Moves 22 September 2023
-
Job swaps weekly: CBRE names new debt and structured finance president
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees CBRE appointing a successor to its outgoing US debt and structured finance president, Rachel Vinson. Elsewhere, the Structured Finance Association has appointed two industry veterans to its policy team, while Aon has recruited senior members in its structured credit solutions and reinsurance solutions teams.
CBRE has promoted James Millon to president .......
Market Moves 22 September 2023
-
Risk transfer round-up - 21 September
The week's CRT developments and deal news
Market news
News 21 September 2023
Approximately US$1.28bn in aggregate original principal amount of notes was validly tendered last week in Freddie Mac’s latest offer to purchase STACR securities. The tender offer comprised 16 class of notes from the 2017-2019 vintages, across the DNA, FTR, HQA and HRP programmes, with noteholder take-up ranging from 4.17% to 100% of the original principal amount. BofA Securities .......
-
BXCI to offer 'one-stop solution'
Market updates and sector developments
Blackstone has integrated its market-leading corporate credit, asset-based finance and insurance groups into a single new unit, named Blackstone Credit & Insurance (BXCI). Credit and insurance is Blackstone’s fastest-growing segment – more than doubling to US$295bn in assets under management over the last three years.
The new structure is designed to further accelerate growth by creating a more .......
Market Moves 15 September 2023
-
NPL proposal questioned
ABS industry baulks at Italian borrower buy-back plan
Italian non-performing loan securitisation cashflows could be delayed until a proposal to allow non-performing borrowers to buy back exposures is passed or rejected. But prime minister Meloni’s government appears on course to water down the controversial measures, with doubts arising as to how many borrowers would take up the option, should it pass.
Proposal AC 843 would allow .......
News Analysis 15 September 2023
-
Job swaps weekly: M&G poaches Pimco's Scott
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees M&G Investments luring a former Barclays structured finance veteran from Pimco to take on the role of director. Elsewhere, Avenue One has added senior hires to its real estate capital partnerships and alternative capital partnerships teams, while Pinsent Masons has hired a new securitisation partner.
M&G Investments has appointed Pimco .......
Market Moves 15 September 2023
-
RFC issued on CLO good practices
Market updates and sector developments
IOSCO has called for an improvement in practices in the leveraged loan market and is seeking feedback on a number of good practices it is proposing in connection with CLOs. The organisation notes that a “prolonged borrower-friendly environment” has impacted market practices, giving rise to covenant-lite leveraged loans, increased complexity of documentation and the aggressive use of EBITDA adjustments.
Market Moves 14 September 2023
-
Risk transfer round-up - 14 September
The week's CRT developments and deal news
Market news
M&G Investments’ latest Insights publication explores why now could be a good moment for patient investors to consider SRT transactions and why this opportunity could be short-lived, given the current economic cycle. The firm notes that in sterling terms, it has recently seen SRT transactions pay out coupons of 10% and higher returns.“With the generally fairly .......
News 14 September 2023