ABS
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Winding down
European ABS/MBS market update
The European ABS/MBS primary market appears to have begun winding down for year-end this week. With softening prices, macroeconomic concerns and the upcoming festive season, it seems that participants are already looking ahead to 2022.
“For me the year is already over,” says one ABS/MBS trader. “Most issuers have already come to market and the ABS market is .......
News 3 December 2021
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ESG countdown
ECB climate stress tests pending
The ECB’s pending climate stress tests are expected to offer some answers around the data and modelling challenges pertaining to the analysis of climate risks. Indeed, the stress tests could also prove definitive for ESG significant risk transfer issuance, given the presence of the same data challenges.
The two main challenges pertaining to the analysis of climate risks are data .......
News Analysis 3 December 2021
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Bosphorus CLOs transferred
Sector developments and company hires
Bosphorus CLOs transferred
Cross Ocean Adviser, an affiliate of Cross Ocean Partners Management, has assumed collateral management of the Bosphorus CLO IV, Bosphorus CLO V and Bosphorus CLO VI transactions from Commerzbank. Moody's has confirmed that the move will not impact its current ratings assigned to the affected notes. Under the terms of the associated novation, termination and amendment and .......
Market Moves 2 December 2021
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SRT chronicle: part three
In the final instalment of a three-part series on bank risk...
We have seen in part one of this series how far the SRT sector has developed in the past 10 years from a niche market with 10-12 transactions issued a year to a much larger and more diversified market. Barring a material downturn in the credit cycle, the SRT market should continue to enjoy strong growth in the next .......
Talking Point 2 December 2021
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RFC issued on ABS tax policies
Sector developments and company hires
RFC issued on ABS tax policies
Market Moves 1 December 2021
HMRC is seeking feedback on two draft statutory instruments: the Taxation of Securitisation Companies (Amendment) Regulations 2022 and the Securitisation Companies and Qualifying Transformer Vehicles (Exemption from Stamp Duties) Regulations 2022. The UK government consulted on making changes to clarify or reform certain aspects of the taxation of securitisation companies and the stamp duty .......
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GACS pair print
Mixed NPE pool debuts
A pair of Italian non-performing loan securitisations have closed over the past week that are expected to benefit from the GACS government guarantee (see SCI’s Euro ABS/MBS Deal Tracker). UniCredit has completed OLYMPIA SPV, its third GACS ABS and the fourth for the UniCredit Group, under its non-core portfolio disposal programme. Most recently, Iccrea Banca has finalised the .......
News 30 November 2021
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BWIC workgroup formed
Sector developments and company hires
Mortgage Industry Standards Maintenance Organization (MISMO) has formed a BWIC data development workgroup, with the aim of standardising the BWIC format to facilitate accuracy, liquidity and rapid pricing for MBS transactions. The initiative focuses on creating a standard format for MBS sellers to present BWIC data to security dealer desks. The workgroup intends to address the growing number of MBS .......
Market Moves 30 November 2021
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Restructurings eyed
Real estate and hospitality assets targeted
Arrow Global’s new corporate restructuring unit in Portugal is expected to focus on the real estate and hospitality sectors (SCI 25 November). The move comes as moratoria in the country draw to an end amid a scarcity of capital for local corporates.
The new business builds on Arrow Global’s experience and capabilities in Portugal through its Whitestar .......
News Analysis 30 November 2021
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Slowly widening
European ABS/MBS market update
With investors already looking ahead to 2022, the European ABS/MBS primary market is slowly thinning out. However, transactions were still well received this week, though macro concerns have started to make an impact.
“The market has generally been pretty steady,” notes one European ABS/MBS trader. “Naturally it is a little wider at the moment as we are quickly .......
News 26 November 2021
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Partial placement dropped
Montepio opts for full-stack SRT
Montepio Bank has finalised a full-stack significant risk transfer transaction backed by a €378.3m portfolio of Portuguese consumer and auto loans (see SCI’s Euro ABS/MBS Deal Tracker). Dubbed Pelican Finance Two, the deal is the bank’s first SRT sold to private investors. The lender initially considered a partially placed deal but switched to the typical full-stack form, given .......
News 26 November 2021
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SRT chronicle: part two
In the second of a three-part series on bank risk transfer t...
The SRT market is predominantly European (representing 86% of transactions since 2010), although US banks are accounting for an increasing percentage since 2019 - with JPMorgan now a regular issuer, one transaction by Goldman Sachs in 2020 and a few regional banks entering the market in 2021. Prior to 2019, only Citi and Bank of Montreal were regular issuers in .......
Talking Point 25 November 2021
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Advanzia advances
German credit card ABS debuts
European online lender Advanzia has closed its debut ABS transaction of over €475m in senior funding. The deal also represents the first securitisation backed by a German credit card portfolio.
"Advanzia continues to strengthen its position in the capital markets by demonstrating its ability to issue structured debt securities. This is a significant milestone for the bank, as .......
News 25 November 2021
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Upgrades anticipated after CMBS updates
Sector developments and company hires
Moody’s has updated three commercial real estate sector methodologies, following requests for comments on the proposals in July. The rating agency has placed a number of US CMBS tranches on review for upgrade as a result.
One of the updates is in connection with Moody's methodology for rating US and Canadian conduit/fusion CMBS, which replaces the version from September 2020. .......
Market Moves 22 November 2021
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Lower for longer?
SRTs to benefit from inflation
Significant risk transfer transactions are expected to receive a boost from anticipated interest rate rises, following increasing levels of inflation worldwide. Indeed, SRTs are floaters offering positive real returns, along with diversification and access to core bank lending books. However, investors remain cautious over the impact that significant increases in interest rates could have on growth.
If .......
News Analysis 18 November 2021
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Nascent asset class
Non-performing lease ABS tipped for growth
Issuance of ABS backed by Italian non-performing leases is expected to reach €1bn over the next year, partially driven by increased defaults following the expiry of payment holidays. Recent legal developments and GACS-eligibility of the assets should also facilitate securitisation activity.
“The recent market conditions and legal framework developments have facilitated non-performing lease securitisations. The key challenges for .......
News Analysis 18 November 2021
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SRT chronicle: part one
In the first of a three-part series on bank risk transfer tr...
The bank balance sheet securitisation market has enjoyed significant growth over the past five years and looks set to continue apace on the back of clearer regulation, an increasing number of banks having acquired the technology and economic incentives for banks to free up risk-weighted assets (RWAs) rather than raising capital. In this series of articles, we will use significant .......
Talking Point 18 November 2021
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FFELP follies
Debt servicer in the spotlight as default looms for $3bn SLABS
All eyes are on student loan servicer Navient after Fitch downgraded SLMA 2008-3 to D at the beginning of the month.
It is highly likely that more Federal Family Education Loan Program (FFELP) deals will meet the same fate and Navient must work out a strategy to cope with default on a large scale, say analysts.
The downgrade to SLMA 2008-3 occurred when .......
News Analysis 17 November 2021
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Dutch mortgage alliance expanded
Sector developments and company hires
Dutch mortgage alliance expanded
Market Moves 16 November 2021
Achmea Bank is set to acquire a €500m mortgage portfolio from Dutch insurer a.s.r., which will continue to manage the mortgages for Achmea Bank. The two organisations have expressed the intention to conduct additional transactions of €500m in both 2022 and 2023. In addition, Achmea Bank will acquire roughly €190m of newly originated mortgages from a.s.r. .......