ABS
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Revised expectations
Italian NPL business plans underperform
Italian NPL transaction collections are largely underperforming expectations, partly due to the impact of the pandemic, according to the latest data. Some 21 Italian NPL securitisation servicers have updated their business plan at least once and only two servicers have revised their latest gross collection expectations upwards, while ten trades have been downgraded due to a combination of Covid-related factors, .......
News 4 June 2021
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New moves
Rob McDonough, director of ESG and regulatory initiatives at...
1./Can you provide more detail on the framework you developed to quantify the deal’s social impact at the loan level?
The core strategy underpinning the formation of Angel Oak’s Non-QM mortgage lending operations in 2011 was to address the material social inequities caused by the tightening of mortgage underwriting standards under the Dodd-Frank Act and other legislation in the aftermath of the .......
The Structured Credit Interview 4 June 2021
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Positive prospects
Italian NPL ABS growth pending
Italy’s NPL market remained busy last year despite Covid-related uncertainty, and investor demand for Italian NPL sales and securitisations is expected to persist this year as the economy recovers.
Italian banks' non-performing loans (NPLs) fell to 4.1% of their gross loans in December 2020 from 6.7% a year earlier, down materially from a peak of 17% in 2015, according to .......
News Analysis 4 June 2021
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Risk transfer round up-3 June
CRT sector developments and deal news
Sabadell is believed to be prepping a capital relief trade backed by SME loans that is expected to close in 3Q21. The bank’s last significant risk transfer trade was finalized in June 2020 (see SCI’s capital relief trades database).
....... News 3 June 2021
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True lending truth
Senate vote to reject True Lender will not affect loan securitizations
Denounced as a brake upon consumer lending, the recent Senate vote to strike down the so-called ‘True Lender Rule’ is a storm in a teacup, say lawyers.
The rule had only become effective in December 2020 and had been the subject of state attorney general (AG) challenges from the outset, they point out. Moreover, the great bulk of loans that found their .......
News Analysis 28 May 2021
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ETL waiver requested following cyberattack
Sector developments and company hires
ETL waiver requested following cyberattack
Market Moves 28 May 2021
European truck lease provider Fraikin SAS was subject to a ransomware attack that started on 11 May. S&P notes that the credit quality of its two securitisations - FCT Eurotruck Lease II and FCT Eurotruck Lease III (ETL II and III) - is unlikely to be affected, providing the company can make a swift return .......
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Moving forward
Positive consumer sentiment emerging post-pandemic
As the European securitisation market moves beyond the coronavirus crisis, an overall positive picture appears to be emerging. However, the withdrawal of governmental support measures remains a risk for many jurisdictions in the region.
“As we came out of the financial crisis in 2009, lending was picking up, both net and gross levels. The pandemic hit and there .......
News 28 May 2021
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End of the line?
SRT issuers mull dropping synthetic excess spread
The requirement to fully capitalise synthetic excess spread is expected to result in SRT issuers dropping the feature from their transactions. This CRT Premium Content article weighs the relative benefits of synthetic securitisations versus those of full-stack cash deals, in which originators can use excess spread.
The EBA and the European Commission’s decision last year to fully capitalise synthetic ......
News Analysis 28 May 2021Premium Content
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Landmark SRTs finalised
Cash collateralised insurer deals debut
Credit Risk Transfer Solutions (CRTS) has executed three synthetic securitisations that have broken new ground in the market. Indeed, the firm has structured the first cash collateralised capital relief trades that involve insurer counterparties.
According to Andy Garston, director at CRTS: ‘’Most SRT deals require cash investors, which is problematic for insurers. But we now have a structure .......
News Analysis 27 May 2021
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Missed opportunity
ESA report disappoints on securitisation treatment
The recent European Supervisory Authorities (ESA) report on the implementation and functioning of the EU Securitisation Regulation (SCI 17 May) disappointed many in the industry, since it avoided tackling long-standing issues in the treatment of securitisations. In particular, the lack of a level playing field in terms of disclosure and due diligence remains a concern.
The ESA .......
News Analysis 27 May 2021
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Actuarial approach
Alphidem co-founder Ken Sutter outlines how the quantitative...
In light of the current regulatory and interest rate environment, it could be assumed that capital relief trades enjoy great popularity, even outside of the dedicated investor community. However, despite growth and positive market trends, the asset class still leads a niche existence and sticks to its esoteric label. This is even more astonishing considering that many alternative credit managers .......
Talking Point 25 May 2021
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CLO conflicts of interest eyed
Sector developments and company hires
CLO conflicts of interest eyed
Market Moves 24 May 2021
IOSCO has issued four questionnaires for industry participants on conduct risks in leveraged loans (LLs) and CLOs targeting bank lenders, CLO investors, CLO managers and LL sponsors. Through its Committee 3 on Regulation of Market Intermediaries and its Committee 5 on Investment Management, IOSCO is conducting work to understand the potential conflicts of interest and .......
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Climate risks disclosed
EBA publishes landmark banking study
The EBA has published the first EU-wide pilot exercise on climate risk for the banking sector. The exercise shows that over half of banks’ exposures are allocated to sectors that might be sensitive to climate transition risk. However, the study qualifies that limited data availability and reliability can affect results in terms of comparability.
The revised CRR/CRD .......
News 24 May 2021
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Strategic credit commitment inked
Sector developments and company hires
Strategic credit commitment inked
Market Moves 20 May 2021
The Investment Management Corporation of Ontario (IMCO) has closed a US$500m commitment with a new strategic partner, Ares Management Corporation. IMCO has allocated US$400m of the commitment to a fund of one structure and US$100m to Ares Pathfinder Fund, a flagship global alternative credit fund. Pathfinder pursues a differentiated strategy of providing tailored financial solutions for .......
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Data centre leverage 'inconsistent' with ratings
Sector developments and company hires
Data centre leverage ‘inconsistent’ with ratings
Market Moves 19 May 2021
A number of wholesale data centre securitisations issued in recent years carry elevated leverage that is inconsistent with the single-A rating category, Fitch suggests. The rating agency states that these transactions have weaker credit characteristics and substantially higher leverage multiples than other comparable digital real estate securitisations, such as wireless tower transactions, and higher .......
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Blue investable markets study underway
Sector developments and company hires
Blue investable markets study underway
The European Commission and the EIB Group have increased their cooperation to implement a new EU Sustainable Blue Economy policy. Under the agreement, both institutions will work jointly with EU Member States to meet financing needs to reduce pollution in European seas and support investment for blue innovation and blue bioeconomy.As such, the .......
Market Moves 18 May 2021
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Gaining momentum
European solar ABS issuance tipped to emerge
The development of a European solar ABS market is gaining momentum, with the first few securitisations potentially anticipated to emerge over the next 12-18 months. The first structures to market are expected to have many of the features observed on US solar transactions.
“We could envisage a situation where we would see the inaugural public transaction in the .......
News Analysis 18 May 2021
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Virtuous circle?
Bullish sentiment underpins securitisation opportunity
A strong rebound in global growth appears to be underpinning the opportunity in securitised credit, notwithstanding the ongoing impact of the coronavirus pandemic. As economic activity picks up and more collateral is available to be securitised, further supply should hit the market and generate increased interest from investors.
Sentiment in the securitisation market remains bullish, according to Mark .......
News 14 May 2021
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Lone Star rising
A soup to nuts profile of TCBI's inaugural CRT
It took Texas Capital Bank nine months to finalise its landmark capital relief trade, becoming the first US regional bank to tap the risk transfer market (SCI passim). This CRT Premium Content article tracks the deal’s progress from inception to launch.
When Texas Capital Bank began to contemplate issuing a capital relief trade in late spring of ......
News Analysis 13 May 2021Premium Content
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Asset managers partner on pensions initiative
Sector developments and company hires
Asset managers partner on pensions initiative
DWS has launched the DWS Secured Income Fund, aimed at small to medium-sized defined benefit pension plans seeking stable, long-term returns. The fund provides a diversified portfolio of secured income assets, including ABS and CLO bonds.Over half of UK defined benefit pension plans are in deficit, with insufficient assets to meet their .......
Market Moves 13 May 2021