ABS
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Risk transfer round-up - 27 April
CRT sector developments and deal news
Credit Suisse has redeemed and delisted two Magnolia Finance Five transactions. Magnolia Finance Five Series 2017-1 is a US$400m CLN that matures in 2024. The other transaction, dubbed Magnolia Finance Five series 2017-2, is a US$75m CLN that matures in 2025.
....... News 27 April 2021
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Downgrades for 'lower quality' mall CMBS
Sector developments and company hires
Downgrades for ‘lower quality’ mall CMBS
Market Moves 26 April 2021
Moody's has downgraded 119 principal and interest, 26 interest-only and 11 exchangeable classes from 36 US CMBS and placed eleven P&I, one exchangeable and three IO classes under review for possible downgrade from a further two CMBS. The rating actions affect approximately US$6.2bn of securities and were prompted primarily by increased loss expectations and .......
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Uncertainty highlighted
UK banks unclear on project finance slotting
The application of the slotting approach to synthetic securitisations referencing project finance assets remains unclear. The other option for UK banks is ratings, but that approach is accompanied by its own challenges.
According to Steve Gandy, head of private debt mobilisation, notes and structuring at Santander Corporate and Investment Banking: ‘’The PRA has stated publicly that it .......
News Analysis 23 April 2021
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Climate concerns
KBRA md Peter Giacone and Nephila Climate structured finance...
PG: How does the insurance industry fit into the ESG discussion and where do you see touch points within the Nephila Climate universe?
Talking Point 22 April 2021
AW: The evaluation of climate risk, a key aspect of the ‘Environmental’ factor, is a core capacity and it is what we do every day. In terms of the ‘Social’ element, the obvious thing is that insurance .......
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Bottoming out
EU NPL ratios improve
Despite the significant decline in economic activity since the coronavirus outbreak, European banks are not at this point facing an asset-quality shock, according to the latest analysis. Non-performing loan ratios have improved and, indeed, they are expected to bottom out in 2021.
According to Scope Ratings estimates and EBA data, the EU NPL ratio declined from around 3% .......
News 22 April 2021
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Forbearance SPV availability ends
Sector developments and company hires
Forbearance SPV availability ends
The Australian Office of Financial Management has released an update on its Structured Finance Support Fund (SFSF) activities. As of 31 March 2021, total funds committed by the SFSF were A$3.8bn, including A$1.36bn public market investments and circa A$2.3bn across 45 individual warehouses sponsored by 34 eligible lenders.The AOFM notes that public securitisation market .......
Market Moves 21 April 2021
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Blockchain mortgage 'ecosystem' prepped
Sector developments and company hires
Blockchain mortgage ‘ecosystem’ prepped
Market Moves 20 April 2021
Liquid Mortgage has raised capital from and entered into a strategic partnership with Redwood Trust, marking the culmination of a months-long engagement, in which Redwood Trust tested Liquid Mortgage's technology and developed an actionable strategy to build a future-ready mortgage ecosystem. The partners share a common mission of utilising blockchain technology within the current market infrastructure, .......
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RWA boost
ECB reveals TRIM findings
The ECB has published the findings from its targeted review of internal models (TRIM). The exercise has resulted in a 12% RWA boost and confirmed the continued use of internal models, but for a certain number of models, restrictions or modifications in their use was considered appropriate to cover the underlying risk.
The TRIM exercise aims to reduce .......
News Analysis 20 April 2021
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Regional resilience
Structural enhancements for debut aircraft ABS
Falko Regional Aircraft has priced its debut aircraft ABS, marking the first post-pandemic securitisation to be exclusively backed by regional aircraft assets. Dubbed Regional 2021-1, the deal includes new structural features designed to address market concerns resulting from the adverse impact of Covid-19 on the aviation sector.
“The regional aircraft segment has demonstrated resilience in the last year, .......
News 19 April 2021
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Federal preemption challenges continue
Sector developments and company hires
Federal preemption challenges continue
Market Moves 15 April 2021
Two US courts have heard actions that are of significance to marketplace lenders and their funding sources so far this month, Chapman and Cutler reports. In Maryland, a state regulatory action purporting to require licensing of a sponsor bank and its fintech service providers has been removed to federal court. Conversely, a California federal court has dismissed .......
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Shifting trends
Differing ESG impacts on credit quality considered
ESG considerations pose higher credit risk to certain securitisation asset classes and certain global regions, with evolving regulations and shifting consumer demand exposing transactions to potential declines in asset values or cashflow. Nevertheless, structural features, short loan tenors and asset diversification can help minimise such credit negative effects.
ESG credit considerations include a broad range of qualitative and .......
News 15 April 2021
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Income opportunities
Clayton Triick, CFA, senior portfolio manager at Angel Oak Capital Advisors, answers SCI's questions
Q: How and when did you become involved in the securitisation market?
A: Angel Oak Capital Advisors has a long history within the US securitised markets. Originally as a distressed credit investor during the global financial crisis, Angel Oak was able to invest capital targeting deeply discounted private-label RMBS.As markets continued to improve over the subsequent decade, we .......
The Structured Credit Interview 14 April 2021
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Green auto feasibility assessments underway
Sector developments and company hires
Green auto feasibility assessments underway
Market Moves 13 April 2021
CO2 emissions data reporting by auto loan lenders is likely to be crucial to classifying auto loan securitisations as ‘sustainable’ or ‘green’, in order to tap demand from ESG-oriented investors, Fitch says. However, the rating agency notes that discussions with lenders imply that creating the basis for detailed CO2 emissions reporting is challenging, as the .......
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Benchmark issuance
PPC finalises NPL ABS
Greece’s Public Power Corporation (PCC) has finalised a €325m non-performing loan securitisation backed by 90 days past due receivables. Such a benchmark transaction is highly unusual for a corporate entity and paves the way for future NPL ABS to be issued in Greece.
The landmark transaction has a total duration of five years and includes a two-year replenishment .......
News 13 April 2021
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Consumer warriors
Setback for CFPB, but warning shots at securitization market fired
The March 26 dismissal of a lawsuit brought by the Consumer Financial Protection Bureau (CFPB) against a student loan trust is good news for the securitization market, but may be only the first skirmish between it and a more bellicose CFPB.
In fact, the manner in which CFPB appears to interpret elements of the 2010 Dodd-Frank Act now means that the structured .......
News Analysis 12 April 2021
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Servicing hitch
Italian NPL ABS collections drop
Median gross collections for Italian non-performing loan securitisations in 2020 were 21% lower, compared to 2019, according to the latest estimates. The situation is further complicated due to a ban on evictions that will slow cashflows for some months. However, note sales could partially compensate for delays in judicial recoveries (SCI passim).
Starting over a year ago, European .......
News 12 April 2021
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Inclusive approach
ABCP to facilitate sustainable asset transition
An inclusive approach to transitioning assets is considered crucial to developing a functioning ESG securitisation market. In this context, ABCP is expected to play an active role in financing the move towards a low-carbon economy.
A recent AFME discussion paper - entitled ‘ESG Disclosure and Diligence Practices for the European Securitisation Market’ – notes that two elements are important for .......
News Analysis 9 April 2021
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Non-resident Aussie RMBS debuts
Sector developments and company hires
Non-resident Aussie RMBS debuts
Market Moves 8 April 2021
Brighten Home Loan is readying its inaugural RMBS - the A$250m Solaris Trust 2021-1 – which is backed by loans predominantly to non-Australian resident borrowers. S&P notes that the portfolio is not only exposed to macroeconomic events and policies that affect Australia, but also to events and policies that affect the borrowers’ countries of residence. Consequently, .......