ABS
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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, .......
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Collection boost?
NPL sales increase pending amid uncertain timing
European non-performing loan sales are expected to receive a boost this year, due to higher unemployment and the impact of reduced government support measures on corporates. However, the timing remains uncertain and large-scale sales could be delayed to 2022 in a downside scenario.
According to Fitch, following the initial impact of the pandemic in 2Q20 and to some .......
News 8 April 2021
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Positive prospects
Margin loan CRTs on the agenda
Credit Suisse is expected to close a capital relief trade referencing Asian margin loans this quarter (SCI 15 March), with further such transactions anticipated amid rising current and future IPO issuance. Although senior management and regulators remain to be convinced, synthetic securitisations appear firmly on the agenda as a tool for managing the capital impact of an increase .......
News Analysis 8 April 2021
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GACS NPL ABS performance eyed
Sector developments and company hires
GACS NPL ABS performance eyed
Market Moves 7 April 2021
A sum of eight new GACS non-performing loan securitisations priced in late 2020, with a cumulative balance of €3.4bn (securitising a cumulative original GBV of €13.4bn of NPLs), according to JPMorgan’s latest Italian NPL Performance Tracker report. Including these transactions, Italian NPL ABS issuance has risen to €22.1bn across 38 deals (including three non-GACS transactions), .......
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Running on fumes
New auto ABS emissions scoring gives concrete ESG evidence
KBRA’s pioneering effort to produce vehicle greenhouse gas (GHG) scores for 184 auto-loan securitizations from 22 different issuers reflects the growing demand from investors for more granular ESG data, says the rating agency.
It spent four weeks mapping the Environmental Protection Agency’s (EPA) GHG rating for each vehicle against every auto loan securitization for which sufficient loan level data exists and then .......
News 1 April 2021
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ESG endeavours
Social bonds gaining traction
Yorkshire Building Society’s recent Brass 10 RMBS marked the second social bond to hit the UK securitisation market, following Kensington’s social RMBS from February (SCI 3 February). While a ‘greenium’ has emerged for deals categorised as green, the trajectory for social bonds appears to be more nuanced, however.
“The mortgages backing the YBS deal will form part .......
News Analysis 1 April 2021
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Follow-up funding for Raiffeisen-Leasing
Sector developments and company hires
Follow-up funding for Raiffeisen-Leasing
The EIB Group has provided €200m funding to Raiffeisen-Leasing Austria via a true sale securitisation dubbed ROOF AT. The transaction’s €462.8m triple-A rated class A notes were preplaced with EIB (which subscribed to €150m) and EIF (€50m), as well as other market funding partners. Raiffeisen-Leasing Group subscribed to the €75m class B notes.The €538m .......
Market Moves 31 March 2021
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Show me the money
Debut US regional bank CRT yields too thin for traditional buyers
Traditional capital relief trade buyers would not have been attracted to the recent Texas Capital Bank deal, as the yield was insufficiently alluring, say investors.
“Libor plus 400bp is too low; we’re looking at an absolute return of 8%-12%. We’d have to use leverage to get it up to those levels and we don’t do that. This .......
News Analysis 29 March 2021
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Equity return boost touted
Sector developments and company hires
Equity return boost touted
US CLO equity is poised to deliver double-digit returns to investors this year, paring back the underperformance seen over the past four years, according to new research from Bank of America.Analysts at the bank base their expectations on the fact that CLO equity market prices continue to lag, despite CLO NAV and interest distributions .......
Market Moves 29 March 2021
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Flexible financing
Alternative auto ABS structures eyed
Due to the digitalisation of the auto finance industry, many buyers of vehicles are able to start and complete their purchases online, which is driving a switch from vehicle ownership to usage. Accelerated by the impact of the coronavirus pandemic, these changes could pave the way for alternative structural features in auto ABS.
New auto finance products have .......
News Analysis 26 March 2021
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CLO pricing service selected
Sector developments and company hires
CLO pricing service selected
SCI Valuations has been selected by Bloomberg’s Enterprise Data business to provide daily CLO debt pricing to integrate with Bloomberg’s Liquidity Assessment (LQA) tool. The integration of this data with LQA will enable Bloomberg customers to more effectively and easily view and manage their portfolios, the companies say.SCI Valuations provides automated valuations for US .......
Market Moves 25 March 2021
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Corporate failures
Default study sheds light on governance
Governance failures have been shown to be a contributing factor in a large percentage of corporate defaults, according to a new study. Nevertheless, economic downturns remain the driving factor for most defaults.
According to a new Fitch study, economic downturns are the driving factor for most corporate defaults. However, in the observed period, weaknesses in governance were also .......
News 25 March 2021
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Securitisation tax consultation underway
Sector developments and company hires
Securitisation tax consultation underway
The UK HMRC has launched a consultation seeking views on the taxation of securitisation companies. The UK government says it has identified - through ongoing dialogue with the industry - areas where it may be beneficial to make changes to such tax regulations and is therefore keen to explore the associated benefits and potential difficulties.Market Moves 24 March 2021
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Red Cross in humanitarian cat bond first
Sector developments and company hires
Red Cross in humanitarian cat bond first
Market Moves 23 March 2021
The first-ever humanitarian catastrophe bond covering pure volcanic eruption risk has been completed using a Guernsey ILS structure. Sponsored by the Danish Red Cross, the US$3m issuance was privately placed by Replexus and Howden Capital Markets via Dunant Re IC, an incorporated cell of Replexus ICC (Guernsey), which is managed in Guernsey by .......
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CLO fallback language reviewed
Sector developments and company hires
CLO fallback language reviewed
S&P has reviewed the indentures of the 870 CLOs it rates to assess Libor fallback language governing a transaction's liabilities. The majority (76%) of its rated CLO transactions closed between 2018 and 2020.ARRC-like fallback language can be found in 26% of the agency’s overall transactions, including 76% of the transactions that closed in 2020. .......
Market Moves 22 March 2021