ABS
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Collections conundrum
Italian NPL ABS amortisation eyed
The number of Italian non-performing loan securitisations with lagging collections is set to rise to 17 by 1Q21, Scope predicts. If the slowdown continues, the average time for deals to amortise will exceed 10 years, according to the agency’s NPL Dynamic Coverage Index.
The index is based on the median of the net yearly proceeds by outstanding liabilities .......
News 4 December 2020
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Pre-pandemic trends persist for US CLOs
Sector developments and company hires
Pre-pandemic trends persist for US CLOs
Market Moves 2 December 2020
Pre-pandemic trends in US leveraged lending - including high leverage, weak covenants and declining recoveries - resumed by 3Q20 and should continue into 2021, absent a renewed downturn, according to Moody’s. Consequently, the agency expects that in 2021 US CLOs will include structural features for maintaining loan workout and trading flexibility to help manage .......
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Test case
JPMorgan CRT details revealed
Further details have emerged in connection with a corporate capital relief trade that was completed last month between JPMorgan and PGGM and Alecta (SCI 27 November). The transaction was motivated less by capital needs, given the US lender’s strong capital position, but more from a desire to test the trade from an efficiency standpoint.
The cash collateralised deal references .......
News 1 December 2020
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NPL ABS capital treatment amended
Sector developments and company hires
NPL ABS capital treatment amended
The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. The rule aims to close a gap in the Basel framework by setting out prudent and risk-sensitive capital requirements for NPL ABS.The Committee consulted publicly on the technical amendment during the summer (SCI 24 .......
Market Moves 27 November 2020
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Excess spread harmonised
EBA's SRT recommendations released
The EBA’s long-awaited final report on significant risk transfer details a set of recommendations to the European Commission regarding the harmonisation of practices and processes applicable to the assessment of SRT transactions (SCI 23 November). Most notably, the report harmonises the regulatory treatment of excess spread, ending a three-year uncertainty over the use of the structural feature in .......
News Analysis 27 November 2020
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Offshore demand
Chinese securitisation continues to gain traction
A growing number of Chinese securitisation issuers are attempting to tap offshore investors, the most recent being China Merchants Bank, with its RMB4.75bn Zhaoyin HeJia 2002-5 RMBS. In the next few quarters, it is expected that offshore investors will have a wider variety of asset types available.
Jerry Fang, senior director and analytical manager for North Asia .......
News Analysis 27 November 2020
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Jumbo BDC merger agreed
Sector developments and company hires
Jumbo BDC merger agreed
Market Moves 26 November 2020
FS/KKR Advisor, a partnership between FS Investments and KKR Credit Advisors (US), has announced that FS KKR Capital Corp and FS KKR Capital Corp II - two publicly traded BDCs advised by FS/KKR - have entered into a definitive merger agreement. The merger will create one of the largest BDCs in the US, with US$14.9bn in .......
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Bridge financing inked
Hertz set to re-fleet under bankruptcy emergence plan
Hertz Corporation, in conjunction with affiliates of Apollo Capital Management, has established an interim fleet financing programme to provide up to US$4bn of ABS bridge financing. Dubbed Hertz Vehicle Interim Financing Series 2020-1, the delayed draw note issuance will allow Hertz to ‘re-fleet’ as part of its bankruptcy emergence plan, prior to establishing a longer-term ABS financing programme next .......
News 26 November 2020
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UK STS notification portal launched
Sector developments and company hires
UK STS notification portal launched
Market Moves 24 November 2020
The UK FCA has launched its new STS notification platform, with the aim of allowing UK securitisation originators and sponsors to ‘pre-populate’ the STS list in anticipation of the end of the Brexit transition period on 31 December. The FCA states that during the transition period, UK firms should continue to notify ESMA where a .......
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Restructuring boost
Project Galaxy portfolio acquired
Alpha Bank has selected US investment fund Davidson Kempner as its preferred bidder over PIMCO for its Project Galaxy portfolio. The €10.8bn pool includes the disposal of the bank’s servicing unit Cepal and is expected to clear the way for further non-performing loan restructurings (SCI 3 June).
The Greek lender launched the bidding process this year, drawing interest from .......
News 24 November 2020
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EBA SRT report released
Sector developments and company hires
EBA SRT report released
Market Moves 23 November 2020
The EBA has published its long-awaited report on significant risk transfer in securitisations, which includes a set of detailed recommendations to the European Commission on the harmonisation of practices and processes applicable to the SRT assessment. The EBA proposals aim to enhance the efficiency, consistency and predictability of the supervisory SRT assessment within the current securitisation .......
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Generation change?
Investor, issuer ESG engagement surveyed
The vast majority (81%) of ABS issuers polled in a recent Structured Finance Association survey currently incorporate ESG in their overall business operations, with 73% doing so in their asset origination and underwriting practices. The survey assesses the extent ESG principles are incorporated at both the enterprise level and at the structured finance business unit level.
Michael Bright, .......
News 23 November 2020
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Highland trio launch new firm
Sector developments and company hires
Highland trio launch new firm
Market Moves 20 November 2020
Ex-Highland Capital Management executives Mark Okada, Jack Yang and Trey Parker have launched Sycamore Tree Capital Partners, an asset management firm specialising in private and alternative credit. Okada will serve as ceo, Yang will serve as president and head of business development, and Parker will serve as cio. John Muse and Ken Hersh are strategic .......
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Greek synthetics eyed
Alantra targets CRTs, new jurisdictions
Alantra has evolved to become one of the premier players in the non-performing loan markets by utilising a combination of services, including credit portfolio advisory and asset management. However, following the recent hiring of Francesco Dissera (SCI 3 November), the arranger is now eyeing capital relief trades, including in the currently untapped Greek market.
Alantra’s services .......
News Analysis 20 November 2020
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Positive outlook
DoValue signs NPL MoU
DoValue has signed a memorandum of understanding with Bain Capital Credit for the exclusive management of a portfolio of non-performing loans originated in Cyprus for a total claim of approximately €650m. Following this agreement, the total volume of servicing mandates won by doValue in Southern Europe so far this year has reached €9.3bn. The latter is in line with .......
News 20 November 2020
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Democrats and CRT
Banks, GSEs eye Washington for policy clues
It is, probably, a reasonable assumption that US President-elect Joe Biden has never given a second thought to credit risk transfer mechanisms. But for this market and particularly the GSEs, the new administration represents a sea-change in philosophy and policy.
The potential extent of any legislative innovation depends, firstly, on whether the Senate will approve or block action .......
News Analysis 19 November 2020
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APAC capital advisory formed
Sector developments and company hires
APAC capital advisory formed
Aon has launched an Asia Pacific Capital Advisory unit to deliver a holistic approach to capital optimisation for re/insurers. The initiative follows Aon’s launch of similar units in the UK and US.At the same time, actuary Seewon Oh has joined the unit from Smartkarma Innovations, where she was an analyst researching the insurance sector across Asia Pacific. .......
Market Moves 18 November 2020
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CRE data initiative launched
Sector developments and company hires
CRE data initiative launched
Market Moves 17 November 2020
Moody's Analytics has formed a new partnership with The Business School (formerly Cass) at City, University of London, to build a database of loan-level commercial real estate information covering the UK and Europe. The initiative will extend The Business School's UK CRE lending survey under the Moody’s Analytics Data Alliance framework. By participating in this initiative, lenders .......
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