ABS
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Secondary supply
Euro ABS trading set to dominate
European ABS secondary spreads have completed a three-quarter circle from their coronavirus-related spike in March, relative to their tightest levels observed in February. The market saw a notable rise in trading volumes, following the coronavirus shock, with secondary activity expected to dominate in the early part of 2021.
“There has been significant BWIC activity in the last few .......
News 22 December 2020
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Delayed defaults
German auto ABS support weighed
The assets underlying German auto ABS have remained resilient during the coronavirus pandemic. However, defaults are expected to emerge, once the impact of government support measures wears off.
Fitch reports that no German auto ABS tranches are currently on negative outlook or rating watch negative. Further, there has not been a significant increase in arrears or periodic defaults .......
News 18 December 2020
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Issuance forecasts lowered on TFSME extension
Sector developments and company hires
Issuance forecasts lowered on TFSME extension
The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.JPMorgan international ABS analysts expect eligible banks and .......
Market Moves 18 December 2020
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On the cards
2020 credit card spending low, suggesting slim ABS issuance to continue
News Analysis 17 December 2020
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Full stack resilience
Volumes down, but not out
Full-stack significant risk transfer deal volume declined this year amid the Covid-19 fallout. Nevertheless, transactions have shown resilience in terms of performance.
Full-stack SRT transactions have a smaller range in terms of size - of between €500m to €1bn – compared to synthetic securitisations. Andrea Modolo, md at UniCredit, says: “Generally, synthetic transactions are around €2bn and this .......
News Analysis 17 December 2020
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Improving sentiment
Opportunities rebound in aircraft ABS market
Aircraft ABS secondary market activity all but dried up with the onset of Covid-19, until trading began picking up in September and October. At the same time, investors with capital began sourcing higher yielding opportunities in the sector.
Some aircraft ABS class A notes that were trading in the low-70s in April and May are now trading in .......
News Analysis 17 December 2020
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CLO manager transfers accelerate overlap
Sector developments and company hires
CLO manager transfers accelerate overlap
When managers acquire CLOs, the underlying portfolios become more like the existing portfolios of the acquiring manager, according to a new report from Fitch.During 2020, Fitch noted four CLO contract changes, two platform sales and two ownership changes. The contract sales this year were Crestline Denali’s sale of CLO management contracts to Ares .......
Market Moves 16 December 2020
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Call for further improvement
'Unambitious' NPL strategy launched
The European Commission has published a strategy that aims to prevent a build-up of non-performing loans across the EU banking sector, as a result of the coronavirus crisis. The proposals build upon a set of previously implemented measures, but have been criticised for not providing for an improved NPL securitisation framework.
Michael Lever, md, prudential at AFME, describes .......
News 16 December 2020
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Leasing debut
NPL ABS expected to benefit from GACS
UniCredit Leasing has completed the first Italian non-performing loan securitisation backed by lease receivables that is expected to benefit from a GACS guarantee. Dubbed Relais SPV, the transaction is secured by real estate financial lease agreements with a gross claim amount of €1.58bn, as of 31 March 2020.
The issuer acquired the portfolio at the transfer date of .......
News 14 December 2020
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CLO liquidity complexity examined
Sector developments and company hires
CLO liquidity complexity examined
CLO secondary market activity is booming across the board, but the underlying liquidity picture is a complex one, according to a new report by JPMorgan CLO research analysts.CLO BWIC trading volume has already reached an all-time annual high in 2020 at US$48.1bn for the US and €11.7bn for Europe, the JPMorgan report says. However, it adds .......
Market Moves 11 December 2020
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Finish line
Trilogue agreement finalised
Negotiators from the European Parliament’s Economic and Monetary Affairs Committee (ECON) have reached an agreement with the European Council on targeted changes to the securitisation regulation and the CRR, with respect to the creation of an STS synthetics framework and changes pertaining to non-performing loan securitisations. The final text has not yet been disclosed, although official sources have confirmed .......
News 11 December 2020
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NPL momentum
Call for specific securitisation framework
Regulatory support for the non-performing loan securitisation market has coalesced over the last few weeks, with the publication of the Basel Committee’s technical amendment (SCI 27 November) and Wednesday’s announcement that the European Parliament’s Economic and Monetary Affairs Committee and the European Council have reached an agreement regarding the targeted changes to the securitisation rules and the CRR .......
News Analysis 11 December 2020
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Disclosure charges settled
Sector developments and company hires
Disclosure charges settled
Market Moves 9 December 2020
BlueCrest Capital Management has agreed to pay US$170m to settle US SEC charges concerning inadequate disclosures, material misstatements and misleading omissions. These charges concern the firm’s transfer of top traders from its flagship client fund, BlueCrest Capital International (BCI), to BSMA Limited, a proprietary fund, and replacement of those traders with an underperforming algorithm. The SEC’s order .......
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ESN debate
Could structures cannibalise true sale ABS?
The European Parliament recently called for legislation to establish European Secured Notes (ESNs) to facilitate SME funding. The EBA is also supportive of an ESN funding option, alongside traditional covered bonds, but there are concerns about the potential for the instrument to eclipse true sale securitisation issuance.
“ESNs are touted as dual-recourse instruments and are expected to largely .......
News Analysis 9 December 2020