ABS
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Seeking stability
Stimulus complicating SME SRT analysis
Coronavirus-related stimulus schemes are complicating the analysis of European SME significant risk transfer deals. While a small number of such transactions are being discussed with investors, the EIF’s involvement is anticipated for the vast majority of them – given that its mandate is to support the sector – until further clarity emerges regarding SME performance.
Prior to the .......
News Analysis 1 September 2020
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Risk transfer round-up - 28 August
CRT sector developments and deal news
BNP Paribas is rumoured to be prepping its fifth corporate capital relief trade from the Resonance programme, which is expected to close in 2H20. The French lender closed another corporate deal in September 2019 that is believed to be Resonance Four and inked Resonance Three in December 2018 (see SCI’s capital relief trades database).
....... News 28 August 2020
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CECL eligibility expanded
Sector developments and company hires
CECL eligibility expanded
Market Moves 28 August 2020
The FDIC, OCC and the US Fed have finalised a rule that allows institutions that adopt the current expected credit losses (CECL) accounting standard in 2020 to mitigate the estimated effects of CECL on regulatory capital for two years (SCI 31 March). Under the rule, eligible institutions have the option to mitigate the estimated capital effects .......
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Auto SRT prepped
Santander readies capital relief trade
Santander is marketing a full-stack auto significant risk transfer trade that references a €520m static portfolio of 49,547 Spanish secured auto loans. Dubbed Santander Consumer Spain Auto 2020-1, the transaction differs from previous auto SRTs due to more conservative levels of excess spread.
Rated by Scope and Moody’s, the transaction consists of €450m AA/Aa1 rated class A notes, .......
News 28 August 2020
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Doctrines disputed
MPL principles continue to be challenged
The ‘true lender’ and ‘valid when made’ doctrines of the marketplace lending industry continue to be disputed. While the state of Colorado last week reached a landmark settlement with online lenders Avant and Marlette, seven other states are challenging the FDIC and the OCC’s rulemaking in connection with these principles.
Henry Morriello, partner, head of structured finance and .......
News Analysis 27 August 2020
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Impairment posted
Write-down for Arrow, but collections improve
Arrow Global posted a £110.4m loss in 1H20 and a non-cash impairment equal to £133.6m, following a revaluation of its balance sheet after the Coronavirus crisis. However, non-performing loan collections have registered a positive trend since April as courts and real estate markets reopen. Indeed, Arrow is expected to return to profitability in 2H20.
The macroeconomic impact of .......
News 26 August 2020
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FDIC sued over Madden rule
Sector developments and company hires
FDIC sued over Madden rule
Market Moves 25 August 2020
The states of California, Illinois, Massachusetts, Minnesota, New Jersey, New York, North Carolina and the District of Columbia last week filed a lawsuit in the US District Court for the Northern District of California against the FDIC over its final rule clarifying that when state-chartered banks sell, assign or transfer a loan, an interest rate that .......
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Skilled nursing CMBS eyed
Sector developments and company hires
Skilled nursing CMBS eyed
Market Moves 24 August 2020
DBRS Morningstar is reviewing its ratings on the CSMC 2019-SKLZ, Greystone CRE 2018-HC1 and CHC 2019-CHC CMBS, which are secured primarily by skilled nursing facilities. The agency warns that in the coming months, nursing homes and their parent companies may face significant legal liability as a result of the high death toll at nursing homes during .......
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Car capital relief
JPM Chase tests the auto loan waters with new CRT deal
Investors and analysts have given a cautious welcome to the latest JP Morgan CRT deal - a $1.8bn auto loan securitization, which also marks the bank’s return to the auto loan sector market after an absence of 14 years.
The deal is being marketed at the moment. The loan pool consists of a prime retail auto loan portfolio consisting of 82,824 reference .......
News 21 August 2020
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Seasoned QMs proposed
Sector developments and company hires
Seasoned QMs proposed
Market Moves 20 August 2020
The CFPB has issued a notice of proposed rulemaking (NPRM) to create a new category of seasoned qualified mortgages, with the aim of encouraging innovation and to help ensure access to a responsible, affordable mortgage credit market. To be considered a seasoned QM under the proposal, loans would have to be first-lien, fixed-rate covered transactions that have .......
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Risk transfer round-up - 20 August
CRT sector developments and deal news
Banca Carige is rumoured to be readying a capital relief trade referencing corporate loans for 2H20. The transaction would be the Italian lender’s first significant risk transfer deal (see SCI’s capital relief trades database).
....... News 20 August 2020
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Mixed outlook
Divergent default performance highlighted
Second quarter corporate default data reveals a cluster of defaults around retail, services and the automotive sector as post-Covid negative outlooks for all three persist. However, the default landscape between the three segments shows some marked differences, with retail being hit the hardest.
According to Euler Hermes data, corporate defaults were clustered in the retail, services and .......
News 20 August 2020
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Special servicing assets transferred
Sector developments and company hires
Special servicing assets transferred
Market Moves 18 August 2020
The assignment of substantially all of the assets of C-III Asset Management to Greystone Servicing Company, pursuant to the applicable PSA associated with each of the C-III specially-serviced CMBS, is complete. The assignment includes 64 transactions rated by Moody's and 28 Moody's-rated US conduit CMBS that hold C-III specially-serviced companion loans, but excludes the non-C-III specially-serviced .......
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Hotels dominate special servicing transfers
Sector developments and company hires
Hotels dominate special servicing transfers
Market Moves 17 August 2020
During 1H20, 1,065 US CMBS loans totalling US$40.1bn (representing approximately 7% of total outstanding CMBS) transferred to special servicing, as CMBS borrowers continued to grapple with the economic impact of the coronavirus pandemic, according to Fitch. The vast majority of these transfers, more than 900 loans totalling US$35.5bn, occurred during 2Q20. In comparison, special servicers .......
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Maximum impact
Full deduction SRTs stage comeback
Supranational and private capital relief trade structures have had to be adjusted following the coronavirus fallout to address the impact of payment holidays on deal performance, according to SCI’s latest CRT Case Study. Both supranational and private investors have treated the issue with equal caution. However, full deduction significant risk transfer deals originated by standardised banks and solely backed .......
News Analysis 17 August 2020
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'Flip clause' complaint dismissed
Sector developments and company hires
‘Flip clause’ complaint dismissed
Market Moves 14 August 2020
The US Court of Appeals for the Second Circuit has ruled that investors should keep roughly US$1bn received from various Lehman Brothers affiliates after the bank’s 2008 bankruptcy filing triggered the liquidation of dozens of CDOs. The case centres on the Bankruptcy Code’s treatment of ‘flip clauses’ in a securitisation waterfall, which reprioritise cashflow upon bankruptcy and .......
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LLPA increase 'misguided'
Sector developments and company hires
LLPA increase ‘misguided’
Market Moves 13 August 2020
Fannie Mae and Freddie Mac are increasing the loan-level price adjustment (LLPA) by 50bp as an adverse market delivery charge on effectively all mortgage refinances, except for construction loans, with settlement dates after 1 September. In response to the move, the Mortgage Bankers Association states that the announcement “flies in the face of the Administration's recent executive .......
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Collections clarity
Payment arrangement ABS strengthened
New legislation (Law 14.031) has been introduced in Brazil regarding payment arrangements that govern payment services used by the public. The move is expected to have a positive impact on securitisations backed by receivables from these payment networks.
Federal Law 14.031, enacted on 28 July, clarifies that proceeds for settlements of obligations related to the final user of a payment .......
News 13 August 2020
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Hertz review reversed
Sector developments and company hires
Hertz review reversed
Market Moves 12 August 2020
Moody's has changed the direction of review for 11 tranches of rental car ABS issued by Hertz Vehicle Financing II (HVF II) to under review for upgrade from under review for downgrade. The action is prompted by: the recent court-approved order requiring Hertz to make lease payments and remit required vehicle sales proceeds (SCI 31 July), .......
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Piraeus taps HAPS
Sector developments and company hires
Piraeus taps HAPS
Market Moves 11 August 2020
Piraeus Bank has filed an application for inclusion of its Phoenix non-performing loan securitisation under the Hercules Asset Protection Scheme (HAPS). The total gross book value of the portfolio is €1.9bn, the majority of which relates to mortgage loans, and the application is in connection with a Greek state guarantee on senior notes with a total gross .......
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Problem solving
Paul Wilden, global head of capital markets at Apex Group, answers SCI's questions
Q: How is Apex Group involved in the securitisation market?
A: We provide a combination of SPV administration, trustee and agency services to a broad cross-section of asset classes. Our capital markets business is broadly sector agnostic.Q: What are the firm’s key areas of focus today?
Provider Profile 10 August 2020
A: Given the proliferation of private debt funds, one area where we add .......