ABS

  • 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?
    A: Given the proliferation of private debt funds, one area where we add .......

    Provider Profile 10 August 2020

  • Alternative CLO ETF announced

    Sector developments and company hires

    Alternative CLO ETF announced
    Alternative Access Funds (AAF) has announced the registration of its new AAF First Priority CLO Bond ETF, which is scheduled to become effective on 14 August and - if all approvals and launch objectives are met - begin trading in early September under the ticker ‘AAA’. The new ETF will focus its investments in US dollar-denominated .......

    Market Moves 7 August 2020

  • CPIH calculation

    Inflation index switch to support ICSL ABS

    The UK government intends to align the RPI with the CPIH index within the next five to 10 years. Scenario analysis conducted by Fitch suggests that the move could improve repayment volumes and reduce asset risk in UK income contingent student loan (ICSL) securitisations.

    Since the financial crisis, the basis of RPI over CPIH is considered to have .......

    News 7 August 2020

  • Greek momentum

    Alpha applies for HAPS guarantee

    Alpha Bank has applied for a guarantee from the Hercules Asset Protection Scheme (HAPS) for two non-performing loan securitisations from its Project Galaxy programme (SCI 29 May). As such, it has become the second Greek bank to utilise the HAPS guarantee as momentum in the Greek NPL ABS market builds.

    The Greek lender revealed the project in .......

    News 6 August 2020

  • Asset-backed attenuation

    Stricter underwriting in auto, credit card and home loan markets means fewer ABS deals

    Underwriting standards in auto loans, mortgages and credit cards have tightened significantly in the last quarter, according to the latest Senior Loan Officer Opinion Survey (SLOOS), suggesting that lower asset balances mean lower securitization volumes in the remainder of 2020 and into 2021.

    This is particularly true of the credit card securitization market, suggests Warren Kornfeld, senior vice president at Moody’s.  “We .......

    News Analysis 5 August 2020

  • Middle market JV agreed

    Sector developments and company hires

    Middle market JV agreed
    PennantPark Investment Corporation (PNNT) has formed a joint venture with the private credit investment business of Pantheon to create PennantPark Senior Loan Fund I (PSLF). The strategic transaction seeks to enable PennantPark to leverage its middle-market lending capabilities and capitalise on compelling senior loan opportunities amid historic market volatility. Pantheon has invested US$35m in capital to .......

    Market Moves 5 August 2020

  • NPL trade inked

    Bank of Cyprus finalises Helix Two

    Bank of Cyprus has sold a €916m - in gross book value terms - non-performing loan portfolio of retail and SME assets to PIMCO. Dubbed Project Helix Two, the pool is smaller than initially expected due to the Coronavirus fallout – although, following the execution of this trade, further NPL transactions by Bank of Cyprus are anticipated.

    According .......

    News 5 August 2020

  • MM CLO test failures rise

    Sector developments and company hires

    MM CLO test failures rise
    The continued deterioration in credit quality of issuers due to the coronavirus pandemic resulted in a large number of US middle market CLOs failing a variety of tests for the first time in 2Q20, according to Fitch’s latest report on the sector. Of the 58 MM CLOs covered in the report, 23 failed at least one .......

    Market Moves 4 August 2020

  • Euro CLO equity edges ahead

    Sector developments and company hires

    Euro CLO equity edges ahead
    European CLO equity cashflow returns average 9.3% year-to-date and - as all CLOs in reinvestment are currently paying - the full-year 2020 cashflow return is likely to be low-teens, according to a new report from JPMorgan CLO research analysts. As such, European equity pieces have edged ahead of their US counterparts, currently returning 8% year-to-date .......

    Market Moves 3 August 2020

  • Nuanced approach

    Call for clarity in defining ESG

    A nuanced approach to ESG considerations is emerging within the securitisation market. Nevertheless, the Covid-19 pandemic has put social and governance factors in the spotlight.

    Anuj Babber, head of ABS research at M&G Investments, says: “The securitisation industry is at the infancy of incorporating ESG considerations into its credit and investment decisions. What we are seeing is that .......

    News 3 August 2020

  • GSE results improve

    Sector developments and company hires

    GSE results improve
    Both Fannie Mae and Freddie Mac have reported sharply improved Q2 results, despite the ongoing housing market dislocation as a result of Covid-19. Fannie Mae said net comprehensive income was US$2.53bn, compared to US$476m in Q1, while Freddie Mac had income of US$1.94bn compared to US$620m in Q1. Both GSEs had much lower than usual profits in .......

    Market Moves 31 July 2020

  • Risk transfer round-up - 31 July

    CRT sector developments and deal news

    Caixabank is rumoured to be readying a capital relief trade backed by consumer loans for 2H20. The lender’s last significant risk transfer trade was finalised in May 2019 and was called Gaudi Synthetic Three (see SCI’s capital relief trades database).

    .......

    News 31 July 2020

  • Recovery vehicle

    European securitisation 'fixes' on the cards?

    The securitisation-related measures included in the European Commission’s capital markets recovery package have been welcomed for, among other things, removing the uncertainty regarding the EBA’s reluctance to recommend recalibrating the CRR for STS synthetics (SCI 24 July). However, the move could potentially also signal policymakers’ willingness to address the remaining securitisation ‘fixes’ that the industry has been calling .......

    News Analysis 31 July 2020

  • Execution risks?

    Hertz performance metrics improving

    Although Hertz Corporation’s interim settlement with investors holding Hertz Vehicle Financing II ABS notes (SCI 27 July) is “a step in the right direction”, Fitch believes the company still faces notable execution risks, due to ongoing coronavirus impact on the rental car sector and a challenging operating environment. The settlement consequently has no impact on the agency’s ratings .......

    News 31 July 2020

  • AGs fight Madden rule

    Sector developments and company hires

    AGs fight Madden rule
    The attorneys general of California, Illinois and New York have filed a suit against the OCC’s ‘valid when made’ rule (SCI 1 June), which they claim would allow the federal government to pre-empt state usury laws and allow third-party entities “to prey on vulnerable” borrowers. The AGs note that the ability to pre-empt state usury .......

    Market Moves 30 July 2020

  • Blockchain boost

    DLT opportunity for ABS market

    Coronavirus-related concerns are boosting the use of technology within the securitisation market. Blockchain is one area that is benefiting from this trend.

    John Evans, Vanguard’s head of blockchain strategy, says: “One area we feel that there is a good opportunity to modernise the plumbing of the markets is in the securitisation market, and ABS is a good example .......

    News Analysis 30 July 2020

  • CLO ETF prepped

    Sector developments and company hires

    CLO ETF prepped
    Janus Henderson Investors has filed a preliminary registration statement with the US SEC in connection with the Janus Henderson AAA CLO ETF (JAAA), which is expected to launch on 22 October and will be offered to US investors. The fund will be managed by portfolio managers John Kerschner and Nick Childs, while Jessica Shill will serve as .......

    Market Moves 29 July 2020

  • SRT boost

    BMO launches capital relief trade

    Bank of Montreal (BMO) has completed a five-year financial guarantee that references US and Canadian senior secured and senior unsecured corporate loans. Dubbed Manitoulin Muskoka series 2020-2, the transaction is the bank’s third significant risk transfer deal this year. All three trades bring BMO’s total SRT tranche notional issuance so far in 2020 to US$494m, the Canadian lender’s largest .......

    News 29 July 2020

  • ILS issuance remains resilient

    Sector developments and company hires

    ILS issuance remains resilient
    US$2.8bn of property catastrophe bond limit was placed in 2Q20, bringing the total issued year-to-date to US$6.5bn, according to Aon Securities’ latest ILS Update report. In comparison, 2019 saw a total of US$5.4bn in property cat bond limit placed for the entire year. The total amount of property cat bonds outstanding is marginally down on 2019 .......

    Market Moves 28 July 2020

  • CLO equity defies predictions

    Sector developments and company hires

    CLO equity defies predictions
    US CLO equity cashflow performance is defying pessimistic predictions, according to a new report from JPMorgan CLO research analysts. As of 23 July reporting, US CLO equity on average paid 8% cashflow year to date (based on 842 tranches or circa 70% of the universe) and the report estimates 89% of equity is paying, compared to .......

    Market Moves 27 July 2020

  • 'Switch' success

    Aussie non-bank issuance on the rise

    The Australian securitisation market has seen a rise in non-bank issuance post-coronavirus. Such activity has benefited from an adjustment to the AOFM’s Structured Finance Support Fund (SFSF) that funnelled secondary sellers into new primary deals.

    Martin Jacques, director, head of securitisation and covered bond strategy at Westpac Institutional Bank, says: “Since the onset of the pandemic, all of .......

    News Analysis 27 July 2020
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