ABS

  • Subprime auto performance eyed

    Sector developments and company hires

    Subprime auto performance eyed
    Davis & Gilbert’s latest Credit Chronometer subprime auto study indicates that Covid-era market participants generally believe that the most reliable indicator of a subprime auto securitisation’s success is its projected performance - and they hold this belief even more strongly than in the past. The survey suggests that since 2019, the importance of credit ratings as a .......

    Market Moves 25 June 2020

  • RFC issued on NPL ABS treatment

    Sector developments and company hires

    RFC on NPL ABS treatment
    The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. This proposal, which the Committee started developing before the onset of the Covid-19 pandemic, addresses a gap in the regulatory framework and sets out a prudent treatment for NPL ABS. The technical amendment establishes a 100% risk weight .......

    Market Moves 24 June 2020

  • NPL platform launched

    Debitos announces doValue partnership

    DoValue has established an online NPL trading platform dubbed doLook, via an exclusive partnership in Italy with Debitos. The platform has been announced amid a pick-up in the secondary market for Italian non-performing loans.

    Debitos designed the platform for doValue, which will facilitate the sale of Italian NPLs and real estate assets, serviced by both doValue and third .......

    News 24 June 2020

  • QM price-based approach mooted

    Sector developments and company hires

    QM price-based approach mooted
    The CFPB has issued two notices of proposed rulemaking (NPRMs) to address the impending expiration of the GSE patch, which is scheduled to expire in January 2021 (or when the GSEs exit conservatorship, if that happens first). The bureau estimates that, absent regulatory action, approximately 957,000 mortgage loans would be affected by the expiration of the .......

    Market Moves 23 June 2020

  • Impact SRTs eyed

    Newmarket launches asset management business

    Newmarket has launched its asset management business, which will focus on the nexus of structured solutions and impact investing. Newmarket has spun out of Mariner Investment Group and will build upon a history of risk transfer investing. Along with this launch, Newmarket has formally assumed the management of the IIFC strategy, launched seven years ago at Mariner.

    Molly .......

    News Analysis 23 June 2020

  • MILN market set to reopen

    Sector developments and company hires

    MILN market set to reopen
    Arch has returned to the market with Bellemeade Re 2020-1, after it was pulled in March amid the Covid-19 fallout (SCI 29 May). Moody's has upgraded from A3 to A1 and from Baa3 to Baa1 the provisional ratings of the mortgage insurance credit risk transfer deal’s respective class M1A and M1B notes and assigned provisional .......

    Market Moves 22 June 2020

  • Risk transfer round-up - 22 June

    CRT sector developments and deal news

    Deutsche Bank has completed a US$125.58m six-year CLN that references a US$1.932bn global corporate portfolio. Dubbed CRAFT 2020-3, the capital relief trade follows the lender’s first post-Covid SRT from the same programme that was completed earlier this month (SCI 12 June).

    The transaction priced at three-month Libor plus 10.75%. It features a weighted average life equal to 3.5 years .......

    News 22 June 2020

  • Sicilian CRT launched

    BAPR completes SME securitisation

    The EIF and Banca Agricola Popolare di Ragusa (BAPR) have completed a synthetic securitisation referencing Sicilian SMEs. The €22m guarantee references an approximately €200m portfolio and is the Italian lender’s first capital relief trade.

    “We are pleased to sign this agreement with Banca Agricola Popolare di Ragusa, a regional financial intermediary committed to supporting local SMEs. The operation .......

    News 19 June 2020

  • Lift off

    Credit Suisse finalises SRT

    Credit Suisse has priced an Sfr130.5m equity tranche that references a Sfr1.8bn blind pool of medium to large Swiss corporate borrowers. Dubbed Elvetia Finance Series 2020-1, the transaction is the Swiss lender’s first capital relief trade following the outbreak of the coronavirus.

    The transaction’s pricing hasn’t been disclosed, but it’s believed to be in the double digits. The last Elvetia .......

    News 19 June 2020

  • CMBS scores in first TALF window

    Sector developments and company hires

    CMBS scores in first TALF subscription
    Investors requested US$252m in loans under the first TALF 2.0 subscription window. Of this total, US$145m was for CMBS purchases, with the remainder almost evenly split between premium finance and small business deals. Wells Fargo CMBS analysts note that although wider spreads in the CMBS sector relative to the ABS sector may continue to .......

    Market Moves 18 June 2020

  • SRT debut

    Sabadell completes first synthetic securitisation

    Sabadell has completed a €96m mezzanine guarantee with the EIF. The transaction references a €1.6bn Spanish SME portfolio and is the Spanish lender’s first synthetic securitisation.

    The guarantee will enable the issuer to provide €576m of financing, primarily to self-employed, SME and mid-cap borrowers. The structure comprises senior and mezzanine tranches that amortise on a pro-rata basis, and .......

    News 18 June 2020

  • Bridging gaps

    Linking SRT originating banks with insurance partners

    Texel is aiming to help insurers and banks bridge gaps in their understanding of how each sector approaches significant risk transfer transactions. With insurers expected to become more active in the capital relief trades market, the firm’s structured and bespoke solutions group last month recruited former Qbera Capital securitisation advisory head Paul Petkov (SCI 15 May), who .......

    Market Moves 17 June 2020

  • Risk transfer round-up - 17 June

    CRT sector developments and deal news

    Credit Suisse is rumoured to be readying a capital relief trade from the Elvetia programme that is scheduled to close in 2Q20. The Swiss lender’s last Elvetia SRT was closed in May 2019 and referenced SME loans. Elvetia transactions are typically backed by Swiss corporate and SME loans (see SCI’s capital relief trades database).  

    .......

    News 17 June 2020

  • Older CLOs underperforming

    Sector developments and company hires

    Older CLOs underperforming
    A significant proportion of all the US BSL CLOs S&P has on negative watch closed in 2015 or before. The rating agency reports that such deals also experienced a steeper average decline in OC cushion, falling by 3.23%, and their average junior OC cushion is now approaching 0%.

    Of the 410 currently reinvesting deals within the .......

    Market Moves 16 June 2020

  • Take-up rates

    Significant variations across European moratoria

    Payment holidays have so far assisted in deterring defaults during the coronavirus crisis. However, borrowers who have suffered severe financial difficulties are nevertheless expected to eventually experience defaults.

    Antonio Tena, vp-senior analyst at Moody’s, says: "The more stringent a jurisdiction's eligibility criteria, the more moratorium levels will correlate with defaults, given that the profiles of eligible borrowers are .......

    News 15 June 2020

  • Californian auto loans eyed

    Sector developments and company hires

    Californian auto loans eyed
    The Westlake Automobile Receivables Trust 2020-2 issuer has disclosed that the state of California is considering new legislation - Assembly Bill No. 2501 (AB 2501) - that could significantly impact auto loan securitisations with high concentrations of Californian loans. S&P notes that in its current form, if this legislation is enacted, it could require servicers of .......

    Market Moves 12 June 2020

  • Strategic review

    Direct lending JV formed

    Newly established investment manager KKV Investment Management has finalised investment management agreements with two UK secured loan funds – SQN Asset Finance Income Fund and SQN Secured Income Fund - whose NAV is in excess of £425m and will be renamed KKV Secured Loan Fund. Specialising in direct lending and alternative credit, KKV is a joint venture between its .......

    News 12 June 2020

  • Addressing inconsistencies

    Performance metrics switched

    Metrics that assess the level of portfolio interest and principal cashflows have become more reliable performance indicators than traditional default and delinquency metrics in the wake of coronavirus-driven moratoria. Moody’s notes that the need for more reliable metrics for the ABS and RMBS it rates is driven by inconsistent reporting on the proportion of portfolios under payment holidays.

    News 12 June 2020

  • Risk transfer rebound

    Deutsche Bank completes SRT

    Deutsche Bank has completed a US$325m CLN that references a disclosed US$5bn global portfolio of large corporate revolvers. Dubbed CRAFT 2020-2, the transaction is the lender’s first capital relief trade following the Coronavirus crisis and the second post-Covid SRT to be issued after Bank of Montreal’s trade last month (SCI 15 May).

    Yuri Greenfield, head of risk and portfolio .......

    News Analysis 12 June 2020

  • Euro ABS 'game changer' recommended

    Sector developments and company hires

    Euro ABS ‘game changer’ recommended
    The European High-Level Forum (HLF) on the capital markets union (CMU) has published its final report, which proposes 17 inter-connected “game changers” – measures that the EU needs to implement to remove the biggest barriers in its capital markets. The European Commission stresses that completing the CMU has become particularly urgent in order to speed .......

    Market Moves 11 June 2020

  • LCR eligibility eyed

    Final credit mapping framework awaited

    Prime Collateralised Securities last week withdrew several liquidity coverage ratio assessments on double-A rated STS securitisation bonds. The move was in connection with an EBA Q&A that includes a temporary mapping, in which the credit quality step (CQS) 1 corresponds with triple-A ratings only.

    Ruben van Leeuwen, head of credit strategy and regulation at Rabobank, says: “The interpretation .......

    News 10 June 2020
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