ABS

  • Risk transfer round-up - 1 July

    CRT sector developments and deal news

    NatWest is rumoured to be readying a capital relief trade backed by mid-market corporate loans for 3Q20. The transaction would be the issuer’s first post-Covid significant risk transfer deal, following the announcement of Project Grasshopper in December 2019. The latter deal referenced project finance loans (see SCI’s capital relief trades database).

    .......

    News 1 July 2020

  • Tentative TALF 2.0

    The next TALF subscription date is July 6, but no fireworks expected

     

    The second TALF 2.0 subscription period begins on July 6, and it is expected to be even more anaemic than the one that concluded on June 17th, say those close to the market.

    Investors requested $252m of loans in the first period, of which $145m used CMBS assets as collateral, but, with spreads continuing to tighten across the board, there is little .......

    News Analysis 26 June 2020

  • Structuring negotiations

    CRT origination trends evolving

    Investors appear to be able to extract more than they used to during structuring negotiations for capital relief trades, following the coronavirus-driven repricing of risk. Portfolio composition is also evolving, reflecting concerns over industries that are perceived to be riskier, according to SCI’s latest CRT Research Report.

    Frank Benhamou, md and head of funding and capital solutions at .......

    News Analysis 26 June 2020

  • Investment democratisation

    Stan Perromat, co-founder of Privatam, answers SCI's questions

    Q: How and when did Privatam become involved in the securitisation market?
    A: Privatam was founded in 2014 with the aim of shaking up customised investments for wealth managers. Our four founders saw an opportunity to introduce technology and flexibility into a still quite traditional industry with no real independent actors.

    We wanted to simplify the process of customised .......

    The Structured Credit Interview 25 June 2020

  • 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
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