ABS
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UK WBS hit expected
Sector developments and company hires
APAC
Frontier Advisors has appointed Joe Clark as senior consultant in its alternatives and derivatives research team, based in Melbourne, Australia. Clark was previously senior portfolio manager in QIC’s global multi-asset team and has also worked at Suncorp Investment Management. He has experience in ILS manager and investment research.North Dock debuts
Market Moves 26 March 2020
Barclays Private Bank has closed North Dock No. .......
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Closing the gap
Audentia Global investor relations head Sophia Vanco and chi...
Q: How and when did Audentia Global become involved in the capital relief trades market?
The Structured Credit Interview 26 March 2020
NM: Audentia was founded 2.5 years ago by its co-chief investment officers Fasil Nasim and Chris Newman, who had previously worked together in commodity finance at BNP Paribas, in response to the global trade finance market’s US$1.5trn funding gap (as per Asian Development Bank figures). Their .......
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Call for TALF expansion
Sector developments and company hires
BlackRock hired
Market Moves 25 March 2020
The New York Fed has retained BlackRock Financial Markets Advisory as a third-party vendor to operationalise its purchases of agency CMBS and transact with primary dealers on behalf of the SOMA. BlackRock was selected on a short-term basis to serve as an investment manager after considering its expertise in trading and analysing agency CMBS in the secondary market, .......
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TALF response mixed
Fed facility could be found wanting
The US Fed’s introduction of the new iteration of the Term Asset-Backed Securities Loan Facility, or TALF 2.0 (SCI 23 March), was one of the measures that contributed to some steadying of broader markets yesterday. However, the facility could meet with a mixed response from securitisation market participants and there are already calls for it to be expanded.
News Analysis 24 March 2020
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Fed revives the TALF programme
Sector developments and company hires
Return of the TALF
Market Moves 23 March 2020
The US Fed announced a slew of new measures to support the credit markets this morning, including the revival of the Term Asset-Backed Securities Loan Facility (TALF), first seen in the wake of the global financial crisis. Under the TALF, the New York Fed will commit to lend to an SPV on a recourse basis and .......
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CRT deals disclosed
Intesa publishes capital management strategy
Intesa Sanpaolo has released details of its capital management strategy, following the release of its 2019 annual report on Friday (20 March). The lender has revealed the details of four capital relief trades that were completed last year.
Intesa Sanpaolo’s 2018-2021 business plan includes initiatives for credit portfolio management that fall within the remit of the active credit portfolio steering .......
News 23 March 2020
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Invoice ABS debuts
First trade receivables securitisation for India
Northern Arc Capital and fintech platform CredAble have closed a trade finance securitisation backed by invoice receivables. The transaction is the first rated and listed invoice receivables-backed ABS from India.
Kshama Fernandes, md and ceo of Northern Arc Capital, says: “Banks and non-banking financial companies (NBFCs) have traditionally been present in this space and have been discounting these .......
News 23 March 2020
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NPL supervisory flexibility introduced
Sector developments and company hires
Canadian purchase programme
Market Moves 20 March 2020
The Canadian government has launched a revised Insured Mortgage Purchase Program (IMPP), under which it will purchase up to US$50bn of insured mortgage pools through the Canada Mortgage and Housing Corporation. The move aims to provide stable funding to banks and mortgage lenders in order to ensure continued lending to Canadian consumers and businesses. The first purchase .......
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Economically efficient
Study supports reduction of PD estimates
A new study undertaken by Open Source Investor Services (OSIS) suggests that capital relief trades are a good alternative to traditional issuance of new capital in the majority (75%) of cases reviewed and in 40% of cases the instrument works well during a downturn scenario, even if investors are compensated for higher losses. The research investigates whether and when .......
News Analysis 20 March 2020
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Credit event definitions
UTP category brings less uniformity
The EBA’s guidelines on default definitions have brought less uniformity to credit event determinations in synthetic securitisations, despite the benefits of subsequent procedures such as principal adjustments for investors. However, from an issuer perspective, the key concern is maintaining protection for restructured loans.
According to David Wainer, partner at Allen & Overy: “We have observed a shift away from the relative standardisation of Article 216 of .......
News Analysis 20 March 2020
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Close relationship
CRT documentation should evidence intentions
When structuring a capital relief trade, the documentation should evidence the intentions of the parties. Given the risk-sharing nature of such transactions, investors benefit from forming a close relationship with the originating bank and being comfortable with its governance, risk management and flow of assets.
“To really share the risks of the underlying assets’ and the overall bank’s .......
News 20 March 2020
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Further central bank support unveiled
Sector developments and company hires
Bridging loan deal inked
Market Moves 19 March 2020
UK challenger lender Glenhawk has closed a private revolving securitisation of bridging loans, with senior funding provided by JPMorgan. Glenhawk offers short-term property development and homeowner loans, and has recently been authorised by the FCA. The new capital will support Glenhawk’s growth into the UK homeowner market. The facility represents the first time that JPMorgan has .......
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Short-term volatility
SRTs on hold, although 2H20 rebound expected
Capital relief trade issuance has been postponed until the second half of the year due to the coronavirus crisis, as market participants expect disruption to be relatively short-lived. Nevertheless, more targeted government and central bank action towards consumers and SMEs is desired.
According to one SRT investor: “In the near term, it’s going to be very difficult to .......
News Analysis 19 March 2020
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Risk off
Securitisation markets seize up
Amid a global sell-off, securitised asset classes where liquidity is scarce and asymmetry of positions particularly acute have suffered grievously. The FOMC decision to increase TBA purchases has so far eased only the agency RMBS sector (SCI 17 March).
“I spoke to an executive committee about a month ago and you know what I told them? I .......
News 19 March 2020
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EIB mulls SME ABS purchase plan
Sector developments and company hires
Dealer credit facility launched
Market Moves 18 March 2020
The US Fed has established a Primary Dealer Credit Facility (PDCF) available from 20 March, which will offer overnight and term funding with maturities up to 90 days. The facility will be in place for at least six months and may be extended as conditions warrant. Credit extended to primary dealers under the facility may be .......
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Pandemic response
DNB lowers bank buffers amid outbreak
Dutch central bank DNB has lowered the capital buffers for Dutch banks and postponed the introduction of the risk weight floor for mortgages, following ECB action on the Coronavirus crisis. Combined, these measures will free up €8bn in capital and will allow banks to continue their lending activities in the face of rising losses.
According to a DNB .......
News 18 March 2020
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Even playing field?
Reg AB relaxation set to release RMBS
The relaxation of FDIC rules regarding bank compliance with SEC Regulation AB when issuing RMBS (SCI 4 March) evens the playing field between bank and non-bank issuers. The move is expected to clear the way for greater bank-sponsored issuance to emerge.
The FDIC’s decision to drop the requirement for banks to comply with Regulation AB was underpinned .......
News Analysis 18 March 2020
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Fed rolls out CPFF
Sector developments and company hires
CMB purchase programme
Market Moves 17 March 2020
The Bank of Canada has announced that it stands ready, as a proactive measure, to provide support to the Canada Mortgage Bond (CMB) market to ensure that it continues to function well. This would include, as required, purchases of CMBs in the secondary market through a competitive tender process. As a starting point, the bank will target .......
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Liquidity concerns
European ABS pipeline coming to a halt
The European ABS primary market is grinding to a halt amid coronavirus-related volatility, with many transactions postponed. Among the relief measures implemented by the Bank of England and the ECB last week, the new UK Term Funding Scheme for SMEs (TFSME) could inhibit UK RMBS volumes further.
“Spread levels are difficult to predict in the current environment,” says .......
News Analysis 17 March 2020
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Greencoat liquidator appointed
Sector developments and company hires
EMEA
Ocorian has appointed Abigail Holladay as director of transaction management. Based in London, Holladay will manage restructuring transactions across Europe. She has previously held senior positions at Law Debenture and Deutsche Bank. Holladay has experience covering waivers, defaults, delegate/successor trusteeships and complex debt restructurings.Greencoat winding up
Market Moves 16 March 2020
In connection with the BUMF 4, 5, 6 and 7 CMBS, the .......
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SCI Start the Week - 16 March
A review of securitisation activity over the past seven days
SCI NPL Securitisation Awards 2020
News 16 March 2020
As a result of COVID-19, the SCI NPL Securitisation seminar has unfortunately had to be postponed and along with it the inaugural SCI NPL Securitisation Awards ceremony. Nominations remain open and a revised deadline for them will be announced in due course. Further information and details of how to pitch can be found here.
This week's stories
AMC .......