ABS
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Economic efficiency
Standardised bank SRT pros, cons weighed
Various factors should be considered when contemplating whether to execute a significant risk transfer transaction, especially from a standardised bank perspective. The key is to choose the most economically efficient portfolio and the rest is optimisation, according to SCI’s inaugural CRT Research Report.
Steve Gandy, md and head of private debt mobilisation, notes and structuring at Santander Corporate and .......
News Analysis 16 December 2019
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Brand value
WBS issuer differentiation highlighted
In an unsolicited comment, Fitch last week suggested that the overall benefits of US whole business securitisation are often overstated, especially considering the increase in market activity and sectoral breadth seen this year (SCI 9 December). However, with the understanding that not every issuer is created equal, good relative value opportunities can still be found across the sector.
While .......
News Analysis 16 December 2019
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Risk transfer round-up - 16 December
CRT sector developments and deal news
Deutsche Bank is rumoured to be readying a capital relief trade from the CRAFT programme. The last CRAFT significant risk transfer deal - a US$382.5m CLN that references corporate loans - was completed in March. It remains the only CRAFT transaction of the year (see SCI’s capital relief trades database).
...... News 16 December 2019Premium Content
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Mixed motivations
THRP sets stage for US bank CRT
A combination of macro and micro factors are understood to have influenced the issuance of JPMorgan’s recent Chase 2019-CL1 synthetic RMBS (SCI 10 October). Notably, the US Treasury’s aim of harmonising regulatory frameworks across the mortgage market – as outlined in its Housing Reform Plan (SCI 6 September) – arguably helped create the right conditions for the bank .......
News 13 December 2019
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CET1 ratios eyed
Disposals, securitisations to protect bank capital
European bank CET1 ratios have stabilised over recent years, as Basel 3 capital requirements and other supervisory measures have been fully phased in. However, further RWA inflation could result from the ECB’s TRIM exercise or the Basel 4 output floors.
Banks have adapted to the post-crisis regulatory environment by lowering RWAs and/or by retaining more earnings. Indeed, for over a .......
News Analysis 12 December 2019
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Sticking with the programme
ABSPP hits new high, but total volumes remain low
Latest figures from the ECB show that its ABSPP holdings are at an all-time high. However, the programme remains far from the market moving purchaser it was once expected to be.
Bank of America European structured finance analysts report that ECB net purchases under the ABSPP in October and November were €1.16bn and €1.266bn respectively, representing the highest monthly net .......
News 12 December 2019
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2020 vision
Looking for relative value in European securitisation
Next year seems likely to present structured finance investors with even greater challenges in the search for yield. Nevertheless, relative value is to be found in 2020 for those looking in the right places.
Macro and geopolitical factors should always inform asset allocation strategies. But for 2020, their importance is even greater, according to Rob Ford, partner and portfolio manager .......
News Analysis 11 December 2019
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IT solution
Infrastructure ABS could hold the key to a brighter future for Europe's banks
The European banking sector is struggling under the burden of shrinking profits and growing costs, yet benefits from consistent regulatory support and an entrenched role within the continent’s broader economy. The major challenge for banks is the need to upgrade their IT infrastructure, but counterintuitively this could also be a major opportunity for them.
“Cosmetic changes to improve operational efficiency .......
News Analysis 9 December 2019
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Mutual agreement
BPPB SRT debuts
Further details have emerged about the EIF and Banca Popolare di Puglia e Basilicata’s (BPPB) €60m financial guarantee under the SME Initiative Italy (SCI 6 December). Referencing a €120m Italian SME portfolio, the transaction is BPPB’s first risk transfer trade and is the first under the SME Initiative Italy to free up mutual guarantees known as confidi.
“This is .......
News 9 December 2019
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Core qualities
Caroline Chen, svp and research analyst at Income Research &...
Q: How and when did Income Research & Management become involved in the securitisation market?
The Structured Credit Interview 9 December 2019
A: Income Research & Management is a privately-owned fixed income investment manager that serves institutional and private clients. The firm is headquartered in Boston and was founded in 1987 by managing principals John Sommers and Jack Sommers. Originally a credit-oriented manager, IR+M has been involved in .......
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Turbo feature for CLO reset
Sector developments and company hires
Early upgrade
Market Moves 9 December 2019
DBRS Morningstar has taken the unusual step of upgrading from double-B (low) to double-B the class E notes issued by Autonoria Spain 2019 a week after the transaction priced (SCI 2 December). The move follows the final pricing of the coupons on the notes and the three interest rate swaps, which resulted in an overall reduction in costs .......
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ABS focus
Music, sports, entertainment firm grows securitisation capabilities
23 Capital recently made a number of hires to boost their securitisation capabilities, signalling the firm’s commitment to securitisation as a key part of its funding strategy. After an inaugural securitisation backed by football royalties successfully closed in 2016, it may also look to offer deals backed by different collateral in the future.
Sreesha Vaman, hired to the role .......
News Analysis 6 December 2019
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Grattan refinanced
Bank of Ireland completes CRT
Bank of Ireland has originated a €265m funded and unfunded financial guarantee that references a partially disclosed €2bn Irish and UK corporate portfolio. Dubbed Vale Securities, the transaction is a refinancing of a 2016 capital relief trade called Grattan Securities (see SCI’s capital relief trades database).
The refinancing follows the exercise of an optional early termination right for Grattan .......
News 6 December 2019
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Alternative appetite
Euro CMBS specialist property exposure to rise
Appetite for European CMBS secured by specialist or alternative assets is expected to grow in 2020, as the sector becomes less niche. Such properties are characterised by their operating nature, with the availability of alternative operators being a key driver in their assessment.
Stephen Hughes, avp - analyst at Moody’s, notes that there are two main factors driving increased appetite .......
News 6 December 2019
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ABS head retired
Sector developments and company hires
ABS head retires
Janus Henderson’s head of ABS investment Ed Panek has now retired from the company and the industry. Colin Fleury, the head of secured credit will assume direct responsibility for the ABS team. Fleury has extensive experience working with ABS, having previously fulfilled the head of ABS investment role. A more junior securitisation expert is being recruited to .......
Market Moves 6 December 2019
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Moving into the mainstream
Booming aviation ABS sector shakes off esoteric label?
Aviation ABS issuance has seen strong growth, with 2019 set to be a bumper year and investors also drawn to the asset class due its long term, stable nature, prompting some market participants to suggest it has shaken off its esoteric label. The asset class isn't without any concerns, however, with a small number of issuers lacking skin in the game .......
News Analysis 5 December 2019
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Cigarette slump?
Dispute revenue to offset declining MSA cashflows
US cigarette shipments have declined by an average of 3.2% per year since 2000 and are expected to decrease by 4%-5% over the next 12-18 months, hitting the cashflow available to pay down tobacco ABS bonds. However, revenue from future potential settlements and other special payments could partially offset the risk from slowing tobacco sales.
Moody’s notes that some US .......
News 4 December 2019
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Credit analysts poached
Sector developments and company hires
Credit analysts poached
Cairn Capital has appointed José Ferrero and Vihren Jordanov as senior credit analysts, focusing on loans and reporting to credit research head Mark Stieler. Ferrero was previously a credit analyst at Partners Group, where he was responsible for European coverage of the business and consumer services, chemicals and healthcare sectors. Jordanov joins from Alcentra, where he was .......
Market Moves 4 December 2019
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Full-stack debut
BDK completes first auto SRT
Bank Deutsches Kraftfahrzeuggewerbe (BDK) has debuted its first full-stack capital relief trade. Dubbed Red & Black Auto Germany 6, the €1bn German true sale auto ABS differs from previous transactions from the same programme due to the existence of pro-rata amortisation and the fact that it has been undertaken for both capital relief and funding purposes.
According to Laurent Mitaty, .......
News 2 December 2019
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Spanish SRT inked
Banco Cetelem completes full-stack auto ABS
Banco Cetelem has completed the first full-stack Spanish auto significant risk transfer transaction from BNP Paribas’ Autonoria programme. The €1bn Autonoria Spain 2019 true sale ABS differs from previous Autonoria deals in that the class G notes have been assigned a rating.
The deal is the first capital relief trade from the programme that references Spanish auto loans and it .......
News 2 December 2019
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Euro AM promotes three
Sector developments and company hires
AM promotes three
Alcentra has promoted Daniel Fabian to president and coo. In this role, he will manage the company’s growth strategy and oversee day-to-day operations in order to continue to drive value for clients and employees. Fabian has spent the past 12 years at Alcentra, of which the last four years have been as coo and cfo, bringing the .......
Market Moves 2 December 2019