ABS

  • CRT upgraded due to 'substantial' increase in CE

    Sector developments and company hires

    Canadian MBS ETF
    BMO Asset Management has launched a new stable of ETFs trading on the TSX, including the first MBS ETF in Canada. Dubbed BMO Canadian MBS Index ETF, the offering aims to provide unique exposure to a segment of the MBS market fully guaranteed by the Canada Mortgage and Housing Corporation (CMHC). The pools each have a term .......

    Market Moves 12 February 2020

  • CMBS trustee assumption refuted

    Sector developments and company hires

    EMEA
    Michael Newell has joined Cadwalader, Wickersham & Taft as a partner in London. A member of INREV’s Public Affairs Committee, Newell was previously a partner at Norton Rose Fulbright. His focus is the formation of real asset funds, credit funds and hedge funds, as well as technology and emerging market focused private equity funds.

    North America
    KBRA has named .......

    Market Moves 10 February 2020

  • Sporadic issuance

    CQS SRT wave unlikely

    BNP Paribas arranged Amalia, Banca Nazionale del Lavoro’s landmark synthetic securitisation of Italian payroll-deductible loans (CQS), in December last year (SCI 24 December 2019). However, significant volumes of CQS SRT issuance remains unlikely, due to expected reductions in CQS risk weights, the niche nature of the loans and the fact that historically most deals are undertaken by small operators .......

    News Analysis 10 February 2020

  • EBA reports pending

    Trapped excess spread requirement could be dropped

    The EBA will finalise its approach to significant risk transfer this year through the publication of the final SRT report and another consultation in the second quarter. The requirement for a trapped excess spread mechanism for synthetic securitisations will most likely be excluded from the final SRT report, although the regulator notes that synthetic excess spread is a form of .......

    News Analysis 7 February 2020

  • Risk transfer round-up - 7 February

    CRT sector developments and deal news

    Bank of Scotland (BOS) is in the market with Syon Securities 2020, its second UK mortgage SRT (SCI 25 July 2019). The £550m reference portfolio comprises prime owner-occupied loans with LTV ratios in excess of 90% but less than or equal to 95%, originated between September and December 2019. The rated CLNs are exposed to the first 15% of ......

    News 7 February 2020

    Premium Content

  • Syon Securities priced

    Bank of Scotland engineers return

    Bank of Scotland has priced a seven-year financial guarantee that references a £550m portfolio of UK owner-occupied residential mortgage loans. Dubbed Syon Securities 2020, the risk transfer transaction is the bank’s second from the programme following the inaugural SRT last year (SCI 25 July 2019).

    Rated by Fitch and KBRA, the transaction consists of £18.75m A-/A rated .......

    News 7 February 2020

  • Tightening trend

    European ABS market update

    Appetite for European ABS paper continues to be strong. The market is currently characterised by a dearth of supply, despite tightening spreads.

    “Spreads are tighter than where they were at the start of the year,” one trader says. “Yet primary and BWIC supply seems to be  slowing down.”

    Only a couple of deals remain in the .......

    Market Reports 7 February 2020

  • GSE Libor transition deadlines released

    Sector developments and company hires

    ECOWAS prepping ABS
    The Commission of the of the Economic Community of West African States (ECOWAS) and the World Bank are developing a securitisation of payments related to the cross-border power trade in West Africa. In order to address the low access of the West African population to electricity, ECOWAS member states are pooling efforts through the development of an .......

    Market Moves 6 February 2020

  • Rating agency shuffles senior US staff

    Sector developments and company hires

    EMEA
    Pan-European special situations and credit trading lawyer Justin Conway has joined McCarthy Denning as a partner in its banking and finance department. Conway, a dual-qualified solicitor in both England and Wales and New Zealand, was previously a partner at Jones Day. He has extensive experience in advising clients on all aspects of debt, investment and loan portfolio trading across key .......

    Market Moves 5 February 2020

  • Advisor picked to help end GSE conservatorship

    Sector developments and company hires

    Acquisition
    Link Group has signed an agreement to acquire Pepper European Servicing from Pepper Group for an upfront consideration of €165m. The meeting of AUM thresholds and growth milestones could trigger an additional consideration of €35m. The acquisition will deliver immediate scale for Link Group’s banking and credit management division in existing and new jurisdictions, and does not impact on .......

    Market Moves 4 February 2020

  • HAPS flurry

    Greek NPL ABS pipeline grows

    Piraeus Bank is set to securitise €7bn of non-performing loans in 2020. The lender is the latest to announce its intention to take advantage of Greece’s recently approved Hercules asset protection scheme (HAPS).

    According to Piraeus: “The Hellenic Asset Protection Scheme ‘Hercules’ is a tool that will provide additional support to Greek banks to speed up our de-risking .......

    News 4 February 2020

  • Hong Kong landmark

    First-of-a-kind deal could herald broader securitisation market return

    A landmark ABS deal in Hong Kong is anticipated to be the first of many. At the same time, there is optimism for broader regional growth.

    Ocean Funding 2019-1 closed on 5 December 2019, having issued US$200m of senior secured floating rate notes backed by a portfolio of unsecured HK$ consumer loans originated by Hong Kong-based loan firm .......

    News Analysis 4 February 2020

  • Crestline Denali CLO interests acquired

    Sector developments and company hires

    Additional CLOs for Ares
    An Ares Management Corporation subsidiary is set to acquire a managing interest in a restructured Crestline Denali Capital that will result in the addition of seven CLOs totalling US$2.6bn of assets under management to the Ares portfolio. Crestline Denali will retain its equity interest in its CLOs. Ares believes that the all-cash transaction will strengthen its .......

    Market Moves 3 February 2020

  • Grasshopper up

    Landmark green SRT finalised

    RBS has completed a landmark capital relief trade referencing a £1.1bn portfolio of UK project finance loans. Dubbed Project Grasshopper, the approximately £78m financial guarantee is the first risk transfer transaction to be backed entirely by green assets and was carried out for both capital relief and credit risk management purposes. Macquarie Infrastructure Debt Investment Solutions, in conjunction with BAE .......

    News Analysis 31 January 2020

  • Covered funds provisions set to be revised

    Sector developments and company hires

    AMR auction debut
    The first-ever CLO applicable margin reset executed online – via KopenTech’s auction platform - saw all five tranches of TCW 2019-1 CLO refinanced successfully. The coupon of the US$240m triple-A rated tranche was reset to 107bp, from a spread of 144bp when the transaction initially closed.

    Receivables ABS prepped
    Gedesco Finance and Toro Finance are in the .......

    Market Moves 31 January 2020

  • Ramping up

    BlueBay bolsters structured credit footprint

    BlueBay Asset Management is ramping up its debut CLO, with launch planned for next quarter. At the same time, portfolio manager Alex Navin is set to relocate to New York to strengthen the firm’s US credit investment team.

    “The move enhances our global coverage and enables us to identify the best relative value opportunities in a broader context,” .......

    News 31 January 2020

  • BMO SRT inked

    Repeat Manitoulin trade completed

    Bank of Montreal has completed a capital relief trade referencing US and Canadian senior secured and senior unsecured corporate loans. Dubbed Manitoulin USD Algonquin 2020-1, the five-year financial guarantee is a repeat transaction of another Manitoulin SRT from the same series that was finalised in July 2019.

    Rated by DBRS Morningstar, the transaction consists of a triple-A rated class A .......

    News 31 January 2020

  • Equity increase

    Aircraft ABS volumes powering rise in growth of equity notes

    Aircraft ABS issuance volumes are expected to rise again this year, even after a bumper 2019. As a result, the nascent market in the related equity notes (E-Notes) should also grow, but investing in that part of the capital structure is not without its challenges.

    “Aircraft leasing, as an ‘alternative’ asset class is attracting more institutional investment capital .......

    News Analysis 31 January 2020

  • Risk transfer round-up - 28 January

    CRT sector developments and deal news

    Deutsche Bank has completed a capital relief trade from the CRAFT programme. Dubbed CRAFT 2020-1, the US$150m 9.5-year CLN priced at Libor plus 9.5%. The floater is non-callable and has a weighted average life and expected maturity equal to 7.5 years. Deutsche Bank’s last CRAFT transaction was finalised in March 2019 (see SCI’s capital relief trades database).

    ......

    News 28 January 2020

    Premium Content

  • Valuations provider bought by investor consortium

    Sector developments and company hires

    Acquisitions
    A consortium led by funds managed by Stone Point Capital and Further Global has agreed to acquire Duff & Phelps for US$4.2bn. The equity sellers include the Permira funds, which will continue to hold a significant stake in the company as part of the consortium. As part of the transaction, the Duff & Phelps management team will maintain a .......

    Market Moves 28 January 2020

  • Hedge fund liquidated amid accounting probe

    Sector developments and company hires

    Hedge fund liquidated amid accounting probe
    TCA Fund Management Group is liquidating its main credit hedge fund, TCA Global Credit Master Fund, after the fund received redemption and withdrawal requests in excess of available cash. The redemptions come amid a US SEC probe into the firm’s accounting practices. According to whistleblowers, the firm has US$300m in assets - not US$500m - .......

    Market Moves 27 January 2020
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