ABS

  • Different strokes

    PACE prepayment volatility on the rise

    A new Morningstar Credit Ratings study reveals increased volatility and a generally accelerating trend in residential PACE prepayments. Against this backdrop, different prepayment patterns are emerging across PACE ABS originators.

    Monthly annualised CPR averages have been fluctuating between increases and declines for the last six months, according to the Morningstar study. For example, after a decline in the .......

    News 25 February 2019

  • Model behaviour?

    Accuracy of ILS loss predictions hinges on evolving models

    Actual losses in the ILS market may be broadly in line with predictions, but there are sectors with significant divergence. These areas of divergence underline how important it is for ILS investors to remain aware of the implications of exposure to non-modelled and less well modelled perils.

    Previous analysis by Lane Financial has shown that “what you see .......

    News Analysis 25 February 2019

  • A strong start

    Day one at SFIG Vegas

    Moods appear to be running high at the start of SFIG Vegas 2019. Despite being only a half day, attendance already seems to be strong and the panels have so far been near to full.

    A highlight of the afternoon was the the CRE CLO market update, where panellists spoke to a well attended room and generally voiced positive sentiments about .......

    News 25 February 2019

  • Maintaining flexibility

    Fiona Walden, vp, credit and financial lines at RenaissanceRe, answers SCI's questions

    Q: How and when did RenaissanceRe became involved in the securitisation market?
    A: We were set up 25 years ago as a property catastrophe company. We have a long track record of credit reinsurance for our insurance company clients. More recently, we applied this knowledge and expertise to structured credit transactions - including significant risk transfer transactions - by providing .......

    The Structured Credit Interview 22 February 2019

  • Restructuring incentive

    Greece unveils mortgage NPL boost

    The Greek government is working on a plan that aims to meet ECB non-performing loan reduction targets and help improve the attractiveness of non-performing portfolios, in particular, distressed mortgages. The plan includes subsidising monthly payments and protects borrowers from foreclosures under certain conditions, although this could render it antithetical to EU state aid rules.

    According to George Kofinakos, md at .......

    News Analysis 22 February 2019

  • Law firm boosts derivatives capability

    Company hires and sector developments

    CLO firm promotions

    Churchill has announced the promotion of Mat Linett, md, from deputy head of underwriting and portfolio management to head of underwriting and Eric Wieczorek to md, underwriting and portfolio management. Additionally, the firm announced several more promotions across the investment and finance teams, effective 1 March 2019.

    Derivatives expansion

    Dentons has expanded its derivatives practice with the .......

    Market Moves 22 February 2019

  • Tough stance

    ESMA insists on private securitisation disclosures

    On 31 January, ESMA published a document that amends its draft regulatory technical standards (RTS) on securitisation disclosures. The initial RTS covers both public and private securitisations and it was rejected by the European Commission, following a market backlash (SCI 5 October 2018).

    The amendments take into account the Commission’s criticisms of the original RTS ......

    News Analysis 22 February 2019

    Premium Content

  • CLO partnership launched

    Sector developments and company hires

    CDS trends discussed

    Mayer Brown has commented on trends in single-name CDS credit event determinations. It notes that the Sears CDS case cited “numerous examples of commercial practice and legislative history in support of the decision [and] raises serious questions as to the degree to which the determination committees (DCs) are (and will in future determinations be) influenced by such .......

    Market Moves 21 February 2019

  • Stand-out performer

    Systematic role for structured credit

    Funds focused on structured credit were, as a whole, stand-out performers in 2018. Of the 50 US structured credit funds tracked by Gapstow Capital Partners, 88% had a positive year, implying that there continues to be a role for structured credit more systematically in diversified credit portfolios.

    The Gapstow Credit Index finished 2018 up by 1.5%, with steady .......

    News Analysis 21 February 2019

  • UK paper on the block

    European secondary ABS market update

    The European secondary ABS market has rallied since the beginning of the year. However, activity now appears to be on hold until after 28 February, when a large BWIC auction is due at 2pm London time.

    “Secondary activity has dampened down in the run-up to the auction,” confirms one trader. “The BWIC has a good chance of ......

    Market Reports 21 February 2019

    Premium Content

  • Law firm nabs SF vet

    Company hires and sector developments

    Europe

    Latham & Watkins has recruited Jeremiah Wagner as a partner in its finance department, based in London. Wagner’s practice focuses on advising banks, private equity funds, asset managers, insurance companies and pension funds on a variety of complex structured finance, securitisation and derivatives transactions. He joins the firm from Cadwalader’s London office, where he was a partner.

    Market Moves 20 February 2019

  • Lacking clarity

    Libor transition still fraught with challenges

    With only two years to go until Libor is officially phased out in 2021, a number of questions still remain about the ramifications for structured finance transactions. Aside from the lack of concrete replacement, there are also questions about legacy deals, assets and liabilities and swaps complications as well as the possibility for bondholder disputes.

    One of the most pressing issues .......

    News Analysis 19 February 2019

  • CLO firm restructure

    Company hires and sector developments

    Acis restructuring confirmed

    The US bankruptcy court in Dallas has confirmed Acis Capital Management's Chapter 11 restructuring plan, following its conversion from an involuntary bankruptcy case initiated by former head of Highland Capital Management's structured products team and founder/former partner in Acis Joshua Terry (SCI 9 November 2018). Upon emergence from bankruptcy, Acis will be owned and .......

    Market Moves 19 February 2019

  • Secondary focus

    Investors sitting on cash with new European issuance drought

    European structured finance traders continue to focus on the secondary market as they wait for regulatory clarification. Nevertheless, there have still been some standout new issues and a European CMBS is rumoured to be in the pipeline.

    “In European RMBS we are focussing mainly on secondary paper,” says a trader. “The transactions that appeal at the moment are those with a .......

    News 15 February 2019

  • Risk transfer round-up - 15 February

    CRT sector developments and deal news

    The first quarter of this year is expected to see reduced capital relief trade issuance, due to ESMA’s securitisation disclosure requirements, although market sources expect volumes to pick up in Q2. Among the transactions that are believed to be closing next quarter is a US corporate capital relief trade from Mitsubishi. Another deal that is set to close this ......

    News 15 February 2019

    Premium Content

  • Oil opportunities

    Royalty-backed future flow ABS to develop

    Oil and gas companies are expected to tap the securitisation market with a new structure. The first ABS backed by oil and gas royalties could hit the market this year.

    The diminished availability of traditional funding sources will lead to increased reliance on securitisations backed by oil and gas royalties to supplement traditional reserve based lending (RBL) facilities. Such securitisations .......

    News 15 February 2019

  • Italian auto firms fined

    Company hires and sector developments

    CLO hire

    Geoffrey Horton has joined Barclays as vp, CLO and loan strategist in London. He was previously a CLO and commercial ABS research associate at Wells Fargo in the US.

    Italian auto firms fined

    The Italian Competition and Markets Authority (Autorità Garante delle Concorrenza e del Mercato or the ICA) recently fined nine captive auto finance companies a total .......

    Market Moves 15 February 2019

  • Private placement

    Unusual tranched securitisation closed

    Fintex Capital has completed a structured finance transaction within its UK real estate lending business, Fintex Confluence. The transaction involved the refinancing of a portfolio of property loans - warehoused by Fintex - with senior financing provided by Europa Capital Debt Investment (ECDI) and junior financing by Fintex, with additional monies invested by Europa and Fintex to finance a .......

    News 14 February 2019

  • Bank expands credit derivatives business

    Company hires and sector developments

    Credit trading expansion

    HSBC has hired Asgar Rahemtulla as a director in credit trading. In his new role, Asgar will be responsible for trading European iTraxx index products. He joins HSBC from Bluecrest where he was a Partner and worked as a portfolio manager. Prior to this he spent eight years at Goldman Sachs in a variety of roles including .......

    Market Moves 14 February 2019

  • Insurance firm expansion

    Sector hires and company developments

    Insurance firm expansion

    Nassau Re is expanding into additional specialty finance asset classes as it grows assets under management in a three-pronged move. First, the firm has established Nassau Private Credit (NPC), which will invest directly in CLO equity and related investments for third-party institutional investors. Second, under its Nassau CorAmerica brand, it will expand its existing real estate .......

    Market Moves 12 February 2019

  • Juno 2 completed

    BNL closes NPL securitisation

    Banca Nazionale del Lavoro has completed a €968m (GBV) non-performing loan securitisation of both senior secured and unsecured loans. Dubbed Juno 2, the transaction has a short weighted average life for collections, compared to other NPL securitisations rated by Scope.

    “The vector is usually delayed compared to the business plan, but in this case the procedures are at .......

    News 11 February 2019
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