Complete news archive
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Non-resident Aussie RMBS debuts
Sector developments and company hires
Non-resident Aussie RMBS debuts
Market Moves 8 April 2021
Brighten Home Loan is readying its inaugural RMBS - the A$250m Solaris Trust 2021-1 – which is backed by loans predominantly to non-Australian resident borrowers. S&P notes that the portfolio is not only exposed to macroeconomic events and policies that affect Australia, but also to events and policies that affect the borrowers’ countries of residence. Consequently, .......
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Collection boost?
NPL sales increase pending amid uncertain timing
European non-performing loan sales are expected to receive a boost this year, due to higher unemployment and the impact of reduced government support measures on corporates. However, the timing remains uncertain and large-scale sales could be delayed to 2022 in a downside scenario.
According to Fitch, following the initial impact of the pandemic in 2Q20 and to some .......
News 8 April 2021
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Positive prospects
Margin loan CRTs on the agenda
Credit Suisse is expected to close a capital relief trade referencing Asian margin loans this quarter (SCI 15 March), with further such transactions anticipated amid rising current and future IPO issuance. Although senior management and regulators remain to be convinced, synthetic securitisations appear firmly on the agenda as a tool for managing the capital impact of an increase .......
News Analysis 8 April 2021
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GACS NPL ABS performance eyed
Sector developments and company hires
GACS NPL ABS performance eyed
Market Moves 7 April 2021
A sum of eight new GACS non-performing loan securitisations priced in late 2020, with a cumulative balance of €3.4bn (securitising a cumulative original GBV of €13.4bn of NPLs), according to JPMorgan’s latest Italian NPL Performance Tracker report. Including these transactions, Italian NPL ABS issuance has risen to €22.1bn across 38 deals (including three non-GACS transactions), .......
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Recovery package fast-tracked
Sector developments and company hires
Recovery package fast-tracked
Market Moves 6 April 2021
The Securitisation Capital Markets Recovery Package measures have been published in the EU Official Journal, meaning that the STS synthetics framework and improved non-performing loan ABS rules will come into force on Friday. The amendments are being fast-tracked at an unprecedented pace, coming into force only a fortnight after the European Parliament voted on them (SCI .......
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Pockets of value
Patient investors can find bargains in depressed CMBS sector
No area of the US securitization market has been as severely punished by the events of the last year as the CMBS market, and prices for large quantities of bonds incorporating hotel, office space and retail assets have fallen off a cliff. Yet, amid the general maelstrom, there are rich rewards for the discerning investor.
“Within the CMBS fallout, there are pockets .......
News Analysis 5 April 2021
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Running on fumes
New auto ABS emissions scoring gives concrete ESG evidence
KBRA’s pioneering effort to produce vehicle greenhouse gas (GHG) scores for 184 auto-loan securitizations from 22 different issuers reflects the growing demand from investors for more granular ESG data, says the rating agency.
It spent four weeks mapping the Environmental Protection Agency’s (EPA) GHG rating for each vehicle against every auto loan securitization for which sufficient loan level data exists and then .......
News 1 April 2021
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Houston CMBS has a problem
Sector developments and company hires
Houston CMBS has a problem
The Houston hotel sector is facing its greatest disruption ever, according to a new report from DBRS Morningstar. The hotel market in the fourth largest city in the US has gone from a fast expansion to crash as it is faced with a dual disaster.“The combined effects of the energy sector recession in .......
Market Moves 1 April 2021
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Provisioning boost
Moratoria decline amid stage two rise
Loans under EBA-eligible moratoria nearly halved in 4Q20. Nevertheless, banks have markedly increased their stage two classifications, particularly for stage two loans under moratoria. The latter might indicate that loans that are still under moratoria maybe those with higher risks going forward, but it is too early to draw conclusions.
According to the latest EBA data, loans .......
News 1 April 2021
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ESG endeavours
Social bonds gaining traction
Yorkshire Building Society’s recent Brass 10 RMBS marked the second social bond to hit the UK securitisation market, following Kensington’s social RMBS from February (SCI 3 February). While a ‘greenium’ has emerged for deals categorised as green, the trajectory for social bonds appears to be more nuanced, however.
“The mortgages backing the YBS deal will form part .......
News Analysis 1 April 2021
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Follow-up funding for Raiffeisen-Leasing
Sector developments and company hires
Follow-up funding for Raiffeisen-Leasing
The EIB Group has provided €200m funding to Raiffeisen-Leasing Austria via a true sale securitisation dubbed ROOF AT. The transaction’s €462.8m triple-A rated class A notes were preplaced with EIB (which subscribed to €150m) and EIF (€50m), as well as other market funding partners. Raiffeisen-Leasing Group subscribed to the €75m class B notes.The €538m .......
Market Moves 31 March 2021
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A turning point for investors
KopenTech looks at US CLO trading trends in 2020 and their likely future impact
In a period defined by a pandemic, social turmoil and an election, CLO investors increased their use of electronic trading to engage in a more efficient exchange of securities.
With this increase in volume came an increase in data. We highlight some of the US CLO market trends, including how increases in trading volumes have been handled by investors, and expectations for .......
Talking Point 31 March 2021
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SOFR ABS model presented
Sector developments and company hires
SOFR ABS model presented
Market Moves 30 March 2021
The Alternative Reference Rates Committee (ARRC) has published a white paper that outlines a model for using SOFR in ABS products. The paper describes how new securitisation issuances could use 30-day average SOFR, with a monthly reset, set in advance of the interest accrual period. This methodology uses the actual SOFR rates from the 30-day period .......
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Structural protections
Buyer's market limiting Euro CMBS 2.0 defaults?
Lessons learned from the European CMBS 1.0 market are arguably helping in the post-pandemic environment, with far fewer defaults seen during the current crisis than occurred in the wake of the financial crisis. A buyer’s market has also meant that investors have a greater ability to dictate structural protections.
“Pre-credit crunch, banks were big CMBS investors, particularly in .......
News Analysis 30 March 2021
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Mission possible
Securitisation critical to UKAR success
UK Asset Resolution (UKAR) last month completed its final asset sale (SCI 26 February), marking the end of over a decade of state ownership of Bradford & Bingley (B&B) and Northern Rock Asset Management (NRAM) that saw the vast majority of the two lenders’ legacy mortgage loans securitised across 13 transactions. Indeed, without a functioning securitisation market, these assets .......
News Analysis 30 March 2021
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Show me the money
Debut US regional bank CRT yields too thin for traditional buyers
Traditional capital relief trade buyers would not have been attracted to the recent Texas Capital Bank deal, as the yield was insufficiently alluring, say investors.
“Libor plus 400bp is too low; we’re looking at an absolute return of 8%-12%. We’d have to use leverage to get it up to those levels and we don’t do that. This .......
News Analysis 29 March 2021
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Equity return boost touted
Sector developments and company hires
Equity return boost touted
US CLO equity is poised to deliver double-digit returns to investors this year, paring back the underperformance seen over the past four years, according to new research from Bank of America.Analysts at the bank base their expectations on the fact that CLO equity market prices continue to lag, despite CLO NAV and interest distributions .......
Market Moves 29 March 2021
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SCI Start the Week - 29 March
A review of securitisation activity over the past seven days
CLO pricing service selected
News 29 March 2021
SCI Valuations has been selected by Bloomberg's Enterprise Data business to provide daily CLO debt pricing to integrate with Bloomberg's Liquidity Assessment (LQA) tool. The integration of this data with LQA will enable Bloomberg customers to more effectively and easily view and manage their portfolios, the companies say.
SCI Valuations provides automated valuations for US and European CLO .......