Complete news archive
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Delayed defaults
German auto ABS support weighed
The assets underlying German auto ABS have remained resilient during the coronavirus pandemic. However, defaults are expected to emerge, once the impact of government support measures wears off.
Fitch reports that no German auto ABS tranches are currently on negative outlook or rating watch negative. Further, there has not been a significant increase in arrears or periodic defaults .......
News 18 December 2020
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Issuance forecasts lowered on TFSME extension
Sector developments and company hires
Issuance forecasts lowered on TFSME extension
The Bank of England has extended by six months the TFSME, covering both the drawdown period and the reference period of the scheme. The former will now run until 31 October 2021, while the latter will run from 31 December 2019 to 30 June 2021.JPMorgan international ABS analysts expect eligible banks and .......
Market Moves 18 December 2020
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Margin call
CLO equity arbitrage doubts raised
CLO new issuance is once again flourishing as the arb continues to improve, but the pick-up in volumes could yet prove to be premature. New investment performance data suggests current criteria are underestimated and also reveal a disparity between European and US returns.
“The market thinks a net collateral interest margin of 150bp (including management fees) is enough to make .......
News Analysis 18 December 2020
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On the cards
2020 credit card spending low, suggesting slim ABS issuance to continue
News Analysis 17 December 2020
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Full stack resilience
Volumes down, but not out
Full-stack significant risk transfer deal volume declined this year amid the Covid-19 fallout. Nevertheless, transactions have shown resilience in terms of performance.
Full-stack SRT transactions have a smaller range in terms of size - of between €500m to €1bn – compared to synthetic securitisations. Andrea Modolo, md at UniCredit, says: “Generally, synthetic transactions are around €2bn and this .......
News Analysis 17 December 2020
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Improving sentiment
Opportunities rebound in aircraft ABS market
Aircraft ABS secondary market activity all but dried up with the onset of Covid-19, until trading began picking up in September and October. At the same time, investors with capital began sourcing higher yielding opportunities in the sector.
Some aircraft ABS class A notes that were trading in the low-70s in April and May are now trading in .......
News Analysis 17 December 2020
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Bellemeade 2020-4 comes in at $337m
3-tranche MILN has higher than usual LTV pool
Arch Capital has priced Bellemeade Re 2020-4, which entered marketing last week and will close next week, for a final issue size, in bonds, of $321.39m, confirms the borrower. The joint leads are Bank of America and Credit Suisse.
The mortgage insurance-linked note (MILN), the fourth Bellemeade deal of the year, comprises three tranches. These are, firstly, the $136.264m M-2A, rated Ba3 .......
News 16 December 2020
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CLO manager transfers accelerate overlap
Sector developments and company hires
CLO manager transfers accelerate overlap
When managers acquire CLOs, the underlying portfolios become more like the existing portfolios of the acquiring manager, according to a new report from Fitch.During 2020, Fitch noted four CLO contract changes, two platform sales and two ownership changes. The contract sales this year were Crestline Denali’s sale of CLO management contracts to Ares .......
Market Moves 16 December 2020
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Call for further improvement
'Unambitious' NPL strategy launched
The European Commission has published a strategy that aims to prevent a build-up of non-performing loans across the EU banking sector, as a result of the coronavirus crisis. The proposals build upon a set of previously implemented measures, but have been criticised for not providing for an improved NPL securitisation framework.
Michael Lever, md, prudential at AFME, describes .......
News 16 December 2020
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STACR 2020-DNA6 prints
All tranches of new STACR print well inside guidance
Freddie Mac’s STACR 2020-DNA6 has now printed for a final deal size of $790m and comprises four tranches, all of which printed appreciably inside price guidance.
The $279m BBB+ M1 tranche pays SOFR plus 90bp compared to price guidance was SOFR plus 95bp-100bp. The weighted average life (WAL) is 2.13 years and credit enhancement (CE) is 200bp.
The $208m BB+ M2 tranches pays .......
News 15 December 2020
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CRT super spreader
Asset manager ArrowMark, a long-time investor in CRT, sees increased US usage
Despite the constraints imposed by Covid 19, this has been a banner year for the CRT market in the US, with headline-making deals from JP Morgan and Goldman Sachs while Citigroup, a longstanding user of the mechanism, has been rumbling along below the radar screen.
Kaelyn Abrell, a partner and portfolio manager at ArrowMark Partners, a $20bn asset manager based in Denver, .......
Talking Point 15 December 2020
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Brit PCC in 144A cat bond first
Sector developments and company hires
Brit PCC in 144A cat bond first
Brit has printed its debut catastrophe bond, dubbed Sussex Capital UK PCC (Series 2020-1). The issuance marks the first time a protected cell of a UK domiciled multi-arrangement risk transformation vehicle has issued a 144A ILS.The transaction will provide US$300m of multi-year named storm and earthquake protection for a risk period of .......
Market Moves 14 December 2020
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SCI Start the Week - 14 December
A review of securitisation activity over the past seven days
Last week's stories
News 14 December 2020
Bellemeade bonanza
The latest Arch trade covers the same insurance vintage as June's 2020-1
ESN debate
Could structures cannibalise true sale ABS?
Finish line
Trilogue agreement finalised
Landmark SRT completed
Unusual synthetic securitisation inked
Leveraged finance: stepping into the void
Contributed thought leadership by Ocorian
Morgan manoeuvres (Full story below)
JPM's heavier than most capital burden underpins its keenness for CRT
Next step
Call .......
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Leasing debut
NPL ABS expected to benefit from GACS
UniCredit Leasing has completed the first Italian non-performing loan securitisation backed by lease receivables that is expected to benefit from a GACS guarantee. Dubbed Relais SPV, the transaction is secured by real estate financial lease agreements with a gross claim amount of €1.58bn, as of 31 March 2020.
The issuer acquired the portfolio at the transfer date of .......
News 14 December 2020
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Bellemeade bonanza
The latest Arch trade covers the same insurance vintage as June's 2020-1
Arch Capital is in the market again with its latest mortgage insurance-linked note (MILN), designated Bellemeade 2020-4.The transaction entered marketing yesterday (December 10), is due to be priced next week and should close around December 22.
This is the fourth Bellemeade deal of the year, and the third since Arch re-opened the sector in late June with Bellemeade 2020-1 after the .......
News 11 December 2020
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CLO liquidity complexity examined
Sector developments and company hires
CLO liquidity complexity examined
CLO secondary market activity is booming across the board, but the underlying liquidity picture is a complex one, according to a new report by JPMorgan CLO research analysts.CLO BWIC trading volume has already reached an all-time annual high in 2020 at US$48.1bn for the US and €11.7bn for Europe, the JPMorgan report says. However, it adds .......
Market Moves 11 December 2020