Complete news archive
-
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
-
Finish line
Trilogue agreement finalised
Negotiators from the European Parliament’s Economic and Monetary Affairs Committee (ECON) have reached an agreement with the European Council on targeted changes to the securitisation regulation and the CRR, with respect to the creation of an STS synthetics framework and changes pertaining to non-performing loan securitisations. The final text has not yet been disclosed, although official sources have confirmed .......
News 11 December 2020
-
-
NPL momentum
Call for specific securitisation framework
Regulatory support for the non-performing loan securitisation market has coalesced over the last few weeks, with the publication of the Basel Committee’s technical amendment (SCI 27 November) and Wednesday’s announcement that the European Parliament’s Economic and Monetary Affairs Committee and the European Council have reached an agreement regarding the targeted changes to the securitisation rules and the CRR .......
News Analysis 11 December 2020
-
Risk transfer round up-December 9
CRT sector developments and deal news
Santander is believed to have postponed the pricing of Project Spitfire as the lender and the investors were reportedly not able yet to negotiate a pricing for the equity tranche. The synthetic securitisation is allegedly backed by UK auto loans. The transaction would be Santander’s first post-Covid synthetic auto ABS.
....... News 10 December 2020
-
Disclosure charges settled
Sector developments and company hires
Disclosure charges settled
Market Moves 9 December 2020
BlueCrest Capital Management has agreed to pay US$170m to settle US SEC charges concerning inadequate disclosures, material misstatements and misleading omissions. These charges concern the firm’s transfer of top traders from its flagship client fund, BlueCrest Capital International (BCI), to BSMA Limited, a proprietary fund, and replacement of those traders with an underperforming algorithm. The SEC’s order .......
-
Real return
Money managers unlikely to be able to resist CLOs
The rapid Covid-driven blow-out in US CLOs, followed by an equally dramatic reverse, wrong-footed many real money managers and skewed their perception of the sector’s risk-reward profile. Consequently, some have been hesitant to return to the market. But, as 2021 approaches, many will re-join investment managers that didn’t step away, along with new investors all seeking the returns they .......
News Analysis 9 December 2020
-
ESN debate
Could structures cannibalise true sale ABS?
The European Parliament recently called for legislation to establish European Secured Notes (ESNs) to facilitate SME funding. The EBA is also supportive of an ESN funding option, alongside traditional covered bonds, but there are concerns about the potential for the instrument to eclipse true sale securitisation issuance.
“ESNs are touted as dual-recourse instruments and are expected to largely .......
News Analysis 9 December 2020
-
Morgan manoeuvres
JPM's heavier than most capital burden underpins its keenness for CRT
JP Morgan Chase has led the charge in the US CRT market in the last 12 months, but its urgency to make use of the mechanism has a lot to do with its specific and onerous regulatory capital burden, say market sources.
It is the biggest bank in the US with assets of around $2.7trn, almost $700bn more than its .......
News Analysis 8 December 2020
-
ADI securitisation review underway
Sector developments and company hires
ADI securitisation review underway
Market Moves 8 December 2020
The Australian Prudential Regulation Authority is undertaking a review of securitisation practices, having recently identified repurchased residential mortgage loans at some authorised deposit-taking institutions that were subject to repayment deferral from their securitisations. In APRA’s view, this represents implicit support, which is inconsistent with Prudential Standard APS 120 Securitisation. APS 120 requires ADIs to be clearly .......
-
CMBS value deficiencies compared
Sector developments and company hires
CMBS value deficiencies compared
Market Moves 7 December 2020
DBRS Morningstar has identified US$9.79bn in US CMBS loans transferred to special servicing since March, whose collateral was subsequently reappraised. Although updated appraisals on properties backing these loans suggest an average value decline of 24% since origination, only about 17% have a loan-to-value ratio of 100% or higher, resulting in a value deficiency. The analysis also .......
-
Next step
Call for greater EPC data disclosure
The European Commission last month launched a consultation on the first two sets of criteria for economic activities to qualify as economically sustainable under the EU's Taxonomy classification system, including for the first time a formal definition of what constitutes an energy efficient building. The move has been welcomed as part of industry efforts to progress green mortgage lending.
News Analysis 7 December 2020
-
-
SCI Start the Week - 7 December
A review of securitisation activity over the past seven days
Last week's stories
News 7 December 2020
Collections conundrum
Italian NPL ABS amortisation eyed (Full story below)
Covid communications
The pandemic has meant greater negotiation over terms between CRT buyers and sellers
High-quality counterparties
Insurer involvement in SRT on the rise
Innovative SRT inked
Belgian synthetic RMBS finalised
SCI CRT Awards 2020
Advisor/Service Provider of the Year: US Bank
SCI CRT Awards 2020
Analytics Firm of the Year: Mark Fontanilla .......
-
Leveraged finance: stepping into the void
Contributed thought leadership by Ocorian
As funds continue to reallocate capital to direct lending strategies, Sinead McIntosh, business development director at Ocorian, a global leader in corporate and fiduciary services, fund administration and capital markets, highlights the crucial role of independent loan service providers in streamlining fund loan portfolios
In a continuation of the legacy of the 2007-2008 global financial crisis, large commercial banks .......
Talking Point 7 December 2020
-
Dark fibre first
Sector developments and company hires
Dark fibre first
Summit Issuer Series 2020-1, the first securitisation backed by dark fibre communication infrastructure assets, is being marketed by Barclays on behalf of sponsor and manager Summit Infrastructure Group (SummitIG). The deal comprises four classes of notes: US$50m (notional maximum) A1 VFN, US$122.7m A2, US$18.9m B and US$33.6m C.SummitIG is able to draw on the Class .......
Market Moves 4 December 2020
-
High-quality counterparties
Insurer involvement in SRT on the rise
SCI publishes regular in-depth analysis of trends and developments across the capital relief trades market, in addition to our usual news output. In this latest CRT Premium Content article, we examine how insurers are gaining traction as high-quality counterparties to significant risk transfer transactions.
To upgrade your subscription to access all CRT premium content for a year, .......
News Analysis 4 December 2020
-
Collections conundrum
Italian NPL ABS amortisation eyed
The number of Italian non-performing loan securitisations with lagging collections is set to rise to 17 by 1Q21, Scope predicts. If the slowdown continues, the average time for deals to amortise will exceed 10 years, according to the agency’s NPL Dynamic Coverage Index.
The index is based on the median of the net yearly proceeds by outstanding liabilities .......
News 4 December 2020
-
SCI CRT Awards 2020
Personal Contribution to the Industry: Steve Gandy, md and h...
At the helm of arguably the most active and diverse capital relief trades arranging team, Steve Gandy has demonstrated strong leadership in innovation and the introduction of new asset classes and jurisdictions to the market. However, this award also recognises his significant contribution to the industry in terms of thought leadership and advocacy with policymakers and regulators on significant .......
News 4 December 2020
-
STACR due
BofA and Wells Fargo to underwrite imminent STACR deal
Freddie Mac has mandated Bank of America and Wells Fargo as joint bookrunners for its imminent STACR REMIC 2020-DNA6, due to be priced in the week beginning December 14th, the GSE made known today.
This is the fifth STACR trade Freddie has brought to market since it re-opened the CRT market with its 2020-DNA3 in July. In fact, 3Q was its busiest .......
News 3 December 2020
-
SCI CRT Awards 2020
Analytics Firm of the Year: Mark Fontanilla & Company
Mark Fontanilla & Company (MF&Co), founded in Charlotte, North Carolina, in 2017, provides a host of financial market advisory and consultancy services. The CRTx Total Return Index and its associated data/analytics suite is the firm’s flagship offering.
Unveiled in April 2018, the CRTx is the first and, as yet the only, commercial index that tracks the daily total return performance of all .......
News 3 December 2020