Complete news archive
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Chip shortages 'credit positive' for auto ABS
Sector developments and company hires
Chip shortages ‘credit positive’ for auto ABS
Market Moves 18 March 2021
Sizable auto production cuts due to semiconductor shortages in the US will provide support for used vehicle values, a credit positive for securitisations and captive auto finance companies, according to Moody’s. The rating agency notes that such shortages – which are expected to last at least into next quarter - could result in North .......
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Legislative hoops
Multiple layers of regulatory assent hinders US CRT development
Texas Capital Bank confirmed last week that it sought approval from three different US regulators before selling its debut capital relief trade (SCI 12 March). For many banks, this process represents a deterrent to issuance.
The OCC, the US Fed and the FDIC all had to give the thumbs up to TCDI before it felt able to .......
News Analysis 17 March 2021
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Gemgarto delinked from Libor
Sector developments and company hires
Gemgarto delinked from Libor
Kensington Mortgage Company has delinked its Gemgarto 2018-1 RMBS from its tie to three-month sterling Libor by amending the asset, liability and hedge sides of the deal, which matures in September 2065. The changes allow the servicer to gradually migrate the underlying borrowers to an alternative reference rate and away from Libor.Included in Gemgarto's .......
Market Moves 17 March 2021
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Bank boost
US CLO triple-As see strong bank demand, but for how long?
Significant support from US banks has contributed to the 2021 rally at the top of the stack. Inevitably, though, that level of support will be finite.
Notwithstanding the slight wobble seen in the last few sessions, the primary-secondary basis in US triple-A spreads has compressed significantly in recent months and looks likely to continue at similar levels for a while .......
News Analysis 16 March 2021
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Performance indicators
Footfall data, CMBS spread correlation highlighted
Advan Research Corporation plans to create more sophisticated applications, such as bond calculators, for US CMBS market participants over the next three to six months. The move follows the release of the firm’s CMBS foot traffic counts data product last month (SCI 27 February).
“Our focus at present is on integrating the data with client modelling processes .......
News 16 March 2021
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'Unprecedented' Moroccan CRT closed
Sector developments and company hires
‘Unprecedented’ Moroccan CRT closed
Market Moves 16 March 2021
Moroccan fertiliser giant OCP Group has subscribed to the notes issued by the first synthetic securitisation in Morocco. The transaction involved the establishment of a collective securitisation vehicle dubbed Fonds Damane Tamayouz, which has been structured to facilitate access to credit for the suppliers that make up OCP's industrial ecosystem.
Clifford Chance, which advised on the deal, .......
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Bifurcated bother
Stress for CMBS secured by ground fees, leaseholds
The popularity of US CMBS backed by loans secured by property leaseholds or ground fees, or both, has waned recently. Indeed, such transactions priced in the heyday of 2014-2017 are coming under increasing stress.
“These deals were more prevalent three or four years ago. But in the Covid era, we’ve seen less and in the recovery period it’s .......
News Analysis 15 March 2021
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Diversification play
MPL platforms broadening product offerings
The consumer loan marketplace lending ABS segment has proved to be resilient through the coronavirus-induced downturn. However, concerns are emerging regarding how performance might change after stimulus and borrower relief measures come to an end in the US.
“KBRA placed many ratings in the sector on watch at the onset of the pandemic; however, due to favourable performance .......
News Analysis 15 March 2021
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Defence Bank debuts Aussie RMBS
Sector developments and company hires
Defence Bank debuts Aussie RMBS
Defence Bank (DBL) is prepping its inaugural public Australian prime RMBS, the A$300m DBL Funding Trust No. 1 Salute Series 2021-1. DBL provides financial products and services to members of the Australian Defence Force (ADF), as well as the broader community.DBL is one of three lenders selected to provide home loans to ADF .......
Market Moves 15 March 2021
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SCI Start the Week - 15 March
A review of securitisation activity over the past seven days
Last week's stories
News 15 March 2021
Alignment issues
EEM performance concerns emerge
Cladding issues
Fire-safety requirements to have 'marginal' impact on RMBS
CLOs/CBOs solid
US CLO primary rumbles on as CBOs perform strongly
Collection hitch
January NPL collections fall
Strategic expansion
Capital Four answers SCI's questions
Supply fatigue?
European ABS market update
Texas blazes the trail
The first CRT deal from a US regional fires the starting gun
Texas two-step
TCBI's .......
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Texas two-step
TCBI's debut is the curtain raiser for a new CRT strategy
Texas Capital Bank’s (TCBI) debut in the CRT market - making it the first US regional bank to successfully execute such a deal (SCI 11 March) - is not a none-off but the beginning of a long-term strategy, Madison Simm, evp, business optimisation in Dallas, told SCI yesterday (11 March).
The deal carries a three-year term, but .......
News Analysis 12 March 2021
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Collection hitch
January NPL collections fall
Italian non-performing loan collections in January have plunged, following a December boost (SCI 26 February). Given a third pandemic wave that is about to hit the Italian economy, NPL ABS collections are still 46% below pre-Covid levels - a trend that is not expected to revert in the medium term.
According to Scope Ratings, January collections were .......
News 12 March 2021
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Strategic expansion
Capital Four ceo Sandro Naef and Capital Four US ceo Jim Wiant answer SCI's questions
Q: How and when did Capital Four become involved in the structured credit market?
The Structured Credit Interview 12 March 2021
A: We have been investing in CLO liabilities for more than a decade. In terms of managing CLOs ourselves, it was a natural evolution a couple of years ago to also start managing CLOs ourselves, as we have been managing senior loans and bonds a long .......
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Texas blazes the trail
The first CRT deal from a US regional fires the starting gun
Texas Capital Bank has become the first US regional bank to issue a credit risk transfer deal, breaking the ice in what is expected to be an increasingly active area of the US CRT market.
A $275m CLN references a $2.2bn mortgage loan exposure and the deal was oversubscribed, says the bank. It closed on March 9.
News Analysis 11 March 2021
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Third wheels
JPMorgan takes to the road again with another auto-linked credit note
JP Morgan Chase is to issue its third auto loan-linked CRT transaction in the last eight months, designated Chase Auto Credit-Linked Notes Series 2021-1, in another indication of the growth of the CRT market in the US.
The note references 161,885 reference obligations for a notional amount of $3.98bn.
The pool is composed of high quality credits, as is common for US CRT .......
News 11 March 2021
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BDC fair value assessed
Sector developments and company hires
BDC fair value assessed
On the back of tightening BDC spreads and growing investor interest, JPMorgan CLO research analysts have published a report aiming to assess fair value in the sector. In addition, they compare BDCs to their closest relative – middle market CLOs.“Differentiating between BDCs is a challenge; thus, we used attachment points as a reference point .......
Market Moves 11 March 2021
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Alignment issues
EEM performance concerns emerge
The European Mortgage Federation-European Covered Bond Council (EMF-ECBC) last month formally launched its Energy Efficient Mortgage (EEM) label. However, concerns are emerging that the label is being driven forward potentially at the expense of environmental performance.
Across the 27 European Member States, 200 million dwellings were built last century, representing a significant challenge in terms of renovating existing .......
News Analysis 11 March 2021
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ESG engagement underway
Sector developments and company hires
ESG engagement underway
Market Moves 10 March 2021
All EU-based open-ended funds managed by Leadenhall Capital Partners have been categorised as being investment products that promote environmental and social characteristics in accordance with the criteria recently set out in Article 8 of the EU’s Sustainable Finance Disclosure Regulation (SFDR). The firm says it has committed to embed ESG considerations in its investment process for a .......
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Supply fatigue?
European ABS market update
Execution for the two UK securitisations priced last week indicated a limited appetite for paper, following the heavy supply seen in previous weeks (SCI 23 February). A weaker tone in European ABS secondary spreads also emerged.
“The market is a little bit softer, due to a combination of factors - the amount of supply that we have .......
News 10 March 2021