Complete news archive
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Auto SRT priced
Santander unveils its first post-Covid Spanish auto SRT
Santander this week priced a full stack auto significant risk transfer trade (SRT) referencing a static €520m portfolio of Spanish auto loans, constituting the bank’s first post-Covid lockdown Spanish auto SRT.
Dubbed Santander Consumer Spain 2020-1, marketing for the deal began in last month (SCI 28 August).
Class A pays three-month Euribor plus 39bp, class B pays three-month Euribor plus 95bp, class .......
News 16 September 2020
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Aussie opportunities
Increasing issuance in Australian primary market
The recent announcement that the Royal Bank of Australia’s (RBA) Term Funding Facility (TFF) will be increased and extended into 2021 suggests that while ongoing issuance from the non-bank sector is expected, it is highly unlikely that significant levels of ADI issuance will be seen while lenders have access to the TFF, say well-placed market participants.
“Over the last month, the primary .......
News 15 September 2020
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Regulatory divergence
Brexit complicates ESMA RTS compliance
The controversy surrounding the application of the EU’s regulatory technical standards (RTS) to securitisation disclosure requirements persists, while the UK’s imminent departure from EU regulations and consequent potential divergence from the bloc’s rules further complicates the situation.
The RTS was published in the official journal of the EU earlier this month and will enter into force on 23 September 2020.
A series of .......
News 14 September 2020
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LLPA exceptions
Record origination in Q2 as rates scrape the lows
The controversial adverse market fee announced by the GSEs in August initiated an immediate 12.5bp increase in 30-year mortgage rates and a drop in rate-lock activity, according to Black Knight, the mortgage data and research firm.
“When the 50bp fee was made public, 30-year rates increased by an eighth of a point, and rate lock activity pulled back by 20%. The fee .......
News Analysis 11 September 2020
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SYME securitisation underway
Sector developments and company hires
SYME securitisation underway
Market Moves 11 September 2020
Supply@ME Capital (SYME) reports that it has received offers, subject to contract, from a number of large, global institutional investors for a securitisation note issuance via StormHarbour, in order to monetise more than €300m of inventory (SCI 24 April). The company says it is currently analysing whether to syndicate this first securitisation issuance or work on .......
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Missing piece
Lack of equity investors holding back CLO growth
The CLO primary market is fully back to post-summer business with three new deals pricing yesterday, 10 September and a bulging pipeline either side of the Atlantic. However, the lack of equity investors is holding the sector back from greater long-term growth.
The deals that priced yesterday brought this holiday-shortened week’s total to five already and continued the .......
News Analysis 11 September 2020
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Volksbank debuts
Delayed Italian SRT inked
Volksbank has completed a financial guarantee with the EIF and the EIB that references a static €700m Italian SME portfolio of roughly 3600 borrowers. The transaction is the Italian bank’s first significant risk transfer transaction.
Martin Schweitzer, cfo and deputy ceo at Banca Popolare dell’Alto Adige, notes: “It’s an important transaction for us in several respects, not least because of .......
News 11 September 2020
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APAC SRTs eyed
Balance sheet optimisation in focus
Asia Pacific banks are eyeing synthetic securitisations to optimise their balance sheets and as Basel 4 is incorporated into local laws. However, portfolios tend to be structured as blind pools, which could potentially limit future investor interest.
APAC SRTs are not a new phenomenon, as the activity of Standard Chartered and Credit Suisse demonstrates. Credit Suisse, for instance, closed three APAC .......
News Analysis 11 September 2020
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Auto opportunities
Euro residual values holding up
The European second-hand car market has been relatively strong since lockdown ended, supporting auto ABS residual values, according to panellists at S&P’s recent European Structured Finance Virtual Conference. Mezzanine tranches in consumer and auto paper were highlighted as areas of opportunity.
Vittoria Ferraris, senior director and sector lead automotive EMEA at S&P, noted that auto ABS residual values .......
News 11 September 2020
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Pent-up demand
European RMBS market update
The European securitisation market reopened post-summer with a blow-out print for ARA Venn’s latest STS Dutch prime RMBS, the €300m Cartesian 5. The books for the class A notes were 5.5x covered, with orders reaching €1.5bn, indicating pent-up demand for paper.
“I was quite surprised by the level of demand,” says one ABS trader. “The main driver is .......
News 10 September 2020
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Multi-level Libor exposure eyed
Sector developments and company hires
Multi-level Libor exposure eyed
Market Moves 9 September 2020
Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of Japanese structured finance transactions the agency rates have Libor exposure and, in some cases, there is Libor exposure through notes, as well .......
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Risk transfer round-up - 9 September
CRT sector developments and deal news
Commerzbank is rumoured to have significantly upsized a corporate and SME significant risk transfer trade that is expected to close in 4Q20, following the alleged replacement of PGGM as counterparty with another private investor. The German lender’s last capital relief trade was closed with the EIF in February (see SCI’s capital relief trades database).
....... News 9 September 2020
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Euro CLO payment mismatch grows
Sector developments and company hires
Euro CLO payment mismatch grows
Market Moves 8 September 2020
The payment frequency mismatch between underlying loans and European CLOs is growing as loan issuers switch to semi-annual payments to manage risks in the Covid crisis, according to Fitch. The agency reports an increase in the share of semi-annual obligations among quarterly-paying Fitch-rated CLOs to around 50% of the portfolio balance in July 2020, from .......
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ILS burden eased
Trapped capital securitisation debuts
Bermuda-based ILS Capital Management has completed a US$57m first-of-its-kind trapped capital securitisation. Trapped capital has historically been considered a burden in the ILS sector.
The debut transaction encompasses 51 contracts and represents 70% of the trapped capital across ILS Capital funds, as of 1 January 2020. Tom Libassi, managing partner and co-founder of ILS Capital Management, says: “The .......
News 8 September 2020
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Dispersion emerging
Mortgage payment holidays rolling off
A significant number of borrowers across Europe have resumed their mortgage payments, after exiting payment holiday schemes. However, dispersion across RMBS pools is emerging, due to the different lending practices of each lender.
Julian Craughan, partner at Hogan Lovells, notes the commonality in responses as regulators and central banks took a pragmatic approach to addressing coronavirus-induced stress. “Different .......
News Analysis 7 September 2020
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SCI Start the Week - 7 September
A review of securitisation activity over the past seven days
SCI CRT Awards
The submissions period for the 2020 SCI CRT Awards is now open. The qualifying period for the awards is the 12 months to 30 September 2020.Pitches and/or any queries should be emailed to [email protected] by 9 October. Click here for information on categories and the submissions process.
Final selections will be made by the SCI .......
News 7 September 2020
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Hotel headache
Hotel-backed US CMBS sector eyes crucial year-end
The hotel/lodging-backed US CMBS market sits on a knife edge. No area of the ABS market is less protected against the harsh winds of the Covid 19 economic winter, and the next few months will be crucial to the performance of many CMBS transactions.
Fitch Ratings yesterday retained its Rating Watch Negative (RWN) for all single borrower hotel CMBS deals, but if .......
News Analysis 4 September 2020
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Reporting template RTS published
Sector developments and company hires
Reporting template RTS published
Market Moves 4 September 2020
Seven Commission Delegated and Implementing Regulations comprising the technical standards in connection with the details to be made available by the originator, sponsor and SSPE in a securitisation transaction subject to the Securitisation Regulation have been published in the EU Official Journal. Publication means that the reporting templates RTS will be effective on 23 September, after .......
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Liquidity boost
Piraeus taps Intrum
Piraeus Bank and Intrum have signed an agreement under which Intrum will acquire 30% of the junior and mezzanine tranches of a €1.9bn non-performing loan RMBS dubbed Project Phoenix. The novelty of the deal lies in its ability to facilitate auctions via an SPV liquidity reserve.
According to the terms of the transaction, 30% of the junior and .......
News 4 September 2020
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Risk transfer round-up - 4 September
CRT sector developments and deal news
Intesa Sanpaolo is rumoured to be readying a corporate capital relief trade from its GARC programme for 2H20. The Italian lender closed its first post-Covid significant risk transfer deal and last GARC transaction in June. The latter deal referenced leasing assets (see SCI’s capital relief trades database).
....... News 4 September 2020
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CMBS cure rates eyed
Sector developments and company hires
CMBS cure rates eyed
August US CMBS remittance data shows declining 30-plus day delinquency rates, as consent and forbearance agreements came into force and the country reopened. Within post-GFC conduit deals, 30-plus day delinquencies fell 40bp month-on-month to 8.1%, while SASB delinquencies improved 34bp to 7.4% and CRE CLOs improved 30bp to 2.4%.Contributing to this improvement in delinquencies .......
Market Moves 3 September 2020