Complete news archive
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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
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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
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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
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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
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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 .......
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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
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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
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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
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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 .......
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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 .......