Complete news archive
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SCI Start the Week - 10 August
A review of securitisation activity over the past seven days
Last week's stories
News 10 August 2020
Asset-backed attenuation
Stricter underwriting in auto, credit card and home loan markets means fewer ABS deals
CMBS perturbation
Fitch report shows July US delinquency surge, especially in hotels and retail
CPIH calculation
Inflation index switch to support ICSL ABS
Freddie STACRs them up
New STACR deal was upsized and printed at the tight end across the capital structure
Greek momentum
Alpha .......
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CMBS perturbation
Fitch report shows July US delinquency surge, especially in hotels and retail
Despite the stronger than expected non-farm payroll released today, certain sectors of the US ABS market continue to give grave cause for concern, and top of that list is the CMBS sector, as figures reported by Fitch today (August 7) underline.
The loan delinquency rate hit 4.98% at the end of July, a 1.39% increase over the month, and the .......
News 7 August 2020
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Alternative CLO ETF announced
Sector developments and company hires
Alternative CLO ETF announced
Market Moves 7 August 2020
Alternative Access Funds (AAF) has announced the registration of its new AAF First Priority CLO Bond ETF, which is scheduled to become effective on 14 August and - if all approvals and launch objectives are met - begin trading in early September under the ticker ‘AAA’. The new ETF will focus its investments in US dollar-denominated .......
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CPIH calculation
Inflation index switch to support ICSL ABS
The UK government intends to align the RPI with the CPIH index within the next five to 10 years. Scenario analysis conducted by Fitch suggests that the move could improve repayment volumes and reduce asset risk in UK income contingent student loan (ICSL) securitisations.
Since the financial crisis, the basis of RPI over CPIH is considered to have .......
News 7 August 2020
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CMBS DQ rate declined
Sector developments and company hires
CMBS DQ rate declined
Market Moves 6 August 2020
The overall US CMBS delinquency rate dropped to 8.53% last month, while 25.78% of balances previously in grace became delinquent, according to S&P’s monthly tracker. All five sectors – industrial, office, multifamily, retail and lodging – saw declines month-on-month in their overall DQ rates. There were 290 newly delinquent loans (totaling US$6.4bn) in July, including 139 .......
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Greek momentum
Alpha applies for HAPS guarantee
Alpha Bank has applied for a guarantee from the Hercules Asset Protection Scheme (HAPS) for two non-performing loan securitisations from its Project Galaxy programme (SCI 29 May). As such, it has become the second Greek bank to utilise the HAPS guarantee as momentum in the Greek NPL ABS market builds.
The Greek lender revealed the project in .......
News 6 August 2020
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Asset-backed attenuation
Stricter underwriting in auto, credit card and home loan markets means fewer ABS deals
Underwriting standards in auto loans, mortgages and credit cards have tightened significantly in the last quarter, according to the latest Senior Loan Officer Opinion Survey (SLOOS), suggesting that lower asset balances mean lower securitization volumes in the remainder of 2020 and into 2021.
This is particularly true of the credit card securitization market, suggests Warren Kornfeld, senior vice president at Moody’s. “We .......
News Analysis 5 August 2020
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Middle market JV agreed
Sector developments and company hires
Middle market JV agreed
Market Moves 5 August 2020
PennantPark Investment Corporation (PNNT) has formed a joint venture with the private credit investment business of Pantheon to create PennantPark Senior Loan Fund I (PSLF). The strategic transaction seeks to enable PennantPark to leverage its middle-market lending capabilities and capitalise on compelling senior loan opportunities amid historic market volatility. Pantheon has invested US$35m in capital to .......
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NPL trade inked
Bank of Cyprus finalises Helix Two
Bank of Cyprus has sold a €916m - in gross book value terms - non-performing loan portfolio of retail and SME assets to PIMCO. Dubbed Project Helix Two, the pool is smaller than initially expected due to the Coronavirus fallout – although, following the execution of this trade, further NPL transactions by Bank of Cyprus are anticipated.
According .......
News 5 August 2020
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Freddie STACRs them up
New STACR deal was upsized and printed at the tight end across the capital structure
Freddie Mac has confirmed that the B1 and B2 tranches of its $835m STACR REMIC 2020-HQA3 deal, printed at the end of the week of July 20-24, were upsized from $150m to $225m and $75m to $100m respectively.
Each tranche of the four-tranche offering, underwritten by Citi and BNP Paribas, also priced at the tight end of guidance. In addition, .......
News 4 August 2020
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MM CLO test failures rise
Sector developments and company hires
MM CLO test failures rise
Market Moves 4 August 2020
The continued deterioration in credit quality of issuers due to the coronavirus pandemic resulted in a large number of US middle market CLOs failing a variety of tests for the first time in 2Q20, according to Fitch’s latest report on the sector. Of the 58 MM CLOs covered in the report, 23 failed at least one .......
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Euro CLO equity edges ahead
Sector developments and company hires
Euro CLO equity edges ahead
Market Moves 3 August 2020
European CLO equity cashflow returns average 9.3% year-to-date and - as all CLOs in reinvestment are currently paying - the full-year 2020 cashflow return is likely to be low-teens, according to a new report from JPMorgan CLO research analysts. As such, European equity pieces have edged ahead of their US counterparts, currently returning 8% year-to-date .......
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Nuanced approach
Call for clarity in defining ESG
A nuanced approach to ESG considerations is emerging within the securitisation market. Nevertheless, the Covid-19 pandemic has put social and governance factors in the spotlight.
Anuj Babber, head of ABS research at M&G Investments, says: “The securitisation industry is at the infancy of incorporating ESG considerations into its credit and investment decisions. What we are seeing is that .......
News 3 August 2020
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SCI Start the Week - 3 August
A review of securitisation activity over the past seven days
Last week's stories
News 3 August 2020
Blockchain boost
DLT opportunity for ABS market
CMBS concerns
Tailored Brands exposure eyed
CRT conveyor belt
The second CRT deal from JPM marks a quickening of pace in the bank market
Execution risks?
Hertz performance metrics improving
Lag lustre
Slower recovery in CLOs provides advantages and opportunities
Recovery vehicl
European securitisation 'fixes' on the cards?
SRT boost
BMO launches capital relief trade
STACR surge
Freddie .......
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CRT conveyor belt
The second CRT deal from JPM marks a quickening of pace in the bank market
JPM’s second CRT deal in the last nine months, priced two weeks ago, is expected to attain the necessary regulatory approval, while other deals and, indeed, other issuers should follow the same path, say analysts.
The Chase Mortgage Reference Notes 2020-CL1 transferred risk on a $2.002bn reference pool of 8,683 prime quality residential mortgage loans.
“I would definitely expect them to .......
News Analysis 31 July 2020
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The perils of Covid CRE
While CRE market has proved robust so far, help is still needed.
The US commercial real estate market, and by extension the CMBS sector, has performed better recently than was thought likely a few months ago, but this does not mean all is well.
The expiry of enhanced unemployment benefits today (July 31) plus ongoing economic dislocation due to a far from tamed pandemic suggests that things will get worse in the near term.
One .......
News Analysis 31 July 2020
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GSE results improve
Sector developments and company hires
GSE results improve
Market Moves 31 July 2020
Both Fannie Mae and Freddie Mac have reported sharply improved Q2 results, despite the ongoing housing market dislocation as a result of Covid-19. Fannie Mae said net comprehensive income was US$2.53bn, compared to US$476m in Q1, while Freddie Mac had income of US$1.94bn compared to US$620m in Q1. Both GSEs had much lower than usual profits in .......
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Risk transfer round-up - 31 July
CRT sector developments and deal news
Caixabank is rumoured to be readying a capital relief trade backed by consumer loans for 2H20. The lender’s last significant risk transfer trade was finalised in May 2019 and was called Gaudi Synthetic Three (see SCI’s capital relief trades database).
....... News 31 July 2020
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Recovery vehicle
European securitisation 'fixes' on the cards?
The securitisation-related measures included in the European Commission’s capital markets recovery package have been welcomed for, among other things, removing the uncertainty regarding the EBA’s reluctance to recommend recalibrating the CRR for STS synthetics (SCI 24 July). However, the move could potentially also signal policymakers’ willingness to address the remaining securitisation ‘fixes’ that the industry has been calling .......
News Analysis 31 July 2020
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CMBS concerns
Tailored Brands exposure eyed
Tailored Brands has revealed that coronavirus-related financial disruption means it is considering undergoing bankruptcy reorganisation, which could be pursued as soon as 2 August. KBRA reports that 217 properties collateralising 208 loans (US$14.44bn by allocated loan amount) across 226 US CMBS have exposure to a Tailored Brands location.
Around 26% of this cohort was delinquent, as of last .......
News 31 July 2020
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Execution risks?
Hertz performance metrics improving
Although Hertz Corporation’s interim settlement with investors holding Hertz Vehicle Financing II ABS notes (SCI 27 July) is “a step in the right direction”, Fitch believes the company still faces notable execution risks, due to ongoing coronavirus impact on the rental car sector and a challenging operating environment. The settlement consequently has no impact on the agency’s ratings .......
News 31 July 2020