Complete news archive
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Positive pick-up
European ABS market update
The positive tone across the European securitisation market appears to be continuing this week, following one that saw rare Dutch consumer (Aurorus 2020) and Portuguese auto (Silk Finance No. 5) paper placed. Indeed, two more relatively rare mandates were announced yesterday (20 July) – a new UK prime RMBS master trust and the first post-coronavirus UK CMBS.
One .......
Market Reports 21 July 2020
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Carrots and sticks
'Wide-ranging and ambitious' recommendations welcomed
The recommendations put forward by the High Level Forum on Capital Markets Union (CMU) last month have been welcomed by the European securitisation industry (SCI 11 June). However, while these measures – if implemented – should provide the necessary framework for a healthy and robust ABS market, they are far from being a silver bullet.
The High .......
News Analysis 21 July 2020
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Support network
US CLO prices supported by a variety of factors
US CLO secondary market prices have come back a long way since the Covid-driven collapse in March. Spreads have softened a little since June’s tights, as summer lethargy seeps in, but are still benefiting – for now, at least – from positive broader credit market sentiment underpinned by government support for the wider economy and the CLO market’s own .......
News Analysis 21 July 2020
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UK Mortgages offer disclosed
Sector developments and company hires
UK Mortgages offer disclosed
Market Moves 20 July 2020
M&G Investment Management (MAGIM), on behalf of one of its managed funds - M&G Specialty Finance Fund (£) SCSp – has disclosed that it has made several approaches to the board of UK Mortgages Limited (UKML) with a view to making a recommended cash offer for UKML, all of which have been rejected. The most recent approach .......
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SCI Start the Week - 20 July
A review of securitisation activity over the past seven days
FREE - CRT modelling panel
News 20 July 2020
The next in SCI's series of capital relief trades virtual debates is being held tomorrow, 21 July, at 2pm BST. Join distinguished speakers from Texel, Granular Investments, BNP Paribas, OSIS and PwC to find out how the Covid-19 fallout can be incorporated into stress tests and due diligence approaches, and whether SA and IRB models should .......
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No rush
CLO investors have time on their side for resets and refis
Post-Covid US CLO issuance is gathering pace for new deals, but refinancings and resets are few and far between so far. There are opportunities for both types of restructuring, but for the vast majority of deals, there is no rush for equity investors to initiate the process.
There have only been two US CLO refinancings since the Covid .......
News Analysis 17 July 2020
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Euro CLO par burn rises
Sector developments and company hires
Euro CLO par burn rises
Market Moves 16 July 2020
After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built par in 2020 YTD by an average +19bp, while the remaining 30 managers burnt par by an average -41bp. .......
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Pandemic protections?
Structural features mitigate auto ABS risks
Structural features are overall mitigating Covid-19-related risks in auto ABS transactions, thanks to credit enhancement and other protections that largely offset any deterioration in collateral performance. However, delinquencies and defaults are expected to rise further, albeit not exponentially.
According to Moody’s: “Most auto ABS deals that we rate have substantially deleveraged and have significant credit enhancement, especially among .......
News 16 July 2020
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Seeking clarity
Call to reassess repo language
The AG MIT CMO versus Royal Bank of Canada case, which recently settled (SCI 3 June), highlights how Covid-19 disruption has caused confusion over what constitutes a ‘recognised market’ for the purpose of selling securities. Indeed, the lawsuit underscores the need for greater clarity in securitisation repurchase agreements.
In the case, AG Mortgage Investment Trust argued that RBC .......
News 16 July 2020
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Conflict-free trading
Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions
Q: How and when did Meraki Global Advisors become involved in the securitisation market?
A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outsourced trading and operations firm that was launched in April 2019.We identified a need among the more sophisticated multi-asset hedge fund community .......
The Structured Credit Interview 16 July 2020
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October cliff edge looms
The apparent recovery of many parts of the MBS market may be a false dawn
Mortgage-backed securities have in general rebounded with confidence in recent weeks, but there is an undercurrent of alarm in the market that the resurgence might have over-reached itself. Despite the last non-farm payroll report, much economic data is still extremely sobering and a shock in Q4 could be on the cards, say analysts.
For example, seven credits of the 100 constituent credits .......
News Analysis 15 July 2020
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Risk transfer round up - 15 July
CRT sector developments and deal news
Credit Agricole is rumoured to be readying a corporate capital relief trade that is expected to close in 2H20. The French lender’s last risk transfer trade was closed in March 2018 with the IFC (see SCI’s capital relief trades database).
....... News 15 July 2020
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Risk transfer return
Intesa debuts post-Covid Italian SRT
Intesa Sanpaolo has returned to the synthetic securitisation market with a new transaction from its GARC programme. Dubbed GARC Leasing-1, the €107m cash collateralised equity tranche references a static €1.5bn portfolio of lease financing to 2,600 Italian SMEs. The transaction is the first Italian leasing SRT and the first private capital relief trade to be issued out of Italy .......
News Analysis 15 July 2020
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Structural changes
New US CLO docs anticipating Volcker
Most of the US CLOs currently marketing are already being structured to incorporate changes resulting from the revised Volcker rule (SCI 26 June). At the same time, new deal documentation is also enabling greater flexibility for managers to participate in restructurings.
Despite the Volcker rule changes not being effective until 1 October, new deals are already being .......
News Analysis 15 July 2020
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Dual-speed transition?
Libor replacement risks highlighted
The Alternative Reference Rates Committee's timelines for transitioning from Libor to SOFR is behind those of the sterling market’s for transitioning to SONIA, implying that the adoption of many risk-free rate best practices will take place in late 2021. At the same time, legacy securitisation documentation might not have embedded strong transition language, which could lead to counterparty litigation.
News Analysis 14 July 2020
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Fannie takes a step back
As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules
Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Federal Finance Housing Authority (FHFA) on May 20 is causing Fannie Mae to hold back from CRT issuance, confirm market sources close to the agency.
“They’re trying to evaluate what the new capital rules might mean before they take the next step,” says one consultant.
At the beginning .......
News Analysis 14 July 2020
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LCX platform expanded
Sector developments and company hires
LCX platform expanded
Market Moves 13 July 2020
LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled the company to sell previously originated loans at, above or below par, from its balance sheet. For the first time, LendingClub .......
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ACIS activated
Freddie Mac brings first ACIS CRT deal since March
Following its recent re-opening of the CRT bond market with a $1.1bn STACR deal, Freddie Mac last Friday (July 10) priced its first ACIS deal since March. Like the STACR deal, this transaction was also over-subscribed and issue size was doubled to $425m.
The deal, designated ACIS 2020 DNA3, consisted of four tranches. The M1, for an issue size .......
News 13 July 2020
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SCI Start the Week - 13 July
A review of securitisation activity over the past seven days
Last week's stories
News 13 July 2020
Arch restarts MILNs
Relaunched Bellemeade Re 2020-1 priced
Collection boost?
NPL ABS performance remains volatile
CPR for CRT from Freddie
Freddie Mac's new upsized STACR shows market is healthy
Forbearance plans plummet
Forbearances fall to April levels, but rollercoaster ride isn't over
Polish SRT inked
Santander completes capital relief trade
Pricing recalibration
NPL ABS market growth pending?
Restructuring events?
Uncertainty over CRE values .......
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Forbearance plans plummet
Forbearances fall to April levels, but rollercoaster ride isn't over
Forbearances fell by 435,000 last week - the biggest single week drop yet - taking the overall number of home owners in forbearance plans to 4.14m, according to data released this morning by Black Knight. This is the lowest number of forbearances since April 28.
Some 7.8% of all US mortgages are now in forbearance, a 0.8% decline from the .......
News 10 July 2020
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OC ratios examined
Sector developments and company hires
OC ratios examined
Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P. It finds that average senior and junior OC cushions declined between February and May by 1% to remain healthy at over 8% and 3% respectively.However, S&P says: “We are seeing a wider dispersion of OC cushions across .......
Market Moves 10 July 2020