Complete news archive
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Tentative TALF 2.0
The next TALF subscription date is July 6, but no fireworks expected
The second TALF 2.0 subscription period begins on July 6, and it is expected to be even more anaemic than the one that concluded on June 17th, say those close to the market.
Investors requested $252m of loans in the first period, of which $145m used CMBS assets as collateral, but, with spreads continuing to tighten across the board, there is little .......
News Analysis 26 June 2020
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Volcker changes finalised
Sector developments and company hires
Volcker changes finalised
The CFTC, FDIC, OCC, SEC and US Fed have finalised a rule modifying the Volcker Rule's prohibition on banking entities investing in or sponsoring hedge funds or private equity funds – known as covered funds. The final rule is broadly similar to the proposed rule from January (SCI 31 January).Like the proposal, the final .......
Market Moves 26 June 2020
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Structuring negotiations
CRT origination trends evolving
Investors appear to be able to extract more than they used to during structuring negotiations for capital relief trades, following the coronavirus-driven repricing of risk. Portfolio composition is also evolving, reflecting concerns over industries that are perceived to be riskier, according to SCI’s latest CRT Research Report.
Frank Benhamou, md and head of funding and capital solutions at .......
News Analysis 26 June 2020
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Investment democratisation
Stan Perromat, co-founder of Privatam, answers SCI's questions
Q: How and when did Privatam become involved in the securitisation market?
A: Privatam was founded in 2014 with the aim of shaking up customised investments for wealth managers. Our four founders saw an opportunity to introduce technology and flexibility into a still quite traditional industry with no real independent actors.We wanted to simplify the process of customised .......
The Structured Credit Interview 25 June 2020
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Subprime auto performance eyed
Sector developments and company hires
Subprime auto performance eyed
Market Moves 25 June 2020
Davis & Gilbert’s latest Credit Chronometer subprime auto study indicates that Covid-era market participants generally believe that the most reliable indicator of a subprime auto securitisation’s success is its projected performance - and they hold this belief even more strongly than in the past. The survey suggests that since 2019, the importance of credit ratings as a .......
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RFC issued on NPL ABS treatment
Sector developments and company hires
RFC on NPL ABS treatment
Market Moves 24 June 2020
The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. This proposal, which the Committee started developing before the onset of the Covid-19 pandemic, addresses a gap in the regulatory framework and sets out a prudent treatment for NPL ABS. The technical amendment establishes a 100% risk weight .......
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NPL platform launched
Debitos announces doValue partnership
DoValue has established an online NPL trading platform dubbed doLook, via an exclusive partnership in Italy with Debitos. The platform has been announced amid a pick-up in the secondary market for Italian non-performing loans.
Debitos designed the platform for doValue, which will facilitate the sale of Italian NPLs and real estate assets, serviced by both doValue and third .......
News 24 June 2020
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Weathering the storm
US CLO warehouses perform well
US CLO warehouses have weathered the fall-out from Covid-19 reasonably well, according to a new report from Maples Group. While there have been some casualties, their numbers have been limited and the prospects going forward are good.
The report analyses over 70 open warehouses administered by the Maples Group's fiduciary services team at the start of the pandemic. .......
News 24 June 2020
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QM price-based approach mooted
Sector developments and company hires
QM price-based approach mooted
Market Moves 23 June 2020
The CFPB has issued two notices of proposed rulemaking (NPRMs) to address the impending expiration of the GSE patch, which is scheduled to expire in January 2021 (or when the GSEs exit conservatorship, if that happens first). The bureau estimates that, absent regulatory action, approximately 957,000 mortgage loans would be affected by the expiration of the .......
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Apartment recovery?
Multifamily CMBS collections 'encouraging'
The recovery of the apartments sector post-coronavirus is expected to be seen sooner than other US commercial real estate sectors. However, concern remains about the impact of unemployment levels spiking.
“Apartments that are not luxury apartments are now serving the vast majority of the population. The reality is that these buildings are considered B and C quality apartments .......
News Analysis 23 June 2020
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Test case scenario?
US bankruptcy dispute could provide a template for CLO managers
US-based marketing firm Acosta's bankruptcy filing and resultant disagreement between its loan investors could prove to be a test case for how both CLO managers and distressed funds approach such situations. If nothing else, if defaults continue their expected rise as the Covid crisis plays out it should provide valuable lessons for all loan market participants.
“Bankruptcy administration .......
News Analysis 23 June 2020
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Impact SRTs eyed
Newmarket launches asset management business
Newmarket has launched its asset management business, which will focus on the nexus of structured solutions and impact investing. Newmarket has spun out of Mariner Investment Group and will build upon a history of risk transfer investing. Along with this launch, Newmarket has formally assumed the management of the IIFC strategy, launched seven years ago at Mariner.
Molly .......
News Analysis 23 June 2020
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MILN market set to reopen
Sector developments and company hires
MILN market set to reopen
Market Moves 22 June 2020
Arch has returned to the market with Bellemeade Re 2020-1, after it was pulled in March amid the Covid-19 fallout (SCI 29 May). Moody's has upgraded from A3 to A1 and from Baa3 to Baa1 the provisional ratings of the mortgage insurance credit risk transfer deal’s respective class M1A and M1B notes and assigned provisional .......
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Risk transfer round-up - 22 June
CRT sector developments and deal news
Deutsche Bank has completed a US$125.58m six-year CLN that references a US$1.932bn global corporate portfolio. Dubbed CRAFT 2020-3, the capital relief trade follows the lender’s first post-Covid SRT from the same programme that was completed earlier this month (SCI 12 June).
The transaction priced at three-month Libor plus 10.75%. It features a weighted average life equal to 3.5 years .......
News 22 June 2020
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Time cut
Post-crisis CLOs continue to feature short non-call/reinvestment periods
New issue CLOs either side of the Atlantic have adapted to the post-pandemic world by introducing shorter time horizons. Equally, sizes and leverage in European deals have been cut.
All three European CLOs that priced last week – BBAM European CLO I, OCP Euro CLO 2020-4 and GoldenTree Loan Management EUR CLO 4 – featured a short non-call/reinvestment .......
News 22 June 2020
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SCI Start the Week - 22 June
A review of securitisation activity over the past seven days
FREE - Capital Relief Trades Virtual Panel - LIVE
News 22 June 2020
Join SCI live again this Thursday, 25 June, for a discussion on the latest issues around debt moratoria in the capital relief trades sector. Registration is quick and easy, just click here.
Featuring representatives from Allen & Overy, Citi, Deutsche Bank, European Investment Fund and Granular Investments topics to be covered .......
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Champagne on hold
Latest forbearance numbers encourage, but end of July cliff edge looms
Despite the reported recent drop in the number of home loan borrowers in forbearance, Moody’s strikes a cautionary note in its latest report on the RMBS sector, released this week.
“Yes, we’ve observed a flatlining in forbearance numbers lately, but we’re not say ready to say it’s all over and it’s business as usual just yet,” says Karandeep Bains, .......
News 19 June 2020
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Sicilian CRT launched
BAPR completes SME securitisation
The EIF and Banca Agricola Popolare di Ragusa (BAPR) have completed a synthetic securitisation referencing Sicilian SMEs. The €22m guarantee references an approximately €200m portfolio and is the Italian lender’s first capital relief trade.
“We are pleased to sign this agreement with Banca Agricola Popolare di Ragusa, a regional financial intermediary committed to supporting local SMEs. The operation .......
News 19 June 2020
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Lift off
Credit Suisse finalises SRT
Credit Suisse has priced an Sfr130.5m equity tranche that references a Sfr1.8bn blind pool of medium to large Swiss corporate borrowers. Dubbed Elvetia Finance Series 2020-1, the transaction is the Swiss lender’s first capital relief trade following the outbreak of the coronavirus.
The transaction’s pricing hasn’t been disclosed, but it’s believed to be in the double digits. The last Elvetia .......
News 19 June 2020
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CMBS scores in first TALF window
Sector developments and company hires
CMBS scores in first TALF subscription
Market Moves 18 June 2020
Investors requested US$252m in loans under the first TALF 2.0 subscription window. Of this total, US$145m was for CMBS purchases, with the remainder almost evenly split between premium finance and small business deals. Wells Fargo CMBS analysts note that although wider spreads in the CMBS sector relative to the ABS sector may continue to .......
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Seductive specifieds
An investor's view
SCI spoke to Brendan Doucette, government bond portfolio manager of GW&K Investment Management in Boston. The firm has assets under management of $40bn, of which $1bn is invested in the MBS market. It invests only in GSE-backed bonds.
Q: Where do you see value in the MBS market at the moment Brendan?
We like owning mortgages versus Treasuries, .......
The Structured Credit Interview 18 June 2020