Complete news archive
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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
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SRT debut
Sabadell completes first synthetic securitisation
Sabadell has completed a €96m mezzanine guarantee with the EIF. The transaction references a €1.6bn Spanish SME portfolio and is the Spanish lender’s first synthetic securitisation.
The guarantee will enable the issuer to provide €576m of financing, primarily to self-employed, SME and mid-cap borrowers. The structure comprises senior and mezzanine tranches that amortise on a pro-rata basis, and .......
News 18 June 2020
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Structural hurdles
US CLO managers face restructuring challenges
Restructurings and workouts are an increasing focus for US CLO managers as credit deterioration continues and defaults rise. However, they face significant structural hurdles that restrict their involvement in the process.
“There are two main issues standing in the way of CLO managers fully participating in restructurings and workouts,” says Craig Stein, partner at Schulte Roth & Zabel. .......
News Analysis 18 June 2020
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Bridging gaps
Linking SRT originating banks with insurance partners
Texel is aiming to help insurers and banks bridge gaps in their understanding of how each sector approaches significant risk transfer transactions. With insurers expected to become more active in the capital relief trades market, the firm’s structured and bespoke solutions group last month recruited former Qbera Capital securitisation advisory head Paul Petkov (SCI 15 May), who .......
Market Moves 17 June 2020
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Risk transfer round-up - 17 June
CRT sector developments and deal news
Credit Suisse is rumoured to be readying a capital relief trade from the Elvetia programme that is scheduled to close in 2Q20. The Swiss lender’s last Elvetia SRT was closed in May 2019 and referenced SME loans. Elvetia transactions are typically backed by Swiss corporate and SME loans (see SCI’s capital relief trades database).
....... News 17 June 2020
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Investor interest
UK RMBS market update
The launch of Morgan Stanley’s buy-to-let transaction, Tudor Rose Mortgages 2020-1, yesterday marks the reopening of the UK RMBS market post-coronavirus. Investor interest shown in this deal is expected to encourage further market participation.
One trader says: “I expect a few more deals to come to the market in the not-so-distant future. Issuers and arrangers will have the .......
Market Reports 17 June 2020
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Next step
Debut CLO part of platform roll-out
BlueBay Asset Management priced its first CLO on Monday inside recent primary tights and despite the then stalled secondary market rally. The European deal is the next step in the roll-out of the firm’s long-term global structured credit strategy (SCI 31 January).
“The obviously challenging market conditions meant that we were especially pleased to so successfully execute .......
News Analysis 17 June 2020
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Older CLOs underperforming
Sector developments and company hires
Older CLOs underperforming
A significant proportion of all the US BSL CLOs S&P has on negative watch closed in 2015 or before. The rating agency reports that such deals also experienced a steeper average decline in OC cushion, falling by 3.23%, and their average junior OC cushion is now approaching 0%.Of the 410 currently reinvesting deals within the .......
Market Moves 16 June 2020
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Take-up rates
Significant variations across European moratoria
Payment holidays have so far assisted in deterring defaults during the coronavirus crisis. However, borrowers who have suffered severe financial difficulties are nevertheless expected to eventually experience defaults.
Antonio Tena, vp-senior analyst at Moody’s, says: "The more stringent a jurisdiction's eligibility criteria, the more moratorium levels will correlate with defaults, given that the profiles of eligible borrowers are .......
News 15 June 2020
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SCI Start the Week - 15 June
A review of securitisation activity over the past seven days
Last week's stories
News 15 June 2020
Addressing inconsistencies
Performance metrics switched
Calabria confidence
FHFA director was bullish at Senate Banking, but day of reckoning may be at hand
Changing focus
US CLO primary garners more attention
HAPS ABS debuts
Eurobank finalises Cairo transaction
LCR eligibility eyed
Final credit mapping framework awaited
Perfect storm
Hertz bankruptcy to reshape auto ABS?
Resolve and resilience
Content sponsored by Ocorian
Risk transfer rebound
Deutsche .......
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Demand decline
Remote working accelerates change for office CRE
A decline in demand for office real estate is expected amid the coronavirus fallout and record job losses. Occupancy and rental rates will come under pressure as a result.
The Covid-19 outbreak has accelerated the adoption of remote working, which is likely to lead to a gradual reduction in the office footprint. “This epidemic marks a watershed in .......
News 15 June 2020
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Californian auto loans eyed
Sector developments and company hires
Californian auto loans eyed
Market Moves 12 June 2020
The Westlake Automobile Receivables Trust 2020-2 issuer has disclosed that the state of California is considering new legislation - Assembly Bill No. 2501 (AB 2501) - that could significantly impact auto loan securitisations with high concentrations of Californian loans. S&P notes that in its current form, if this legislation is enacted, it could require servicers of .......
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Strategic review
Direct lending JV formed
Newly established investment manager KKV Investment Management has finalised investment management agreements with two UK secured loan funds – SQN Asset Finance Income Fund and SQN Secured Income Fund - whose NAV is in excess of £425m and will be renamed KKV Secured Loan Fund. Specialising in direct lending and alternative credit, KKV is a joint venture between its .......
News 12 June 2020
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Risky retention
Haircuts become more severe in Covid 19 world
Issuers of mortgage-backed bonds are at the moment finding it increasingly difficult to fund the risk retention pieces, say market sources.
Lack of liquidity in the MBS repo market is in part to blame, but also rates have soared to uneconomic levels for issuers wishing to lend notes in return for cash as the likely economic effects of Covid 19 devalue mortgage-backed .......
News Analysis 12 June 2020
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Addressing inconsistencies
Performance metrics switched
Metrics that assess the level of portfolio interest and principal cashflows have become more reliable performance indicators than traditional default and delinquency metrics in the wake of coronavirus-driven moratoria. Moody’s notes that the need for more reliable metrics for the ABS and RMBS it rates is driven by inconsistent reporting on the proportion of portfolios under payment holidays.
News 12 June 2020
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Risk transfer rebound
Deutsche Bank completes SRT
Deutsche Bank has completed a US$325m CLN that references a disclosed US$5bn global portfolio of large corporate revolvers. Dubbed CRAFT 2020-2, the transaction is the lender’s first capital relief trade following the Coronavirus crisis and the second post-Covid SRT to be issued after Bank of Montreal’s trade last month (SCI 15 May).
News Analysis 12 June 2020
Yuri Greenfield, head of risk and portfolio .......
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Euro ABS 'game changer' recommended
Sector developments and company hires
Euro ABS ‘game changer’ recommended
Market Moves 11 June 2020
The European High-Level Forum (HLF) on the capital markets union (CMU) has published its final report, which proposes 17 inter-connected “game changers” – measures that the EU needs to implement to remove the biggest barriers in its capital markets. The European Commission stresses that completing the CMU has become particularly urgent in order to speed .......
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Calabria confidence
FHFA director was bullish at Senate Banking, but day of reckoning may be at hand
Mark Calabria, the director of the Federal Housing Finance Authority (FHFA), and Ben Carson, secretary of the Housing and Urban Development (HUD) department, yesterday (June 10) both appeared before the Senate Banking Committee to speak about the immediate prospects for the US housing market.
Calabria expressed some confidence about the current state of the market, noting that some 6.4% of GSE-backed loans .......
News 11 June 2020
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Robust pipeline
Distressed debt fund exceeds target
Balbec Capital has closed a distressed debt fund dubbed InSolve Global Credit Fund IV. The fund consists of US$1.2bn total commitments, which exceeds Balbec’s US$1bn target and makes it the firm’s largest fund to date.
The fund will seek to identify and capitalise on investment opportunities with a focus on a subset of non-performing loans where the borrower or assets .......
News 11 June 2020
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Synergy search
CLO manager consolidation to stay sporadic?
There have been a flurry of CLO manager mergers and transfers recently (SCI passim). However, the need for the right synergies and difficult market conditions makes it likely that such deals will remain sporadic.
“There are maybe a few consolidation candidates out there – a few of the smaller firms with only a handful of CLOs and who .......
News Analysis 11 June 2020
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LCR eligibility eyed
Final credit mapping framework awaited
Prime Collateralised Securities last week withdrew several liquidity coverage ratio assessments on double-A rated STS securitisation bonds. The move was in connection with an EBA Q&A that includes a temporary mapping, in which the credit quality step (CQS) 1 corresponds with triple-A ratings only.
Ruben van Leeuwen, head of credit strategy and regulation at Rabobank, says: “The interpretation .......
News 10 June 2020