Complete news archive
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Multi-level Libor exposure eyed
Sector developments and company hires
Multi-level Libor exposure eyed
Market Moves 9 September 2020
Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of Japanese structured finance transactions the agency rates have Libor exposure and, in some cases, there is Libor exposure through notes, as well .......
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Risk transfer round-up - 9 September
CRT sector developments and deal news
Commerzbank is rumoured to have significantly upsized a corporate and SME significant risk transfer trade that is expected to close in 4Q20, following the alleged replacement of PGGM as counterparty with another private investor. The German lender’s last capital relief trade was closed with the EIF in February (see SCI’s capital relief trades database).
....... News 9 September 2020
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Euro CLO payment mismatch grows
Sector developments and company hires
Euro CLO payment mismatch grows
Market Moves 8 September 2020
The payment frequency mismatch between underlying loans and European CLOs is growing as loan issuers switch to semi-annual payments to manage risks in the Covid crisis, according to Fitch. The agency reports an increase in the share of semi-annual obligations among quarterly-paying Fitch-rated CLOs to around 50% of the portfolio balance in July 2020, from .......
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ILS burden eased
Trapped capital securitisation debuts
Bermuda-based ILS Capital Management has completed a US$57m first-of-its-kind trapped capital securitisation. Trapped capital has historically been considered a burden in the ILS sector.
The debut transaction encompasses 51 contracts and represents 70% of the trapped capital across ILS Capital funds, as of 1 January 2020. Tom Libassi, managing partner and co-founder of ILS Capital Management, says: “The .......
News 8 September 2020
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Dispersion emerging
Mortgage payment holidays rolling off
A significant number of borrowers across Europe have resumed their mortgage payments, after exiting payment holiday schemes. However, dispersion across RMBS pools is emerging, due to the different lending practices of each lender.
Julian Craughan, partner at Hogan Lovells, notes the commonality in responses as regulators and central banks took a pragmatic approach to addressing coronavirus-induced stress. “Different .......
News Analysis 7 September 2020
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SCI Start the Week - 7 September
A review of securitisation activity over the past seven days
SCI CRT Awards
The submissions period for the 2020 SCI CRT Awards is now open. The qualifying period for the awards is the 12 months to 30 September 2020.Pitches and/or any queries should be emailed to [email protected] by 9 October. Click here for information on categories and the submissions process.
Final selections will be made by the SCI .......
News 7 September 2020
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Hotel headache
Hotel-backed US CMBS sector eyes crucial year-end
The hotel/lodging-backed US CMBS market sits on a knife edge. No area of the ABS market is less protected against the harsh winds of the Covid 19 economic winter, and the next few months will be crucial to the performance of many CMBS transactions.
Fitch Ratings yesterday retained its Rating Watch Negative (RWN) for all single borrower hotel CMBS deals, but if .......
News Analysis 4 September 2020
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Reporting template RTS published
Sector developments and company hires
Reporting template RTS published
Market Moves 4 September 2020
Seven Commission Delegated and Implementing Regulations comprising the technical standards in connection with the details to be made available by the originator, sponsor and SSPE in a securitisation transaction subject to the Securitisation Regulation have been published in the EU Official Journal. Publication means that the reporting templates RTS will be effective on 23 September, after .......
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Liquidity boost
Piraeus taps Intrum
Piraeus Bank and Intrum have signed an agreement under which Intrum will acquire 30% of the junior and mezzanine tranches of a €1.9bn non-performing loan RMBS dubbed Project Phoenix. The novelty of the deal lies in its ability to facilitate auctions via an SPV liquidity reserve.
According to the terms of the transaction, 30% of the junior and .......
News 4 September 2020
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Risk transfer round-up - 4 September
CRT sector developments and deal news
Intesa Sanpaolo is rumoured to be readying a corporate capital relief trade from its GARC programme for 2H20. The Italian lender closed its first post-Covid significant risk transfer deal and last GARC transaction in June. The latter deal referenced leasing assets (see SCI’s capital relief trades database).
....... News 4 September 2020
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CMBS cure rates eyed
Sector developments and company hires
CMBS cure rates eyed
August US CMBS remittance data shows declining 30-plus day delinquency rates, as consent and forbearance agreements came into force and the country reopened. Within post-GFC conduit deals, 30-plus day delinquencies fell 40bp month-on-month to 8.1%, while SASB delinquencies improved 34bp to 7.4% and CRE CLOs improved 30bp to 2.4%.Contributing to this improvement in delinquencies .......
Market Moves 3 September 2020
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Negative rating actions tallied
Sector developments and company hires
Negative rating actions tallied
Market Moves 2 September 2020
Fitch reports that global structured finance negative rating actions - including downgrades, negative outlooks and rating watch negatives - reached an eight-year high in 1H20, reflecting weakening credit conditions due to the coronavirus pandemic-related recession. As of 30 June, 8% of the agency’s ratings had a negative outlook and 3% of ratings were assigned a RWN, compared .......
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Challenging times
European CLO overlap issues addressed
European CLOs’ overlap disadvantage versus the US has been exacerbated by the Covid crisis, but managers appear to be responding well to the challenge. At the same time, top of the stack European paper is finding favour over US equivalents in secondary.
European CLO managers traditionally have had fewer assets to build CLO portfolios than US managers have. .......
News Analysis 2 September 2020
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View from an investor Part II
Last week DuPont Capital's Karlis Ulmanis told us where he s...
Things not to like
CRT
Three GSE CRT bonds have been issued since early March, when the lockdown began. These were the most recent $1.088bn (upsized from $1.038bn) STACR DNA4 priced by Freddie on August 18, the $1.1bn STACR 2020-DNA3 printed at the beginning of July which re-opened the market and the $835m STACR 2020-HQA3 printed at the end of .......
Talking Point 1 September 2020
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EGF expression of interest launched
Sector developments and company hires
EGF expression of interest launched
Market Moves 1 September 2020
The EIF has issued a call for expression of interest in participating in its Pan-European Guarantee Fund (EGF), which forms part of the overall package of measures agreed by the Eurogroup on 9 April and further endorsed by the European Council on 23 April (SCI passim). The EGF has a target size of €25bn and .......
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Seeking stability
Stimulus complicating SME SRT analysis
Coronavirus-related stimulus schemes are complicating the analysis of European SME significant risk transfer deals. While a small number of such transactions are being discussed with investors, the EIF’s involvement is anticipated for the vast majority of them – given that its mandate is to support the sector – until further clarity emerges regarding SME performance.
Prior to the .......
News Analysis 1 September 2020
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Risk transfer round-up - 28 August
CRT sector developments and deal news
BNP Paribas is rumoured to be prepping its fifth corporate capital relief trade from the Resonance programme, which is expected to close in 2H20. The French lender closed another corporate deal in September 2019 that is believed to be Resonance Four and inked Resonance Three in December 2018 (see SCI’s capital relief trades database).
....... News 28 August 2020
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CECL eligibility expanded
Sector developments and company hires
CECL eligibility expanded
Market Moves 28 August 2020
The FDIC, OCC and the US Fed have finalised a rule that allows institutions that adopt the current expected credit losses (CECL) accounting standard in 2020 to mitigate the estimated effects of CECL on regulatory capital for two years (SCI 31 March). Under the rule, eligible institutions have the option to mitigate the estimated capital effects .......
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Time lag
Chinese asset quality weakens
Banking system statistics released by the People's Bank of China (PBOC) and the China Banking and Insurance Regulatory Commission (CBIRC) suggest that the asset quality of Chinese banks continued to weaken in 2Q20 in the wake of disruptions caused by the coronavirus pandemic. Nevertheless, the data do not yet reflect the full impact of the fallout.
According to .......
News 28 August 2020
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Auto SRT prepped
Santander readies capital relief trade
Santander is marketing a full-stack auto significant risk transfer trade that references a €520m static portfolio of 49,547 Spanish secured auto loans. Dubbed Santander Consumer Spain Auto 2020-1, the transaction differs from previous auto SRTs due to more conservative levels of excess spread.
Rated by Scope and Moody’s, the transaction consists of €450m AA/Aa1 rated class A notes, .......
News 28 August 2020
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A touch of seasoning
Proposed expansion of pool of qualified mortgages offers little for MBS
While the new category of qualified mortgage (QM) proposed by the Consumer Financial Protection Bureau (CFPB) might in theory increase the supply of high quality US mortgages for securitization, the stipulations of the proposed new rules mean that in fact there is unlikely to be a rich new gravy train, stress mortgage analysts.
The CFPB intends to broaden the net of QMs by .......
News 27 August 2020