Complete news archive
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Maximum impact
Full deduction SRTs stage comeback
Supranational and private capital relief trade structures have had to be adjusted following the coronavirus fallout to address the impact of payment holidays on deal performance, according to SCI’s latest CRT Case Study. Both supranational and private investors have treated the issue with equal caution. However, full deduction significant risk transfer deals originated by standardised banks and solely backed .......
News Analysis 17 August 2020
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SCI Start the Week - 17 August
A review of securitisation activity over the past seven days
Last week's stories
Collections clarity
Payment arrangement ABS strengthened
Problem solving
Apex Group, answers SCI's questions
Repeat patterns
CLO equity activity continues to be challenged
Other deal-related news- The percentage of US CMBS repeat loans dropped to 17.7% in 2019 and to 13.9% in 1H20, down by 21.4% year-over-year (SCI 10 August).
- Piraeus Bank has filed an application for inclusion ....... News 17 August 2020
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'Flip clause' complaint dismissed
Sector developments and company hires
‘Flip clause’ complaint dismissed
Market Moves 14 August 2020
The US Court of Appeals for the Second Circuit has ruled that investors should keep roughly US$1bn received from various Lehman Brothers affiliates after the bank’s 2008 bankruptcy filing triggered the liquidation of dozens of CDOs. The case centres on the Bankruptcy Code’s treatment of ‘flip clauses’ in a securitisation waterfall, which reprioritise cashflow upon bankruptcy and .......
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LLPA increase 'misguided'
Sector developments and company hires
LLPA increase ‘misguided’
Market Moves 13 August 2020
Fannie Mae and Freddie Mac are increasing the loan-level price adjustment (LLPA) by 50bp as an adverse market delivery charge on effectively all mortgage refinances, except for construction loans, with settlement dates after 1 September. In response to the move, the Mortgage Bankers Association states that the announcement “flies in the face of the Administration's recent executive .......
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Collections clarity
Payment arrangement ABS strengthened
New legislation (Law 14.031) has been introduced in Brazil regarding payment arrangements that govern payment services used by the public. The move is expected to have a positive impact on securitisations backed by receivables from these payment networks.
Federal Law 14.031, enacted on 28 July, clarifies that proceeds for settlements of obligations related to the final user of a payment .......
News 13 August 2020
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Hertz review reversed
Sector developments and company hires
Hertz review reversed
Market Moves 12 August 2020
Moody's has changed the direction of review for 11 tranches of rental car ABS issued by Hertz Vehicle Financing II (HVF II) to under review for upgrade from under review for downgrade. The action is prompted by: the recent court-approved order requiring Hertz to make lease payments and remit required vehicle sales proceeds (SCI 31 July), .......
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Repeat patterns
CLO equity activity continues to be challenged
The US CLO primary and secondary markets broadly appear to have bounced back from the early stages of the Covid crisis with spreads tightening and revived investor participation. However, long-standing trends at the bottom of the stack continue to challenge equity activity.
Up until the summer lull took full effect last week, 2020 has seen extremely high levels .......
News Analysis 12 August 2020
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Piraeus taps HAPS
Sector developments and company hires
Piraeus taps HAPS
Market Moves 11 August 2020
Piraeus Bank has filed an application for inclusion of its Phoenix non-performing loan securitisation under the Hercules Asset Protection Scheme (HAPS). The total gross book value of the portfolio is €1.9bn, the majority of which relates to mortgage loans, and the application is in connection with a Greek state guarantee on senior notes with a total gross .......
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CMBS repeat loan volume declines
Sector developments and company hires
CMBS repeat loan volume declines
The percentage of US CMBS repeat loans dropped to 17.7% in 2019 and to 13.9% in 1H20, down by 21.4% year-over-year, according to DBRS Morningstar figures. Nevertheless, the volume of CMBS loans refinanced into CRE CLOs has remained strong, with over two billion loans exiting through such vehicles.Based on an analysis of CMBS .......
Market Moves 10 August 2020
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Problem solving
Paul Wilden, global head of capital markets at Apex Group, answers SCI's questions
Q: How is Apex Group involved in the securitisation market?
A: We provide a combination of SPV administration, trustee and agency services to a broad cross-section of asset classes. Our capital markets business is broadly sector agnostic.Q: What are the firm’s key areas of focus today?
Provider Profile 10 August 2020
A: Given the proliferation of private debt funds, one area where we add .......
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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 .......