Complete news archive
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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 .......
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Euro CLO equity edges ahead
Sector developments and company hires
Euro CLO equity edges ahead
Market Moves 3 August 2020
European CLO equity cashflow returns average 9.3% year-to-date and - as all CLOs in reinvestment are currently paying - the full-year 2020 cashflow return is likely to be low-teens, according to a new report from JPMorgan CLO research analysts. As such, European equity pieces have edged ahead of their US counterparts, currently returning 8% year-to-date .......
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Nuanced approach
Call for clarity in defining ESG
A nuanced approach to ESG considerations is emerging within the securitisation market. Nevertheless, the Covid-19 pandemic has put social and governance factors in the spotlight.
Anuj Babber, head of ABS research at M&G Investments, says: “The securitisation industry is at the infancy of incorporating ESG considerations into its credit and investment decisions. What we are seeing is that .......
News 3 August 2020
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SCI Start the Week - 3 August
A review of securitisation activity over the past seven days
Last week's stories
News 3 August 2020
Blockchain boost
DLT opportunity for ABS market
CMBS concerns
Tailored Brands exposure eyed
CRT conveyor belt
The second CRT deal from JPM marks a quickening of pace in the bank market
Execution risks?
Hertz performance metrics improving
Lag lustre
Slower recovery in CLOs provides advantages and opportunities
Recovery vehicl
European securitisation 'fixes' on the cards?
SRT boost
BMO launches capital relief trade
STACR surge
Freddie .......
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CRT conveyor belt
The second CRT deal from JPM marks a quickening of pace in the bank market
JPM’s second CRT deal in the last nine months, priced two weeks ago, is expected to attain the necessary regulatory approval, while other deals and, indeed, other issuers should follow the same path, say analysts.
The Chase Mortgage Reference Notes 2020-CL1 transferred risk on a $2.002bn reference pool of 8,683 prime quality residential mortgage loans.
“I would definitely expect them to .......
News Analysis 31 July 2020
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The perils of Covid CRE
While CRE market has proved robust so far, help is still needed.
The US commercial real estate market, and by extension the CMBS sector, has performed better recently than was thought likely a few months ago, but this does not mean all is well.
The expiry of enhanced unemployment benefits today (July 31) plus ongoing economic dislocation due to a far from tamed pandemic suggests that things will get worse in the near term.
One .......
News Analysis 31 July 2020
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GSE results improve
Sector developments and company hires
GSE results improve
Market Moves 31 July 2020
Both Fannie Mae and Freddie Mac have reported sharply improved Q2 results, despite the ongoing housing market dislocation as a result of Covid-19. Fannie Mae said net comprehensive income was US$2.53bn, compared to US$476m in Q1, while Freddie Mac had income of US$1.94bn compared to US$620m in Q1. Both GSEs had much lower than usual profits in .......
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Risk transfer round-up - 31 July
CRT sector developments and deal news
Caixabank is rumoured to be readying a capital relief trade backed by consumer loans for 2H20. The lender’s last significant risk transfer trade was finalised in May 2019 and was called Gaudi Synthetic Three (see SCI’s capital relief trades database).
....... News 31 July 2020
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Recovery vehicle
European securitisation 'fixes' on the cards?
The securitisation-related measures included in the European Commission’s capital markets recovery package have been welcomed for, among other things, removing the uncertainty regarding the EBA’s reluctance to recommend recalibrating the CRR for STS synthetics (SCI 24 July). However, the move could potentially also signal policymakers’ willingness to address the remaining securitisation ‘fixes’ that the industry has been calling .......
News Analysis 31 July 2020
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CMBS concerns
Tailored Brands exposure eyed
Tailored Brands has revealed that coronavirus-related financial disruption means it is considering undergoing bankruptcy reorganisation, which could be pursued as soon as 2 August. KBRA reports that 217 properties collateralising 208 loans (US$14.44bn by allocated loan amount) across 226 US CMBS have exposure to a Tailored Brands location.
Around 26% of this cohort was delinquent, as of last .......
News 31 July 2020
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Execution risks?
Hertz performance metrics improving
Although Hertz Corporation’s interim settlement with investors holding Hertz Vehicle Financing II ABS notes (SCI 27 July) is “a step in the right direction”, Fitch believes the company still faces notable execution risks, due to ongoing coronavirus impact on the rental car sector and a challenging operating environment. The settlement consequently has no impact on the agency’s ratings .......
News 31 July 2020
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AGs fight Madden rule
Sector developments and company hires
AGs fight Madden rule
Market Moves 30 July 2020
The attorneys general of California, Illinois and New York have filed a suit against the OCC’s ‘valid when made’ rule (SCI 1 June), which they claim would allow the federal government to pre-empt state usury laws and allow third-party entities “to prey on vulnerable” borrowers. The AGs note that the ability to pre-empt state usury .......
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Blockchain boost
DLT opportunity for ABS market
Coronavirus-related concerns are boosting the use of technology within the securitisation market. Blockchain is one area that is benefiting from this trend.
John Evans, Vanguard’s head of blockchain strategy, says: “One area we feel that there is a good opportunity to modernise the plumbing of the markets is in the securitisation market, and ABS is a good example .......
News Analysis 30 July 2020
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Lag lustre
Slower recovery in CLOs provides advantages and opportunities
Secondary CLO trading desks either side of the Atlantic are reporting greater re-engagement from the buy-side, which is helping to support prices. However, such support appears to be insufficient to prevent the CLO market lagging the recoveries seen elsewhere.
“CLOs have underperformed equity and other credit markets,” concedes Miguel Ramos Fuentenebro, co-founder of Fair Oaks Capital. “But in my view, .......
News Analysis 30 July 2020
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CLO ETF prepped
Sector developments and company hires
CLO ETF prepped
Market Moves 29 July 2020
Janus Henderson Investors has filed a preliminary registration statement with the US SEC in connection with the Janus Henderson AAA CLO ETF (JAAA), which is expected to launch on 22 October and will be offered to US investors. The fund will be managed by portfolio managers John Kerschner and Nick Childs, while Jessica Shill will serve as .......
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STACR surge
Freddie Mac galvanizes CRT re-opening with another STACR transaction
Freddie Mac has printed its second post-lockdown STACR deal, three weeks after re-opening the CRT debt market, with an upsized four-tranche $835m transaction. The deal was priced at the end of last week, confirmed a Freddie Mac spokesperson.
The offering, designated STACR 2020-HQA3, consisted of a M1 tranche priced at one-month Libor plus 155bp, an M2 tranche at one-month Libor plus 360bp, .......
News 29 July 2020
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SRT boost
BMO launches capital relief trade
Bank of Montreal (BMO) has completed a five-year financial guarantee that references US and Canadian senior secured and senior unsecured corporate loans. Dubbed Manitoulin Muskoka series 2020-2, the transaction is the bank’s third significant risk transfer deal this year. All three trades bring BMO’s total SRT tranche notional issuance so far in 2020 to US$494m, the Canadian lender’s largest .......
News 29 July 2020
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ILS issuance remains resilient
Sector developments and company hires
ILS issuance remains resilient
Market Moves 28 July 2020
US$2.8bn of property catastrophe bond limit was placed in 2Q20, bringing the total issued year-to-date to US$6.5bn, according to Aon Securities’ latest ILS Update report. In comparison, 2019 saw a total of US$5.4bn in property cat bond limit placed for the entire year. The total amount of property cat bonds outstanding is marginally down on 2019 .......
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CLO equity defies predictions
Sector developments and company hires
CLO equity defies predictions
Market Moves 27 July 2020
US CLO equity cashflow performance is defying pessimistic predictions, according to a new report from JPMorgan CLO research analysts. As of 23 July reporting, US CLO equity on average paid 8% cashflow year to date (based on 842 tranches or circa 70% of the universe) and the report estimates 89% of equity is paying, compared to .......
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'Switch' success
Aussie non-bank issuance on the rise
The Australian securitisation market has seen a rise in non-bank issuance post-coronavirus. Such activity has benefited from an adjustment to the AOFM’s Structured Finance Support Fund (SFSF) that funnelled secondary sellers into new primary deals.
Martin Jacques, director, head of securitisation and covered bond strategy at Westpac Institutional Bank, says: “Since the onset of the pandemic, all of .......
News Analysis 27 July 2020
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SCI Start the Week - 27 July
A review of securitisation activity over the past seven days
Last week's stories
Carrots and sticks
'Wide-ranging and ambitious' recommendations welcomed
Funding diversity
Non-bank lending 'credit neutral' for SME ABS
Green shoots
US middle market CLOs showing signs of recovery
Issuance boost
Full-stack SRTs unlocked
Italian trades inked
Unicredit completes NPL pair
Positive pick-up
European ABS market update
Qualitative approach?
Covid complicating CRT analytical processes
Support network
US CLO prices supported by a variety of factorsOther deal-related .......
News 27 July 2020