Complete news archive

  • 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 factors

    Other deal-related .......

    News 27 July 2020

  • 'Quick fix' for NPE, synthetic securitisation

    Sector developments and company hires

    ‘Quick fix’ for NPE, synthetic securitisation
    The European Commission has adopted a capital markets recovery package, as part of its overall coronavirus recovery strategy. The measures aim to make it easier for capital markets to support European businesses to recover from the crisis via targeted changes to capital market rules.

    Building on recent work by the EBA, the proposals .......

    Market Moves 24 July 2020

  • Funding diversity

    Non-bank lending 'credit neutral' for SME ABS

    Moody’s suggests that the emergence of non-bank lenders – such as Paypal, Amazon and Klarna – in Europe is credit neutral for SME securitisations because although they broaden funding sources, this is at the expense of increasing borrowers’ overall debt burden. Additionally, while technology-driven underwriting facilitates quick credit decisions and transparency, the use of alternative data is relatively untested .......

    News 24 July 2020

  • Qualitative approach?

    Covid complicating CRT analytical processes

    The Covid-19 fallout has complicated further the analytical process in connection with capital relief trades, given that the pandemic is having a skewed impact on different sectors of the economy. Against this backdrop, qualitative modelling approaches are gaining traction.

    Whether a CRT issuer uses EBA, CCAR or their own internal scenarios, the impact of Covid-19 on stress tests .......

    News Analysis 24 July 2020

  • Issuance boost

    Full-stack SRTs unlocked

    BBVA and Santander have reopened the full-stack significant risk transfer market with the issuance of an auto ABS apiece in June and July respectively. However, full-stack securitisations widely syndicated to private investors and referencing Northern European exposures remain to be seen post-coronavirus. Consequently, arrangers are looking to Chenavari’s recently priced Aurorus 2020 consumer ABS for guidance (SCI 21 July).

    News Analysis 24 July 2020

  • Italian trades inked

    Unicredit completes NPL pair

    Unicredit has sold two predominantly unsecured SME non-performing loan portfolios for a total of €1.54bn. The move comes as Italian banks step up their loan loss provisions to cover an anticipated rise in NPLs following the coronavirus crisis.

    The first batch of Unicredit NPLs was sold to Banca Ifis, Guber and Barclays for €840m, with Guber and Barclays .......

    News 23 July 2020

  • ReoCo restructuring in the works

    Sector developments and company hires

    ReoCo restructuring in the works
    The Leviticus SPV issuer is set to implement a ReoCo structure, having appointed Credito Fondiario as the servicer to carry out all core ReoCo activities. The main purpose of the ReoCo is to encourage third-party acquisitions at auctions above auction base prices or to repossess real estate assets at otherwise empty auctions and re-sell them .......

    Market Moves 23 July 2020

  • Green shoots

    US middle market CLOs showing signs of recovery

    As the broader CLO market sees increasingly significant levels of new issuance, middle market CLOs are also starting to see the green shoots of recovery. However, the sector still faces its own unique challenges, while providing some opportunities as well.

    New middle market CLO deals have begun to reappear and the latest of which, Owl Rock’s US$440m Parliament .......

    News Analysis 22 July 2020

  • Canadian CMBS forbearance highlighted

    Sector developments and company hires

    Canadian CMBS forbearance highlighted
    As of the June 2020 remittance reports for the Canadian conduit CMBS sector, 48 loans totalling C$559.9m were on the servicer's watchlist for coronavirus-related relief, according to DBRS Morningstar. In most of these instances, the servicer’s commentary confirmed that borrowers were granted loan modifications and/or forbearances.

    The majority of these loans are secured by retail .......

    Market Moves 22 July 2020

  • Second CLN references WaMu loans

    Sector developments and company hires

    Second CLN references WaMu loans
    JPMorgan is in the market with its second public synthetic RMBS, Chase Mortgage Reference Notes 2020-CL1. Principal payments on the notes are based on the actual payments received and performance of a US$2bn reference pool consisting of 8,683 prime-quality residential mortgage loans. According to Fitch, the majority of the loans were originally negative amortisation loans originated .......

    Market Moves 21 July 2020

  • Positive pick-up

    European ABS market update

    The positive tone across the European securitisation market appears to be continuing this week, following one that saw rare Dutch consumer (Aurorus 2020) and Portuguese auto (Silk Finance No. 5) paper placed. Indeed, two more relatively rare mandates were announced yesterday (20 July) – a new UK prime RMBS master trust and the first post-coronavirus UK CMBS.

    One .......

    Market Reports 21 July 2020

  • Carrots and sticks

    'Wide-ranging and ambitious' recommendations welcomed

    The recommendations put forward by the High Level Forum on Capital Markets Union (CMU) last month have been welcomed by the European securitisation industry (SCI 11 June). However, while these measures – if implemented – should provide the necessary framework for a healthy and robust ABS market, they are far from being a silver bullet.

    The High .......

    News Analysis 21 July 2020

  • Support network

    US CLO prices supported by a variety of factors

    US CLO secondary market prices have come back a long way since the Covid-driven collapse in March. Spreads have softened a little since June’s tights, as summer lethargy seeps in, but are still benefiting – for now, at least – from positive broader credit market sentiment underpinned by government support for the wider economy and the CLO market’s own .......

    News Analysis 21 July 2020

  • UK Mortgages offer disclosed

    Sector developments and company hires

    UK Mortgages offer disclosed
    M&G Investment Management (MAGIM), on behalf of one of its managed funds - M&G Specialty Finance Fund (£) SCSp – has disclosed that it has made several approaches to the board of UK Mortgages Limited (UKML) with a view to making a recommended cash offer for UKML, all of which have been rejected. The most recent approach .......

    Market Moves 20 July 2020

  • SCI Start the Week - 20 July

    A review of securitisation activity over the past seven days

    FREE - CRT modelling panel
    The next in SCI's series of capital relief trades virtual debates is being held tomorrow, 21 July, at 2pm BST. Join distinguished speakers from Texel, Granular Investments, BNP Paribas, OSIS and PwC to find out how the Covid-19 fallout can be incorporated into stress tests and due diligence approaches, and whether SA and IRB models should .......

    News 20 July 2020

  • No rush

    CLO investors have time on their side for resets and refis

    Post-Covid US CLO issuance is gathering pace for new deals, but refinancings and resets are few and far between so far. There are opportunities for both types of restructuring, but for the vast majority of deals, there is no rush for equity investors to initiate the process.

    There have only been two US CLO refinancings since the Covid .......

    News Analysis 17 July 2020

  • Euro CLO par burn rises

    Sector developments and company hires

    Euro CLO par burn rises
    After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built par in 2020 YTD by an average +19bp, while the remaining 30 managers burnt par by an average -41bp. .......

    Market Moves 16 July 2020

  • Pandemic protections?

    Structural features mitigate auto ABS risks

    Structural features are overall mitigating Covid-19-related risks in auto ABS transactions, thanks to credit enhancement and other protections that largely offset any deterioration in collateral performance. However, delinquencies and defaults are expected to rise further, albeit not exponentially.

    According to Moody’s: “Most auto ABS deals that we rate have substantially deleveraged and have significant credit enhancement, especially among .......

    News 16 July 2020

  • Seeking clarity

    Call to reassess repo language

    The AG MIT CMO versus Royal Bank of Canada case, which recently settled (SCI 3 June), highlights how Covid-19 disruption has caused confusion over what constitutes a ‘recognised market’ for the purpose of selling securities. Indeed, the lawsuit underscores the need for greater clarity in securitisation repurchase agreements.

    In the case, AG Mortgage Investment Trust argued that RBC .......

    News 16 July 2020

  • Conflict-free trading

    Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions

    Q: How and when did Meraki Global Advisors become involved in the securitisation market?
    A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outsourced trading and operations firm that was launched in April 2019.

    We identified a need among the more sophisticated multi-asset hedge fund community .......

    The Structured Credit Interview 16 July 2020

  • October cliff edge looms

    The apparent recovery of many parts of the MBS market may be a false dawn

    Mortgage-backed securities have in general rebounded with confidence in recent weeks, but there is an undercurrent of alarm in the market that the resurgence might have over-reached itself. Despite the last non-farm payroll report, much economic data is still extremely sobering and a shock in Q4 could be on the cards, say analysts.

    For example, seven credits of the 100 constituent credits .......

    News Analysis 15 July 2020
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