Complete news archive
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Mortgage moratoriums
Impact of payment suspensions to be limited
The Italian government and a trio each (at the time of writing) of lenders in Ireland and the UK are set to temporarily suspend mortgage payments for certain borrowers amid the disruption caused by COVID-19. The impact of these moratoriums is expected to be limited for RMBS bondholders, however, unless more sweeping or long-lasting programmes are introduced.
In .......
News 12 March 2020
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AXA IM creates two key units
Sector developments and company hires
AXA IM restructuring
Market Moves 11 March 2020
AXA Investment Managers intends to create a new €137bn business unit - called AXA IM Alts - as part of a wider restructuring of the business into two key divisions, with the aim of creating a simplified and more focused organisation. The other new business unit would be known as AXA IM Core. Under the leadership of .......
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Dutch VAT grace period mulled
Sector developments and company hires
Alhambra missed payment
Market Moves 10 March 2020
A borrower of a €10m loan securitised in the Alhambra SME Funding 2019-1 transaction has missed its February interest payment. The servicer says it is in “close contact” with the borrower and does not believe it is a defaulted loan, as defined in the prospectus. The borrower expects to receive funds in the coming weeks, which will .......
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Insurance giants set to combine
Sector developments and company hires
Insurer combination agreed
Market Moves 9 March 2020
Aon and Willis Towers Watson have agreed to combine in an all-stock transaction with an implied combined equity value of approximately US$80bn. The strategic rationale behind the combination is to create a more innovative platform capable of delivering better outcomes for all stakeholders, including new solutions that more efficiently match capital with unmet client needs in high-growth areas like .......
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SCI Start the Week - 9 March
A review of securitisation activity over the past seven days
Transaction of the week
News 9 March 2020
AmTrust International has completed its inaugural capital relief trade, which references a €1bn seasoned low-LTV residential mortgage portfolio originated by an undisclosed leading Italian bank. The transaction is believed to be a first for the European market in that the SRT mechanism is via an insurance policy, rather than a financial guarantee.
See SCI 2 March for .......
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Climate risk
Climate impact reporting at early stages
Banks have committed to disclose their climate risk exposures, as recommended three years ago by the Financial Stability Board’s (FSB) task force on climate-related financial disclosures (TCFD). However, standardised reporting of climate risks and opportunities and of their estimated financial impact is at early stages. Nevertheless, more banks are expected to disclose climate risks globally in response to growing .......
News 6 March 2020
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NPL reductions eyed
Greek liquidation law set to facilitate securitisation
Non-performing loan securitisations are expected to be the primary tool for NPL reductions in Greece over the next 18 months, given the option of derecognising assets without incurring punitive capital charges, the HAPS guarantee and the tough NPL reduction targets that banks have to meet by the end of 2021. One factor that will help in this respect is .......
News Analysis 6 March 2020
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Retail repositioning
Euro CMBS sponsor strategies weighed
The trend towards online shopping has had an impact on traditional retail outlets, such as shopping centres. Sponsors are consequently undertaking repositioning and restructuring activity, but the move could ultimately lead to a reduction in the volume of European retail CMBS coming to the market.
Edward Twort, director, CMBS at S&P, says: “The retail market has found itself .......
News Analysis 6 March 2020
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Virus-related volatility
European ABS market update
The European securitisation market appears to be being affected by coronavirus-related volatility. Spreads have widened and there seems to be reduced appetite for risk among participants, as evident from guidance on a couple of transactions being revised wider.
For instance, PGIM has reportedly widened the guidance for the senior tranche of its Dryden 74 CLO from an initial 94bp-95bp to .......
Market Reports 6 March 2020
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Opaqueness premium
Regulatory RWA variability highlighted
In its latest Working Paper, the BIS unveils a new measure of risk-weighted asset variability – the variability ratio (VR) - that utilises market data to determine a market-implied estimate of a bank’s RWAs. Using this measure, the bank finds considerable variability in regulatory RWAs - both across banks and jurisdictions - and that market-implied RWA estimates are persistently .......
News 4 March 2020
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Bulgarian micro loan guarantees inked
Sector developments and company hires
Bulgarian guarantees
Market Moves 4 March 2020
The EIF has signed new guarantee agreements with Unicredit Bulbank, United Bulgarian Bank and ProCredit Bank (Bulgaria) to support the fast-growing documentary finance activity in Bulgaria. Under these agreements, the three EIF partner banks will finance Bulgarian small enterprises and small mid-caps with documentary credit lines, such as letters of credit, payment guarantees, advance payment guarantees and performance .......
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Game changer?
FDIC rule change to boost bank securitisation
In what is seen as a fillip to bank issuers of securitised paper, the FDIC has relaxed its so-called safe harbor securitisation rules.
The rule change, announced on 30 January, removes the requirement for bank sponsored 144a securitisations to be compliant with the SEC Regulation AB before they would be eligible for favourable safe harbour accounting treatment. This .......
News 4 March 2020
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IRPH index ruling 'credit negative'
Sector developments and company hires
CMBS property sales
Market Moves 3 March 2020
KBRA has been notified of the sale of 29 properties in the Eos (ELoC No. 35) CMBS. All of the properties are located in the Netherlands and nearly all (28) are industrial assets. As a result of the sale, an amount equal to €74.3m will be applied in mandatory prepayment of the senior loan, representing 17.9% of .......
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Performance issues
Italian NPL ABS business plans scrutinised
A recent analysis of 19 Italian non-performing loan securitisations reveals that 15 of these transactions are overperforming in terms of closed borrowers’ profitability. The study suggests that onboarding processes and collection times impact performance.
The analysis, undertaken by Scope, also states that seven out of the 19 transactions underperformed. On average closed borrowers represent less than 5% of .......
News 3 March 2020
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Green light
OCC gives regulatory approval to JPM CRT
JP Morgan Chase has won favourable regulatory treatment from the Office of the Comptroller of the Currency (OCC) for its innovatory CRT transaction priced in October, say well-placed sources.
“The OCC blessed the deal and JP Morgan received the capital treatment it desired. There are multiple independent confirmations that it got green lit by the OCC,” says a .......
News Analysis 3 March 2020
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Pandemic cat bonds triggered
World Bank ILS could encourage further issuance
The current Coronavirus (COVID-19) outbreak will likely trigger pay-outs for US$132.5m in pandemic catastrophe bonds sponsored by the World Bank Group's (WBG) Pandemic Emergency Financing Facility (PEF), according to commentary from DBRS Morningstar. “This funding will be channelled to eligible countries to mitigate the impact of the outbreak and might validate the need for market-based mechanisms to deal with pandemics," .......
News Analysis 3 March 2020
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DLT litigation ABS on the cards
Sector developments and company hires
Acquisition
Market Moves 2 March 2020
Pretium Partners has acquired the investment management business of Latigo Partners. Latigo co-founders David Ford and David Sabath are joining Pretium as senior mds, members of the executive committee and remain as portfolio managers of Latigo’s investment vehicles. Additional investment professionals, as well as several key operational members of the Latigo team are also joining Pretium. Founded in 2005, .......
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Provisioning hedge
Landmark Italian SRT inked
AmTrust International has completed its inaugural capital relief trade, which references a €1bn seasoned low-LTV residential mortgage portfolio originated by an undisclosed leading Italian bank. The transaction is believed to be a first for the European market in that the SRT mechanism is via an insurance policy, rather than a financial guarantee.
“The solution highlights the increasing role .......
News 2 March 2020
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Retail hit
Potential impact on Italian CMBS eyed
Retail and tourism are the sectors which have been most affected by the outbreak of COVID-19 (Coronavirus). As such, the virus is expected to have a negative impact on Italian CMBS backed by retail assets.
Italian retail property loans that are securitised have historically not experienced a higher default probability. However, refinancing prospects at loan maturity could be .......
News 2 March 2020
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NPL recognition delayed
Chinese SMEs supported amid Coronavirus outbreak
Chinese regulators are allowing the country’s banks to delay the recognition of non-performing loans for SMEs faltering from the Coronavirus outbreak. The measures include tailored aid to SMEs but are further complemented by monetary policy instruments.
Qualified SMEs nationwide with principal or interest due between 25 January and 30 June can apply for a delay to the end .......
News 2 March 2020
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SCI Start the Week - 2 March
A review of securitisation activity over the past seven days
New MRT report
SCI has published a new Special Report on the US Mortgage Risk Transfer sector - it can be downloaded for free here.Transaction of the week
News 2 March 2020
BofA was in the market with a Dutch CMBS, dubbed Taurus 2020-1 NL. The €620.6m deal is the first from the programme to be backed solely by Dutch assets.
Rated by .......