Complete news archive
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CLO stress scenario updated
Sector developments and company hires
CLO stress scenario updated
Market Moves 7 April 2020
Fitch is set to apply an updated stress scenario to all CLO portfolios involving issuers with greater vulnerability to disruptions caused by coronavirus. The agency’s previous scenario focused on seven industries vulnerable to impacts from the pandemic, but will be expanded to include issuers with loans in CLOs from the automobile industry, as well as all .......
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Improving sentiment
European ABS market update
European ABS secondary market sentiment improved last week, with the return of investor appetite, and spreads across most sectors stabilised or tightened. However, the primary market remains on hold, with no new publicly distributed transactions sold or added to the pipeline.
“Spreads are much tighter than they have been since late-February. It does present a pretty interesting opportunity .......
Market Reports 7 April 2020
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Negative outlook for asset performance
Sector developments and company hires
Negative outlook for asset performance
Market Moves 6 April 2020
Fitch is updating its rating assumptions for all global structured finance sectors to incorporate the economic impact of the coronavirus and related mitigation measures. The agency expects the global pandemic to result in an unprecedented economic contraction and while the rating effects will vary meaningfully across asset classes, asset performance deterioration is anticipated in almost .......
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SCI Start the Week - 6 April
A review of securitisation activity over the past seven days
Last week's stories
News 6 April 2020
Breathing space?
EU banks benefit from Basel 3 delay
Capacity constraints
Covid-19 not yet posing solvency issues
CECL delayed
EU banks await IFRS 9 relief
Credit challenges
CLOs show resilience in stress scenarios
Development finance
Securitisation mooted for SME house builders
ESG catalyst?
Positive impact SRTs gaining traction
MBS market buffeted
'Unsustainable' hedges called out
Pressure drop
European CLO market update
Real asset focus
Pierfront Capital .......
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Statics deployed
Simpler CLO structure in vogue, but creates its own challenges
The first US CLO to price since the Covid-19-driven market collapse utilises a static structure and similar deals are expected to follow. However, such transactions could suffer greater ratings volatility than those with revolving portfolios.
On Thursday, 2 April, Blackstone/GSO CLO Management priced the first new CLO in weeks – the static Stratus CLO 2020-1. The US$315m class .......
News 6 April 2020
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PEFF pay-out anticipated
Sector developments and company hires
PEFF set to pay out
Market Moves 3 April 2020
The calculation agent on the World Bank’s CAR 112 catastrophe bond is expected to report by 9 April, with the A and B tranches likely to pay out in the next two to three weeks (SCI 3 March). Lane Financial estimates that the B tranche will likely pay out in full for US$95m, while .......
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ESG catalyst?
Positive impact SRTs gaining traction
Significant risk transfer is primarily associated with achieving favourable capital treatment. However, the utility of the instrument as a catalyst for ESG/positive impact financings - by enabling banks to redeploy capital from legacy ‘dirty’ assets into new ‘clean’ assets - is gaining traction, according to SCI’s latest CRT Research Report.
“The capital relief trade market has a .......
News Analysis 3 April 2020
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Credit challenges
CLOs show resilience in stress scenarios
Central bank and government countermeasures are likely only able to offer short-term liquidity support to businesses during the coronavirus crisis. If the circumstances continue for a lengthy period of time, credit quality could experience significant pressure, says S&P.
In a recent scenario analysis, S&P applied 10 hypothetical stress scenarios of varying severity to a typical European CLO to .......
News 2 April 2020
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Breathing space?
EU banks benefit from Basel 3 delay
The Basel Committee's decision last week to delay implementation of the final Basel 3 rules by a year (SCI 30 March) gives banks and supervisors some breathing space to respond to the coronavirus crisis. However, the delay is expected to be more beneficial for EU banks compared to US banks.
Fitch, for one, notes that the delay .......
News 2 April 2020
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Development finance
Securitisation mooted for SME house builders
SME house builders struggle to access finance, despite being responsible for around 13% of new builds. Development finance securitisation is therefore being mooted as one way of helping the UK government achieve its target of building 300,000 new homes per annum.
Gordon Kerr, head of European structured finance research at DBRS Morningstar, says: “We do think development finance .......
News Analysis 2 April 2020
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MBS market buffeted
'Unsustainable' hedges called out
MBS spreads to Treasuries widened again yesterday (1 April), giving those hedging margin calls on TBA shorts a breather. But it is not thought that the US Fed has been frightened off by the MBA’s letter on Sunday admonishing its actions in the previous week.
Agency MBS spreads have backed up again, but volatility continues to be the .......
News Analysis 2 April 2020
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CRR compliance for NHG guarantee
Sector developments and company hires
EMEA
Market Moves 1 April 2020
Addleshaw Goddard has hired structured finance partner Rachel Kelly from McDermott Will & Emery. Kelly has three decades of experience at major international law firms, including as a partner at both Clifford Chance and Macfarlanes. Her work has been across the full spectrum of structured finance and debt capital markets transactions, public and private, national and international, advising the full .......
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Real asset focus
Stephane Delatte, ceo and cio of Pierfront Capital, answers SCI's questions
Q: How and when did Pierfront Capital become involved in investment?
The Structured Credit Interview 1 April 2020
A: Pierfront Capital was established in 2016. We have deep experience and expertise in structuring private credit investments in the Asia Pacific, with an investment team with an average of 15-20 years of relevant experience, with specific expertise across the real assets sectors. Our first fund, PCMF, which was .......
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Advancing assistance programme prepped
Sector developments and company hires
Advancing assistance mooted
Market Moves 31 March 2020
Ginnie Mae is tailoring the existing disaster pass-through assistance programmes to more suitably scale to the needs of mortgage issuers in response to the Covid-19 liquidity squeeze (SCI 30 March). The GSE anticipates implementing within the next two weeks - via an All Participants Memorandum (APM) - a Pass-Through Assistance Program (PTAP), through which issuers with .......
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CECL delayed
EU banks await IFRS 9 relief
The US Fed, the FDIC and the OCC last week approved an extension of the new credit loss accounting standard CECL until 2022. No equivalent action has been taken for IFRS 9 on the EU side, however.
According to the US regulators’ joint statement, banking organisations that are required under US accounting standards to adopt CECL this year .......
News 31 March 2020
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Pressure drop
European CLO market update
Margin call pressures on European CLO warehouses appear to be subsiding. However, pricing levels remain volatile.
The leveraged loan market experienced a sharp repricing in recent weeks, due to coronavirus disruption. As of last week, European loan prices had dropped by circa 20% on average, while the percentage of distressed loans trading less than 90% and less than .......
Market Reports 31 March 2020
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Basel 3 implementation deferred
Sector developments and company hires
APAC fund launch
Market Moves 30 March 2020
Pierfront Capital Fund Management has been awarded its capital market services license for fund management by the Monetary Authority of Singapore. It has also announced the first close of the Keppel-Pierfront Private Credit Fund, which aims to provide debt solutions to corporates or projects predominantly in the real asset sectors of the Asia-Pacific region. Sponsored by Pierfront .......
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Capacity constraints
Covid-19 not yet posing solvency issues
Government and central bank actions have kept both the financial system and the real economy afloat in the short-term, amid the coronavirus disruption. The severity of this crisis for company and household finances will depend on the length of the current outbreak and political will, however.
According to Rabobank credit analysts: “Covid-19 is now an imminent issue for .......
News Analysis 30 March 2020
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Systemic risk?
Servicing capacity concerns for non-bank lenders
Fitch has revised its US RMBS servicer ratings outlooks to negative, due to evolving economic stresses and operating conditions caused by the coronavirus pandemic. Concern around servicing capacity in the US is rising as non-bank mortgage lenders come under increasing pressure, given their limited funding profiles.
“The fallout from the pandemic is likely to elevate loan delinquencies, increase .......
News Analysis 30 March 2020
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SCI Start the Week - 30 March
A review of securitisation activity over the past seven days
Transaction of the week
News 30 March 2020
Northern Arc Capital and fintech platform CredAble have closed a trade finance securitisation backed by invoice receivables. The transaction is the first rated and listed invoice receivables-backed ABS from India.
Kshama Fernandes, md and ceo of Northern Arc Capital, says: "Banks and non-banking financial companies (NBFCs) have traditionally been present in this space and have been discounting these .......
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Testing times
MPL platforms addressing coronavirus impact
As an expansion-era product, marketplace lending securitisation is expected to be tested for the first time by the Covid-19 fallout. Joseph Cioffi, partner and chair of the insolvency, creditors’ rights and financial products practice group at Davis & Gilbert and author of Credit Chronometer, tells SCI how platforms are preparing for a potential recession.
Q: Why and how .......
Talking Point 27 March 2020