Complete news archive
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CET1 ratios eyed
Disposals, securitisations to protect bank capital
European bank CET1 ratios have stabilised over recent years, as Basel 3 capital requirements and other supervisory measures have been fully phased in. However, further RWA inflation could result from the ECB’s TRIM exercise or the Basel 4 output floors.
Banks have adapted to the post-crisis regulatory environment by lowering RWAs and/or by retaining more earnings. Indeed, for over a .......
News Analysis 12 December 2019
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Sticking with the programme
ABSPP hits new high, but total volumes remain low
Latest figures from the ECB show that its ABSPP holdings are at an all-time high. However, the programme remains far from the market moving purchaser it was once expected to be.
Bank of America European structured finance analysts report that ECB net purchases under the ABSPP in October and November were €1.16bn and €1.266bn respectively, representing the highest monthly net .......
News 12 December 2019
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2020 vision
Looking for relative value in European securitisation
Next year seems likely to present structured finance investors with even greater challenges in the search for yield. Nevertheless, relative value is to be found in 2020 for those looking in the right places.
Macro and geopolitical factors should always inform asset allocation strategies. But for 2020, their importance is even greater, according to Rob Ford, partner and portfolio manager .......
News Analysis 11 December 2019
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Ratings volatility?
CLO single-B minus scenarios tested
Single-B minus rated obligors currently constitute a record high of nearly 19% of US broadly-syndicated loan CLO exposure, according to S&P figures. To address concern over the credit stability of these companies and the potential for downgrades to inflate triple-C buckets, the rating agency has published a scenario analysis that explores the possible impact of such ratings volatility on the .......
News 10 December 2019
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Alternative credit platform expands
Sector developments and company hires
CFO appointed
Market Moves 10 December 2019
Annaly Capital Management has appointed Serena Wolfe as cfo and a member of its operating committee. Glenn Votek, the company’s cfo and interim ceo and president (SCI 21 November), has stepped down from his role as cfo. Wolfe most recently served as a partner at Ernst & Young since 2011 and as its Central Region Real Estate Hospitality .......
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IT solution
Infrastructure ABS could hold the key to a brighter future for Europe's banks
The European banking sector is struggling under the burden of shrinking profits and growing costs, yet benefits from consistent regulatory support and an entrenched role within the continent’s broader economy. The major challenge for banks is the need to upgrade their IT infrastructure, but counterintuitively this could also be a major opportunity for them.
“Cosmetic changes to improve operational efficiency .......
News Analysis 9 December 2019
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SCI Start the Week - 9 December
A review of securitisation activity over the past seven days
Transaction of the week
News 9 December 2019
NIBC recently priced the first fully-compliant ESG CLO, North Westerly VI, utilising a wholly exclusionary loan section process. The €410m transaction is expected to be the first of many ESG-compliant transactions from the firm, which also plans to bring North Westerly V onto the same reporting platform and in line with ESG best practices next year.
North Westerly .......
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Mutual agreement
BPPB SRT debuts
Further details have emerged about the EIF and Banca Popolare di Puglia e Basilicata’s (BPPB) €60m financial guarantee under the SME Initiative Italy (SCI 6 December). Referencing a €120m Italian SME portfolio, the transaction is BPPB’s first risk transfer trade and is the first under the SME Initiative Italy to free up mutual guarantees known as confidi.
“This is .......
News 9 December 2019
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Core qualities
Caroline Chen, svp and research analyst at Income Research &...
Q: How and when did Income Research & Management become involved in the securitisation market?
The Structured Credit Interview 9 December 2019
A: Income Research & Management is a privately-owned fixed income investment manager that serves institutional and private clients. The firm is headquartered in Boston and was founded in 1987 by managing principals John Sommers and Jack Sommers. Originally a credit-oriented manager, IR+M has been involved in .......
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Turbo feature for CLO reset
Sector developments and company hires
Early upgrade
Market Moves 9 December 2019
DBRS Morningstar has taken the unusual step of upgrading from double-B (low) to double-B the class E notes issued by Autonoria Spain 2019 a week after the transaction priced (SCI 2 December). The move follows the final pricing of the coupons on the notes and the three interest rate swaps, which resulted in an overall reduction in costs .......
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ABS focus
Music, sports, entertainment firm grows securitisation capabilities
23 Capital recently made a number of hires to boost their securitisation capabilities, signalling the firm’s commitment to securitisation as a key part of its funding strategy. After an inaugural securitisation backed by football royalties successfully closed in 2016, it may also look to offer deals backed by different collateral in the future.
Sreesha Vaman, hired to the role .......
News Analysis 6 December 2019
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Grattan refinanced
Bank of Ireland completes CRT
Bank of Ireland has originated a €265m funded and unfunded financial guarantee that references a partially disclosed €2bn Irish and UK corporate portfolio. Dubbed Vale Securities, the transaction is a refinancing of a 2016 capital relief trade called Grattan Securities (see SCI’s capital relief trades database).
The refinancing follows the exercise of an optional early termination right for Grattan .......
News 6 December 2019
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Alternative appetite
Euro CMBS specialist property exposure to rise
Appetite for European CMBS secured by specialist or alternative assets is expected to grow in 2020, as the sector becomes less niche. Such properties are characterised by their operating nature, with the availability of alternative operators being a key driver in their assessment.
Stephen Hughes, avp - analyst at Moody’s, notes that there are two main factors driving increased appetite .......
News 6 December 2019
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ABS head retired
Sector developments and company hires
ABS head retires
Janus Henderson’s head of ABS investment Ed Panek has now retired from the company and the industry. Colin Fleury, the head of secured credit will assume direct responsibility for the ABS team. Fleury has extensive experience working with ABS, having previously fulfilled the head of ABS investment role. A more junior securitisation expert is being recruited to .......
Market Moves 6 December 2019
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Moving into the mainstream
Booming aviation ABS sector shakes off esoteric label?
Aviation ABS issuance has seen strong growth, with 2019 set to be a bumper year and investors also drawn to the asset class due its long term, stable nature, prompting some market participants to suggest it has shaken off its esoteric label. The asset class isn't without any concerns, however, with a small number of issuers lacking skin in the game .......
News Analysis 5 December 2019
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Cigarette slump?
Dispute revenue to offset declining MSA cashflows
US cigarette shipments have declined by an average of 3.2% per year since 2000 and are expected to decrease by 4%-5% over the next 12-18 months, hitting the cashflow available to pay down tobacco ABS bonds. However, revenue from future potential settlements and other special payments could partially offset the risk from slowing tobacco sales.
Moody’s notes that some US .......
News 4 December 2019
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US CLO debuts
Transaction marks first for bank's AM arm
Morgan Stanley’s asset management division is entering the CLO space with a new transaction. Dubbed 522 Funding I, the US$457.25 million transaction is the first CLO to be managed by Morgan Stanley Investment Management.
The transaction is rated by S&P and Fitch as triple-A/triple-A on the US$279m class-A notes (three-month Libor plus 139bp) while just Fitch has rated the US$13.5m class .......
News 4 December 2019
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Credit analysts poached
Sector developments and company hires
Credit analysts poached
Cairn Capital has appointed José Ferrero and Vihren Jordanov as senior credit analysts, focusing on loans and reporting to credit research head Mark Stieler. Ferrero was previously a credit analyst at Partners Group, where he was responsible for European coverage of the business and consumer services, chemicals and healthcare sectors. Jordanov joins from Alcentra, where he was .......
Market Moves 4 December 2019
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First "true" ESG CLO launched
Transaction marks first of many ESG deals for issuer
NIBC recently priced the first fully-compliant ESG CLO, North Westerly VI, utilising a wholly exclusionary loan section process. The €410m transaction is expected to be the first of many ESG-compliant transactions from the firm, which also plans to bring North Westerly V onto the same reporting platform and in line with ESG best practices next year.
North Westerly VI is .......
News Analysis 3 December 2019
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Confidentiality issues persist
Disclosure questions unresolved for CRT market
ESMA’s updated questions and answers on the Securitisation Regulation, clarifies different aspects of the European Commission’s draft technical standards on securitisation disclosures (SCI 18 October). However, as with the Commission’s paper, the document doesn’t explain how CRT issuers can comply with the disclosure requirements while preserving client confidentiality.
David Saunders, structurer at Santander, comments: “The confidentiality issues remain, so .......
News 2 December 2019
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SCI Start the Week - 2 December
A review of securitisation activity over the past seven days
Transaction of the week
News 2 December 2019
Credit Agricole is marketing a securitisation of Dutch consumer loans originated via subsidiaries of Credit Agricole Consumer Finance Nederland (CACF NL). Dubbed Magoi, the transaction references a €418m eight-month revolving pool of 23,282 unsecured, fixed-rate personal loans and displays several differences compared to previous transactions from the firm.
This ABS is also structured to meet the STS criteria, .......