Complete news archive
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JBBB ETF launched
Sector developments and company hires
Janus Henderson has launched the Janus Henderson B-BBB CLO ETF for US investors. The ETF is the first to focus on providing exposure to B-BBB rated CLOs and will be managed by portfolio managers John Kerschner and Nick Childs, with Jessica Shill serving as associate portfolio manager. The launch of JBBB follows the launch of the Janus Henderson AAA CLO .......
Market Moves 12 January 2022
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Fannie off to a flyer
Fannie Mae's inaugural 2022 deal CAS 2022-RO1 prices
Fannie Mae today (11 January 2022) priced its $1.5bn CAS 2022-RO1 reported yesterday to be in the market, the GSE confirms.
The $459.5m M-1, rated A/A-, was priced at SOFR plus 100bp, the $434m M-2, rated BBB/BBB, was priced at SOFR plus 190bp, the $306.4m B-1, rated BB/BB+, was priced at SOFR plus 315bp and the $306m unrated B-2 was priced .......
News 11 January 2022
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New partnership
Sector developments and company hires
Morningstar has announced the enhancement of its DealView product with the inclusion of climate risk data through partnership with property climate risk data provider, ClimateCheck. The firm’s subsidiary, Morningstar Credit Information and Analytics, will incorporate the new feature alongside its existing in-depth commercial real estate analytics to enhance existing efforts to inform investors on natural risk factors in their CMBS transactions. .......
Market Moves 11 January 2022
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Fannie gets 2022 under way
First CAS deal of the year comes in big at $1.5bn
Fannie Mae is in the market with its first CRT deal of 2022 - a $1.5bn four tranche transaction designated CAS 2022-RO1.
The lead managers are Bank of America and Nomura, while co-managers are Barclays, Citi, Morgan Stanley and StoneX.
While this is a large transaction, it is by no means the largest CAS deal in history, say sources. The CAS 2014-C03 was .......
News 10 January 2022
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New moves
Sector developments and company hires
EMEA
Ashurst is set to further expand its European securitisation team with the appointment of new global capital markets partner, Agathe Motte. Motte will join the law firm in Paris from Linklaters, where she advised French and European banks, corporates, and funds on structured finance deals. She brings extensive experience in both domestic and multijurisdictional securitisation transactions, in a variety .......
Market Moves 10 January 2022
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The year of records
GSE CRT issuance hit peaks in 2021, but 2022 supply set to exceed
The GSE CRT market set records in 2021 and in Q4, according to data produced this week by Mark Fontanilla & Co, the Charlotte, NC-based research and consultancy firm.
Gross benchmark issuance in the CRT market came in at $14.12bn, setting a new high for the sector despite Fannie Mae being absent until September.
“It’s really notable that despite Fannie’s three quarter absence for the .......
News 7 January 2022
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First loss SRT debuts
BBVA executes capital relief trade
BBVA and the EIB group have finalized a €120m financial guarantee that will enable the Spanish lender to channel over €960m into SME lending.
The STS transaction will support working capital and liquidity needs, as well as cover the investment constraints of Spanish SMEs affected by COVID-19. The significant risk transfer trade is also the bank’s inaugural first loss guarantee.
The tranches amortize .......
News 7 January 2022
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SCI Forum: does the STS regime work?
Our expert responds to readers' questions
Is STS doing what it is designed to do for the securitisation market?
Daniel Hill, partner at Allen & Overy, gives his view
The STS regime, introduced in the EU for traditional securitisations on 1 January 2019 (and then for synthetic securitisations in April 2021), aimed at increasing issuances, widening the securitisation investor base and cementing securitisation at the centre of the European .......
Talking Point 7 January 2022
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Atalaya to return (update)
$232m Atalaya equipment leasing securitization to be followed by annual repeats
The debut securitization of equipment leasing assets last month from Atalaya Capital Management is the first deal in what are due to be annual visits to this market, says md and head of equipment leasing Rana Mitra.
“More deals are planned. This was an important strategic consideration for us in the timing of the deal late last year. Clearly market reception was .......
News Analysis 6 January 2022
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Greek wave
Eurobank finalizes SRT
Eurobank has completed a first loss financial guarantee with the EIB group that references a €0.7bn portfolio of Greek SME and large corporate loans. Dubbed Project Wave Two, the transaction is the first capital relief trade of the Greek market to have been structured as a first loss deal under the terms of the European Guarantee Fund (EGF) and is the .......
News 6 January 2022
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Risk transfer return
Santander completes capital relief trade
Santander has finalized a €291.6m synthetic securitisation that references a €5bn portfolio of US, UK, and European undrawn corporate revolvers. Dubbed Bultaco, the transaction is the first confirmed post-covid significant risk transfer trade (SRT) to be backed by such loans.
The tranches amortize on a pro-rata basis over a three-year portfolio weighted average life. The deal was widely syndicated due to good .......
News 4 January 2022
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Rising star
Gordon Neilly, executive chairman at WhiteStar Asset Management, answers SCI's questions
Q: Gordon, what are your expectations for WhiteStar as it expands further into the European CLO space?
A: So, this is our entry point into the European CLO space. If you look at the industry today, not only is the European CLO market far less developed than the US CLO market, it’s also quite fragmented with about 50 players in the European .......
The Structured Credit Interview 4 January 2022
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Angel Oak hits up MILNs
In the third and final in our series of EOY interviews with...
Colin McBurnette handles RMBS allocation for Angel Oak, and in 2021 he expanded the footprint of his portfolio into the mortgage insurance-linked note market for the first time.
Heading into March 2020, Angel Oak had zero dollars in total MI exposure in its flagship Angel Oak Multi Strategy Income Fund (ANGIX), but this year it climbed to a peak of $400m. The fund will continue .......
Talking Point 3 January 2022
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WAB CRT number 2
WAB becomes 1st US regional to do CRT on direct mortgage exposure
Phoenix-based Western Alliance Bank (WAB), a wholly owned subsidiary of Western Alliance Bancorporation (WAL, marked the last days of 2021 with its second CRT trade in four months, designated WAL 2021 CL2.
The $50bn bank first entered the CRT space in September with a trade covering mortgage warehouse loans but this latest transaction transfers risk on direct mortgage exposure.
This makes it the .......
News 3 January 2022
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Decision notice issued against BlueCrest
Sector developments and company hires
Decision notice issued against BlueCrest
The UK FCA has published a decision notice against BlueCrest Capital Management (UK) (BCMUK) setting out its decision to impose a financial penalty of £40.81m on the firm. BCMUK has elected to refer the case directly to the Upper Tribunal, which will determine the appropriate action, if any, for the FCA to take.The .......
Market Moves 24 December 2021
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MCC secures synthetic
Italian SME counter-guarantee deployed
The EIF is set to counter-guarantee a portfolio of 5,652 operations backed by the Guarantee Fund for SMEs, which is managed by Mediocredito Centrale (MCC) on behalf of the Italian Ministry of Economic Development. The total portfolio amount corresponds to €3.2bn of funding, including a direct guarantee from the Fund of €2.8bn.
Under this synthetic securitisation of secured .......
News 23 December 2021
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On the rebound
Pandemic-driven CMBS bifurcation to persist
European CMBS issuance is expected to continue rebounding in 2022, on the back of strong volumes of nearly €6bn this year. However, collateral composition of new transactions, as well as the performance of existing deals will likely reflect the pandemic-driven bifurcation of the commercial real estate markets.
“CMBS will be an area that will be increasingly busy over .......
News Analysis 23 December 2021
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From strength to strength
Landmark year for Aussie securitisation
With A$48.79bn publicly placed across 64 individual transactions in 2021, the Australian securitisation market has reached a post-financial crisis issuance high. Record volumes, combined with the entrance of a series of new issuers and programmes - in a market driven by the non-bank sector - all point to continued growth.
“Perhaps the most interesting aspect, or at least .......
News Analysis 23 December 2021
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Turning tides
WeWork CMBS winners, losers highlighted
WeWork is set for a “strong comeback” this year, according to a new Morningstar Credit Information & Analytics (MCIA) report that analyses the company’s post-pandemic performance and its impact on the US CMBS market. The study assessed seven properties – four ‘losers’ that lost WeWork as a tenant at the start of 2021 and three ‘winners’, where WeWork may .......
News 22 December 2021
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Double first for the EIB
EGF, first loss guarantee debuts
The EIB Group has closed the first synthetic securitisation backed by the European Guarantee Fund (EGF), an instrument set up by the EIB Group together with EU Member States to mitigate the economic consequences of the Covid pandemic (SCI 27 May 2020). The transaction is also the first whereby the EIB Group has invested in the junior tranche .......
News 22 December 2021