ABS

  • Basel 4 proportionality expected

    The Basel Committee last week finalised the long-awaited Basel 4 reforms (SCI 8 December). The proposals have received an overall positive reception from the market, although much will depend on how the rules are translated into the CRR. Indeed, the prospect of proportionality at the EU level appears to be more promising (SCI 23 October).

    According to last week's agreement, .......

    News Analysis 14 December 2017

  • MPL sector shakes off reputational threats

    With continued growth of the marketplace lending ABS sector and repeat issuance from a range of firms, the market appears to have shaken off its label as an esoteric asset class. At the same time, a potential resolution to the ongoing Madden case suggests that the sector could finally be overcoming its reputational issues.

    Last quarter was strong for the .......

    News Analysis 13 December 2017

  • Risk transfer round-up - 8 December

    Nord LB has this week closed a shipping significant risk transfer transaction dubbed Northvest 2. The €1bn shipping credits form part of a €10.1bn multi-asset portfolio.

    The transaction coincides with the finalisation of the outstanding Basel 3 reforms. The RWA output floor has been agreed at 72.5%, as expected.

    More importantly though, banks will have until 2027 to adhere to .......

    News 8 December 2017

  • Confidence boost for synthetic NPL deals

    A recent Ashurst survey notes that securitisation may prove to be the most prevalent method of non-performing loan resolution in Greece in the early years of the market, given the established infrastructure for this type of transaction. Indeed, NPL investors rank Greece in their top-two southern European target investment countries for the next 12 months.

    According to the survey results, .......

    News Analysis 8 December 2017

  • Auto ABS spread distortion eyed

    European auto ABS bonds are trading at similar spreads to unsecured corporate debt issued by the same parent company, indicating a distortion of risk in the market. The trend may eventually be broken, however, as the ECB slows its ABS purchasing programme and regulatory changes taking affect next year broaden the European investor base for auto ABS.

    Vaclav Vacikar, ABS .......

    News Analysis 5 December 2017

  • Innovative financial guarantee printed

    Raiffeisen's €1.2bn ROOF Slovakia 2017, which is believed to be the first synthetic securitisation of Slovak assets (SCI 1 December), strengthens the bank's common equity tier 1 ratio (fully loaded) by around 12bp at the group level. The bank plans to be a programmatic issuer of risk transfer trades via its 'ROOF' securitisation platform.

    ROOF Slovakia 2017 represents a financial guarantee .......

    News 5 December 2017

  • Job swaps round-up - 1 December

    EMEA

    CBRE has hired Paul Coates as executive director and head of debt and structured finance EMEA. He will report to Richard Dakin, md of CBRE Capital Advisors. Coates was previously md, head of UK real estate finance at RBS.

    North America

    THL Credit co-ceo Christopher Flynn has been named sole ceo of the firm, following the resignation of co-ceo .......

    Job Swaps 1 December 2017

  • Risk transfer round-up - 1 December

    Raiffeisen has completed ROOF Slovakia 2017, a €1.2bn financial guarantee from its Slovak subsidiary Tatra banka, referencing a portfolio of corporate loans and project financings. The transaction is believed to be the first synthetic securitisation of Slovak assets and enabled capital relief to be achieved at RBI Group level, with the P&L of Tatra banka unaffected.

    The SPV is a .......

    News 1 December 2017

  • Fino phase two initiated

    UniCredit has closed Fino 1 Securitisation, marking the beginning of phase two of Project FINO, its plan to sell down a portion of the retained exposure relating to a €17.7bn portfolio of non-performing loans (SCI passim). The lender can now apply for the Italian GACS guarantee and sell the senior notes to investors, a first for GACS senior notes.

    The .......

    News Analysis 30 November 2017

  • Euro ABS/MBS stable

    The European ABS/MBS secondary market continues to remain stable.

    "It's been a sporadically active month - our total volumes and flows indicate November is the busiest since July," says one trader. "However, market tone is still strong and we're not seeing any areas of weakness."

    As a result, the trader says: "Secondary spreads remain well-supported, so we continue to steadily .......

    SCIWire 30 November 2017

  • Risk transfer come-back

    Bank of Ireland has returned to the risk transfer market with Mespil Securities 2017-1. The lender's latest capital relief trade will increase its common equity Tier 1 capital ratio by 0.45% and comes a year after it carried out a similar transaction on around €3bn of loans from its business banking and corporate banking divisions in Ireland (see SCI's capital .......

    News 29 November 2017

  • Supply/demand imbalance to support spreads

    JPMorgan's latest international ABS investor survey suggests that the current supply/demand imbalance in European securitisation will persist in 2018. Indeed, sentiment appears somewhat surprisingly bullish, despite the significant spread compression seen throughout 2017 and the investment challenges presented by a combination of stretched valuations and limited scalability.

    The JPMorgan ABS Investor Confidence Index - which attempts to quantify survey participants' .......

    News 29 November 2017

  • Hurdles remain for Chinese ABS

    Chinese securitisation issuance reached RMB808bn in aggregate from 425 transactions last quarter, up from RMB498bn from 318 deals as of 3Q16, according to Fitch. However, while the domestic ABS sector may be growing, the market is unlikely to reach full maturity until it becomes truly cross-border.

    Jeffrey Chen, partner and head of structured finance at Dentons, Hong Kong, says that .......

    News Analysis 28 November 2017

  • Provisioning differences highlighted

    UniCredit and Intesa Sanpaolo recently revealed differences over the ECB's provisioning guidelines, with the spotlight falling on non-performing loan recovery mechanisms. Speaking at IMN's Investors' Conference On Italian & European NPLs, representatives from the lenders also discussed their NPL strategies going forward.

    Carlo Viola, head of strategies and solutions at Intesa Sanpaolo, observed: "Automatic provisioning has to take into account .......

    Talking Point 27 November 2017

  • Inaugural island auto ABS markets

    My Money Bank (MMB) is marketing an inaugural €527m static cash auto ABS. The transaction, titled SapphireOne Auto 2017-1 (see SCI's deal pipeline), is backed by 39,122 non-delinquent auto loan (64%) and lease (36%) contracts to borrowers in the French overseas territories of La Reunion, Guadeloupe, Martinique and French Guiana.

    The transaction is provisionally rated by Moody's and .......

    News 24 November 2017

  • SRT concerns acknowledged

    Attendees of a public hearing on the EBA's SRT discussion paper have raised concerns in relation to excess spread, time calls and commensurate risk transfer tests (SCI 28 September). The EBA has acknowledged the concerns, but as its consultation is still ongoing it has not provided detailed responses.

    The trapping mechanism is a key requirement for excess spread. The amount .......

    News Analysis 24 November 2017

  • Inaugural inventories ABS is sector 'holy grail'

    Trafigura has launched a 'pioneering' debut commodities securitisation marking a milestone for the sector. The US$470m non-recourse funding programme, Trafigura Commodities Funding (TCF), is backed by inventories of crude oil and refined metals and is structured with a senior and junior tranche.

    TCF is a stand-alone vehicle, incorporated in Singapore, and has issued US$470m of senior funding notes, comprising the .......

    News 22 November 2017

  • Mixed portfolio SRT printed

    NatWest has originated a capital relief trade dubbed Nightingale Securities 2017-1. Unusually, the £390.2m CLN references a mixed portfolio of asset classes. It is also the first DBRS-rated synthetic securitisation for the RBS Group.

    The synthetic securitisation, structured in the form of a financial guarantee (SCI 18 April), was priced in the typical 9%-12% range for these trades. It features .......

    News Analysis 21 November 2017

  • NPL secondary 'needs AMC blueprint'

    The European Commission has confirmed progress on NPL secondary markets. It has highlighted the creation of NPL secondary markets through improved data standardisation as well as work towards a blueprint for an asset management company (AMC).

    Speaking at a recent conference on Italian and European NPLs, European Commission financial services and capital markets union director Mario Nava noted that standardisation .......

    News Analysis 21 November 2017

  • Job swaps round-up - 17 November

    EMEA

    CSC has hired Jonathan Hanly as md to its Ireland office, Hinnerk Koch as md to its Luxembourg office and Aline Sternberg as head of transaction services in the UK. Hanly has previous executive leadership roles with the Intertrust Group, SFM Europe and RBS. Koch has significant experience in the alternative finance and securitisation markets in Luxembourg, having spent .......

    Job Swaps 17 November 2017

  • Risk transfer round-up - 17 November

    RBS hit the market this week with its first DBRS-rated risk transfer transaction, dubbed Nightingale Securities 2017-1. The £390.2m CLN references a mixture of asset types, with a WAL of 4.5 years and a sequential amortisation structure, as per CRR/SRT rules.

    Meanwhile, Lloyds is rumoured to be marketing two capital relief trades - a mid-cap deal and a large real .......

    News 17 November 2017
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