ABS
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Growth constraints
Disconnect between Euro ABS ambitions and reality?
European securitisation issuance for the first 11 months of the year stood at a decade high of over €112bn, up by more than 65% compared with the same period in 2020, according to S&P figures. However, despite such record growth, a disconnect appears to remain between the industry’s ambitions and what is being seen on the ground - which .......
News Analysis 9 December 2021
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Perfect harmonisation?
Transparency and standardisation key to EU NPL initiatives
Although fears of a Covid-induced wave - or a tsunami even - of European non-performing loans (NPLs) has dissipated for now, caution and vigilance still appear to dominate the sector. A regulatory approach towards increased transparency and harmonisation of the secondary market for NPL transactions should, however, facilitate more efficiency across the sector.
“The European Commission has tried .......
News Analysis 9 December 2021
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Flowers among weeds
CMBS yields value to canny buyers despite distress
In the first of a series of interviews with SCI, investment managers discuss where they have seen most value recently and where they expect to see it in 2022.
Despite - or because of - the continued uncertainties that beset many areas of the CMBS market, this is the sector of the structured finance marker that currently offers the best returns to .......
Talking Point 8 December 2021
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CRT bonanza
Record 2021 origination and Fannie's return to drive banner 2022 for CRT
Next year will see record GSE CRT issuance of around $20bn, around $6bn higher than 2021, predicts Pratik Gupta, head of CLO and RMBS research at Bank of America.
In addition, he predicts a resurgence of interest in CRT issuance from mortgage insurers seeking to lay off risk and suggests that there could be as much as $10bn of supply in this .......
News 8 December 2021
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Positive prospects?
CRE tops Stage Two allocations
Commercial real estate loans were allocated the largest share of Stage Two classifications, according to the latest EBA data. This coincides with an overall growth in Stage Two allocations following the coronavirus crisis, as well as a boost in significant risk transfer transactions backed by Stage Two exposures and commercial real estate.
According to the EBA’s latest risk .......
News 8 December 2021
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ESG data coverage scrutinised
Sector developments and company hires
The European Leveraged Finance Association (ELFA) has analysed coverage by three ESG data vendors for three debt indices - the CS Western European Leveraged Loan Index, the ICE BofAML Developed Markets High Yield Constrained Index and the BBG Global Aggregate Corporate Index – and found what it describes as “major discrepancies” in data coverage across asset classes. The research shows .......
Market Moves 7 December 2021
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Digital ABS debuts
Fully blockchain-based securitisation completed
German fintech Cadeia has completed the first-ever fully blockchain-based corporate loan securitisation via its Digital Services Platform (DSP). Dubbed GreyPeak 2021-1, the deal was privately placed in the form of digital securities.
“GreyPeak 2021-1 is the first loan securitisation to fully store and execute the complex terms and processes of a securitisation transaction in a blockchain,” explains Rolf .......
News 7 December 2021
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Covid-19: Lessons for the CMBS market
Iona Misheva, partner at Allen & Overy, explores the lessons that the pandemic provided for the European CMBS market
Issuance has been at consistently high levels this year. This has shown that the asset class recovered quickly from the temporary forces of the pandemic, which resulted in very few deals coming to market in 2020. In contrast, 2021 has seen near record levels of .......
Talking Point 6 December 2021
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Winding down
European ABS/MBS market update
The European ABS/MBS primary market appears to have begun winding down for year-end this week. With softening prices, macroeconomic concerns and the upcoming festive season, it seems that participants are already looking ahead to 2022.
“For me the year is already over,” says one ABS/MBS trader. “Most issuers have already come to market and the ABS market is .......
News 3 December 2021
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ESG countdown
ECB climate stress tests pending
The ECB’s pending climate stress tests are expected to offer some answers around the data and modelling challenges pertaining to the analysis of climate risks. Indeed, the stress tests could also prove definitive for ESG significant risk transfer issuance, given the presence of the same data challenges.
The two main challenges pertaining to the analysis of climate risks are data .......
News Analysis 3 December 2021
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Bosphorus CLOs transferred
Sector developments and company hires
Bosphorus CLOs transferred
Cross Ocean Adviser, an affiliate of Cross Ocean Partners Management, has assumed collateral management of the Bosphorus CLO IV, Bosphorus CLO V and Bosphorus CLO VI transactions from Commerzbank. Moody's has confirmed that the move will not impact its current ratings assigned to the affected notes. Under the terms of the associated novation, termination and amendment and .......
Market Moves 2 December 2021
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SRT chronicle: part three
In the final instalment of a three-part series on bank risk...
We have seen in part one of this series how far the SRT sector has developed in the past 10 years from a niche market with 10-12 transactions issued a year to a much larger and more diversified market. Barring a material downturn in the credit cycle, the SRT market should continue to enjoy strong growth in the next .......
Talking Point 2 December 2021
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RFC issued on ABS tax policies
Sector developments and company hires
RFC issued on ABS tax policies
Market Moves 1 December 2021
HMRC is seeking feedback on two draft statutory instruments: the Taxation of Securitisation Companies (Amendment) Regulations 2022 and the Securitisation Companies and Qualifying Transformer Vehicles (Exemption from Stamp Duties) Regulations 2022. The UK government consulted on making changes to clarify or reform certain aspects of the taxation of securitisation companies and the stamp duty .......
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GACS pair print
Mixed NPE pool debuts
A pair of Italian non-performing loan securitisations have closed over the past week that are expected to benefit from the GACS government guarantee (see SCI’s Euro ABS/MBS Deal Tracker). UniCredit has completed OLYMPIA SPV, its third GACS ABS and the fourth for the UniCredit Group, under its non-core portfolio disposal programme. Most recently, Iccrea Banca has finalised the .......
News 30 November 2021
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BWIC workgroup formed
Sector developments and company hires
Mortgage Industry Standards Maintenance Organization (MISMO) has formed a BWIC data development workgroup, with the aim of standardising the BWIC format to facilitate accuracy, liquidity and rapid pricing for MBS transactions. The initiative focuses on creating a standard format for MBS sellers to present BWIC data to security dealer desks. The workgroup intends to address the growing number of MBS .......
Market Moves 30 November 2021
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Restructurings eyed
Real estate and hospitality assets targeted
Arrow Global’s new corporate restructuring unit in Portugal is expected to focus on the real estate and hospitality sectors (SCI 25 November). The move comes as moratoria in the country draw to an end amid a scarcity of capital for local corporates.
The new business builds on Arrow Global’s experience and capabilities in Portugal through its Whitestar .......
News Analysis 30 November 2021
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Slowly widening
European ABS/MBS market update
With investors already looking ahead to 2022, the European ABS/MBS primary market is slowly thinning out. However, transactions were still well received this week, though macro concerns have started to make an impact.
“The market has generally been pretty steady,” notes one European ABS/MBS trader. “Naturally it is a little wider at the moment as we are quickly .......
News 26 November 2021