ABS
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STS BTL RMBS prepped
Sector developments and company hires
STS BTL RMBS prepped
Domivest is in the market with the first-ever STS buy-to-let RMBS. Dubbed Domi 2021-1, the €352.2m transaction is backed by a €370.7m provisional pool of Dutch BTL mortgage loans, including €30.61m in prefunding.Interest-only loans comprise 93.5% of the pool, according to Moody’s. Loans with initial LTVs above 70% amortise linearly to either the 70% .......
Market Moves 11 May 2021
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Geographical divergence
CSEE moratoria more likely to underperform
EU banks set aside large provisions in 2020 in anticipation of Covid-induced higher default rates, but most loans that benefited from payment holidays in the region resumed regular payment schedules during 2020 with less than expected difficulty. However, the credit performance of loans exiting moratoria weakened in the last quarter of the year, indicating that loans under long-running moratoria .......
News Analysis 11 May 2021
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Risk transfer round-up - 11 May
CRT sector developments and deal news
Bank of Montreal has called Muskoka Series 2020-1. The US$132m financial guarantee was executed in April 2020, becoming the first post-Covid capital relief trade (SCI 15 May 2020). The lender exercised another call option on 9 February for Muskoka Series 2017-2 (SCI 9 February).
....... News 11 May 2021
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Hertz reorganisation proposals weighed
Sector developments and company hires
Hertz reorganisation proposals weighed
Market Moves 10 May 2021
Hertz has determined that a revised proposal to provide equity capital to fund its exit from Chapter 11 - made by affiliates of Knighthead Capital Management, Certares Opportunities and Apollo Capital Management - constitutes a superior proposal than the one contemplated by its agreement with its existing plan sponsors, affiliates of Centerbridge Capital Partners, Warburg Pincus .......
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Alternative support
Infrastructure ABS boosts Italian direct lending
Further details have emerged regarding the debut syndication of an Italian infrastructure loan via a securitisation vehicle (SCI 4 May). The transaction was undertaken with aim of enabling alternative lenders to access the Italian credit market.
“The objective of the deal was to syndicate both drawn and undrawn loan commitments to non-banking institutions that were not licensed .......
News 7 May 2021
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Green railcar ABS debuts
Sector developments and company hires
Green railcar ABS debuts
Trinity Industries has priced its inaugural green railcar ABS, following the publication of its green financing framework in January. The US$355m TRP Series 2021-1 transaction is backed by a US$482.68m portfolio comprising 6,350 railcars.The notes constitute green bonds based on the generally accepted market principles for such classification published by ICMA. Sustainalytics, acting as an external .......
Market Moves 7 May 2021
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Niche exposure
CFE Finance business development manager Duccio Duranti and...
Q: How and when did CFE Finance become involved in the securitisation market?
The Structured Credit Interview 7 May 2021
DD: CFE Finance was founded by Mario Cordoni in 2001 to support the trade of commercial transactions both to and from emerging markets, including pre-export finance and export credit agency (ECA) financing. As a metals trader, Mario often faced credit risk exposure when dealing with emerging market .......
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NPL rebound?
Secured loan sales set for 2022 return
European secured loan sales witnessed their sharpest contraction last year as the coronavirus pandemic rocked markets. Nevertheless, a broad-based rebound is anticipated for the non-performing loan market in 2022.
According to the latest CBRE data, the market just saw €40.4bn of European secured loan volumes in 2020. The total represents a marked decrease from the €162bn record .......
News 6 May 2021
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Tight pricing
Standard Chartered prints CRT
Standard Chartered has finalised a US$180m CLN that references a US$2bn portfolio of around 130 US and European corporate exposures. Dubbed Chakra Five, the capital relief trade is the most tightly priced Chakra deal to date.
The trade printed in the high single-digits and features tranches that amortise sequentially over a an approximately three-year weighted average life and .......
News 5 May 2021
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Balancing act
Alexander Batchvarov, md, head of international structured f...
Q: How would you describe European investor appetite for esoteric securitisations currently?
A: We have a situation on the market, where corporate spreads are moving very tight and at present high yield spreads are in the 300bp area in Europe. Investors seek beta, but also keep an eye over their shoulders – ECB reaction function is of concern.With .......
Talking Point 30 April 2021
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Greek investment partnership inked
Sector developments and company hires
Greek investment partnership inked
Market Moves 29 April 2021
Mount Street Group has formed a strategic partnership in Greece and Cyprus with Technical Olympic, a Greek real estate, construction and investment group. As part of the partnership and through its subsidiary PFC Premier Finance Corporation (Cyprus), Technical Olympic has entered into a Memorandum of Understanding to acquire a stake in Mount Street’s businesses in Greece .......
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Vertical structure
Rare Spanish NPL ABS closed
Morgan Stanley last month closed a rare Spanish non-performing loan securitisation, dubbed Retiro Mortgage Securities. The €470m transaction features a vertical structure for the management of four sub-portfolios, with a mortgage lender, an SPV with credit rights over the loan collateral and a respective propco with security rights over the REO assets.
The NPL collateral has a total .......
News Analysis 29 April 2021
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Irish RPL refi prepped
Sector developments and company hires
Irish RPL refi prepped
Market Moves 28 April 2021
A refinancing of two Irish reperforming RMBS - European Residential Loan Securitisation 2019-PL1 and Grand Canal Securities 1 - has hit the market. Dubbed Primrose Residential 2021-1, the transaction is backed by a €869.8m portfolio of seasoned first lien performing and reperforming mortgages secured by majority owner occupied (accounting for 57.6% of the pool) and buy-to-let .......
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Funded reinsurance roll-out
Pass-through longevity swap completed
Prudential Insurance Company of America’s (PICA) international reinsurance business last month closed an innovative longevity swap with a UK pension scheme using a UK-regulated insurer, Zurich Assurance, as intermediary. The transaction - which transfers longevity risk associated with £6bn of pensioner liabilities - features a limited recourse structure, whereby the longevity and default risks can be passed through the .......
News 28 April 2021
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APAC ESG expansion eyed
Sector developments and company hires
APAC ESG expansion eyed
Market Moves 27 April 2021
Moody’s is set to expand its Singapore office with the aim of spearheading ESG, climate and sustainable finance efforts in the Asia Pacific region, as well as fostering the ESG ecosystem in Singapore. Included in the firm’s plans are several initiatives, such as the establishment of an ESG Centre of Excellence for investor outreach, engagement and .......
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Risk transfer round-up - 27 April
CRT sector developments and deal news
Credit Suisse has redeemed and delisted two Magnolia Finance Five transactions. Magnolia Finance Five Series 2017-1 is a US$400m CLN that matures in 2024. The other transaction, dubbed Magnolia Finance Five series 2017-2, is a US$75m CLN that matures in 2025.
....... News 27 April 2021
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Downgrades for 'lower quality' mall CMBS
Sector developments and company hires
Downgrades for ‘lower quality’ mall CMBS
Market Moves 26 April 2021
Moody's has downgraded 119 principal and interest, 26 interest-only and 11 exchangeable classes from 36 US CMBS and placed eleven P&I, one exchangeable and three IO classes under review for possible downgrade from a further two CMBS. The rating actions affect approximately US$6.2bn of securities and were prompted primarily by increased loss expectations and .......
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Uncertainty highlighted
UK banks unclear on project finance slotting
The application of the slotting approach to synthetic securitisations referencing project finance assets remains unclear. The other option for UK banks is ratings, but that approach is accompanied by its own challenges.
According to Steve Gandy, head of private debt mobilisation, notes and structuring at Santander Corporate and Investment Banking: ‘’The PRA has stated publicly that it .......
News Analysis 23 April 2021
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Climate concerns
KBRA md Peter Giacone and Nephila Climate structured finance...
PG: How does the insurance industry fit into the ESG discussion and where do you see touch points within the Nephila Climate universe?
Talking Point 22 April 2021
AW: The evaluation of climate risk, a key aspect of the ‘Environmental’ factor, is a core capacity and it is what we do every day. In terms of the ‘Social’ element, the obvious thing is that insurance .......