ABS
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Risk transfer round-up - 21 October
CRT sector developments and deal news
Lloyds is believed to still be attempting to execute its second transaction from the Fontwell programme. The deal is backed by agricultural loans and was expected to close in 3Q20, but the bank has allegedly found it hard to sell the mezzanine tranche at below 5%. The last Fontwell deal closed in December 2016 (see SCI’s capital relief trades .......
News 21 October 2020
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Jurisdiction expansion
European ABS market update
IPTs were released today for Mercedes-Benz's inaugural French auto ABS. Dubbed Silver Arrow France 2020-1, the €689.7m transaction is STS compliant and backed predominantly by auto leases.
The jurisdictions that Mercedes-Benz has previously issued in includes Australia, Germany, Italy and the UK. “As happened for other captive auto finance companies, Mercedes is broadening its business and replicating the successful model .......
News 21 October 2020
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Leasing ABS inked
Sector developments and company hires
Leasing ABS inked
The EIB and the EIF have provided Alba Leasing with €490m via an SME securitisation financing operation. Alba Leasing has undertaken to double this, increasing the total amount available to €980m for projects across all economic sectors, with a particular focus on environmental investments (for which 20% of the resources have been reserved).The EIB Group has subscribed .......
Market Moves 20 October 2020
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Risk transfer round-up - 20 October
CRT sector developments and deal news
Standard Chartered is rumoured to be prepping a capital relief trade backed by emerging market corporate loans from the START programme. The last START transaction closed in September 2015 (see SCI’s capital relief trades database).
....... News 20 October 2020
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CLO structures reviewed
Sector developments and company hires
CLO structures reviewed
Post-Covid crisis US BSL CLO structures differ in a range of ways from their predecessors, beyond shorter reinvestment periods, according to a new report from S&P.“We reviewed a sample of almost 40 US BSL CLOs that closed in Q2 and Q3, and compared their portfolio metrics (as of the start of Q4) to the statistics .......
Market Moves 19 October 2020
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SME CRT completed
Intesa finalises mezz guarantee
Intesa Sanpaolo, the EIF and the EIB have completed a €90m mezzanine guarantee that references a €1.8bn static Italian SME portfolio. Dubbed GARC SME 9, the capital relief trade will enable the bank to provide €450m of loans to Italian SMEs and midcaps in regions negatively impacted by the economic effects of the Covid-19 pandemic.
According to Intesa: “The transaction .......
News 15 October 2020
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Compromise pending
Parliament softens stance on 'problematic' proposals
The European Parliament will likely drop proposals for the exclusion of time calls and pro-rata amortisation from STS synthetic securitisations (SCI 6 October). The Parliament’s amendments were announced last week in response to the European Commission’s ‘quick fix’ framework (SCI 31 July). Compromise solutions are pending, with one potential option being time calls subject to regulatory approvals.
According .......
News Analysis 15 October 2020
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First EGF guarantee inked
Sector developments and company hires
First EGF guarantee inked
Market Moves 14 October 2020
The EIB has approved €5.1bn of new financing to support investment by companies most impacted by Covid-19, alongside backing clean energy, water, sustainable transport and urban development. This includes up to €2.66bn of support – comprising €1bn of EIB-linked risk-sharing products and €1.66bn EIF guarantee and equity products - backed by the new European Guarantee Fund, .......
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MPL platform ends note programme
Sector developments and company hires
MPL platform ends note programme
Market Moves 12 October 2020
LendingClub is winding down its retail note programme and has ceased accepting new accounts. The platform says it is no longer ‘economically practical’ to continue offering notes as it moves towards becoming a full-spectrum fintech bank. PeerIQ notes that the move is unsurprising, given that the programme exposed LendingClub to potential conflicts of interest and .......
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Risk transfer round-up - 12 October
CRT sector developments and deal news
Barclays is rumoured to be prepping a corporate capital relief trade that is set to close in 4Q20. The lender finalised its last corporate CRT from the Colonnade programme in June (see SCI’s capital relief trades database).
....... News 12 October 2020
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US CLO recovery continues
Sector developments and company hires
US CLO recovery continues
US CLO OC cushions are continuing to recover, according to the latest quarterly US manager report from JPMorgan CLO research.It says: “In the upcoming final quarterly October payment (majority of CLOs), we estimate as much as circa 92% equity will pay a cashflow compared to circa 89% in July and circa 40% during the GFC. .......
Market Moves 9 October 2020
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Growth opportunities
Chapter five of SCI's Autumn 2020 CRT Research Report
The fifth and final chapter of SCI’s Autumn 2020 Capital Relief Trades Research Report outlines the need for sensible significant risk transfer rules and the growth opportunities for the synthetic securitisation market once these are achieved. This section of the report consists of interviews with representatives from Integer Advisors, PCS and PGGM.
The future seems bright for synthetic ......
News Analysis 9 October 2020Premium Content
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Litigation finance fund formed
Sector developments and company hires
Litigation finance fund formed
Tetragon and its diversified alternative asset management business TFG Asset Management have entered into an agreement with Brandon Baer to invest in his newly-created company, Contingency Capital. The company – which is expected to formally launch on 1 November - is a multi-product global asset management business that will sponsor and manage litigation finance-related investment funds.Baer .......
Market Moves 8 October 2020
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Finnish lift off
Latest KIMI deal completed
Santander has completed a €650m full-stack significant risk transfer trade backed by Finnish auto loans. Dubbed KIMI 9, the transaction differs from previous post-Covid full-stack SRTs in that the first loss tranche was not preplaced or privately placed before the deal’s announcement.
Santander notes that given the track record of the KIMI programme, the firm was confident that .......
News 8 October 2020
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Transatlantic challenges
Contributed thought leadership by Mayer Brown
Complying with EU and US CRT rules simultaneously
A number of law firms have developed excellent synthetic securitisation practices in Europe, but few firms are at the forefront of developing synthetic securitisation in the US, and even fewer have a practice which can navigate EU and US synthetic securitisation rules at the same time. Mayer Brown stands out as the .......
Talking Point 8 October 2020
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Stepping up
Chapter four of SCI's Autumn 2020 CRT Research Report
The fourth chapter of SCI’s Autumn 2020 Capital Relief Trades Research Report highlights the role of the EIF in supporting European SMEs via synthetic securitisation and guarantees. This section of the report covers the EIF’s Covid-19 support measures, as well as its efforts to promote new lending and catalyse private capital across the European SME sector. For further information ......
News Analysis 8 October 2020Premium Content
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Absolute attraction
Absolute 2021-1 shows growth of US CRT market and pass-through appetite
The sale of Absolute 2021-1‘s pass-throughs - the $184.8m repack of two CLNs from Goldman Sachs which closed on September 25 - represents further evidence that investor appetite for higher yielding repackaged pass-through securities is growing.
An S&P analyst who worked on the rating of the deal confirmed that the CLNs were reconfigured as a repack to suit investor needs, but .......
News 7 October 2020
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IP transaction debuts
Sector developments and company hires
IP transaction debuts
Market Moves 7 October 2020
Aon has launched an intellectual property (IP) capital market solution with the close of an IP-backed ILS transaction, believed to be the largest such deal ever consummated. The deal involves agriculture technology company Indigo, which is borrowing over US$100m utilising its IP as collateral, with the value of that collateral insured by a group of insurance markets led .......
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Structured finance solutions
Contributed thought leadership by Ocorian
Sonal Patel, md, head of sales - Americas, Bermuda and Caribbean, and Sinead McIntosh, business development director at Ocorian, a global leader in corporate and fiduciary services, fund administration and capital markets, highlight how structured finance solutions are coming to the fore across securitisation markets
Q: How is the securitisation industry responding to the Covid-19 fallout and .......
Talking Point 7 October 2020
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Seeking clarity
Chapter three of SCI's Autumn 2020 CRT Research Report
The third chapter of SCI’s Autumn 2020 Capital Relief Trades Research Report examines the impact of payment holidays on the SME significant risk transfer sector, as well as concerns over performance and data availability, and the emergence of multi-bank portfolios. This section of the report comprises interviews with representatives from Chorus Capital, the EIF, Integer Advisors, Intesa Sanpaolo, Latham & ......
News Analysis 7 October 2020Premium Content
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'Quick fix' draft legislation published
Sector developments and company hires
‘Quick fix’ draft legislation published
The European Parliament has published draft legislative resolutions on amendments to the Securitisation Regulation and CRR in connection with STS synthetics and non-performing exposures.Among the proposals is a tightening of the definition of an NPE securitisation and the introduction of stricter language on risk retention, according to Rabobank credit analysts. The regulatory treatment .......
Market Moves 6 October 2020