ABS
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Restructuring events?
Uncertainty over CRE values weighs on CRTs
Restructuring credit events in capital relief trades backed by commercial real estate loans will likely occur over the next six months, following an end to coronavirus-related payment holiday schemes. Given uncertainty over the long-term impact of the pandemic on CRE collateral values, disagreements between banks and investors over the appropriate workout strategy and the related issue of control rights .......
News Analysis 9 July 2020
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Pricing recalibration
NPL ABS market growth pending?
The EBA’s opinion (SCI 24 October 2019) and more recently the Basel Committee’s consultation (SCI 24 June) on removing impediments to the securitisation of non-peforming loans have been welcomed for addressing the key points that would help to make the tool more attractive. However, the growth of the NPL ABS market could be inhibited in the near .......
News Analysis 9 July 2020
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Polish SRT inked
Santander completes capital relief trade
Santander has completed a synthetic securitisation of Polish leasing receivables with the EIF. The transaction references an approximately PLN2bn (€450m) portfolio and is Santander’s first significant risk transfer transaction following the coronavirus crisis.
Georgi Stoev, head of CEE and Northern European securitisation at the EIF, notes: “The coronavirus crisis has led to negative rating migrations in portfolios and .......
News 9 July 2020
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CQS portfolio refinanced
Sector developments and company hires
CQS portfolio refinanced
Market Moves 8 July 2020
AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m. Originated by a large Italian bank, these loans were initially securitised in 2016. In July 2019, AnaCap acquired the equity in the securitisation and in June 2020 it exercised its right to acquire the .......
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Collection boost?
NPL ABS performance remains volatile
May registered higher collection volumes than April for Italian non-performing loan securitisations, although the level remains below the January-February average. Low collection levels are expected to persist for the rest of this year, as Italy’s economy is unlikely to recover post-coronavirus before 2021.
According to the latest data from Scope Ratings, total gross proceeds for all transactions it .......
News 7 July 2020
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Positive signs for CLOs
Sector developments and company hires
Positive signs for CLOs
Market Moves 7 July 2020
US CLO manager metrics have begun to improve or stabilise, according to JPMorgan’s Q2 report on the sector, published today. “In the very latest reported data, the percent of US CLOs failing the junior-most OC test (double- or single-B) dropped from 20% a few weeks ago to 16% - likely due to higher triple-C loan market values, .......
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Volcker revision impact modest
Sector developments and company hires
Volcker revision impact modest
Market Moves 6 July 2020
The impact of the changes made to the Volcker Rule (SCI 26 June) will be relatively modest for the CLO market, according to S&P. The agency notes that nearly all current CLO documents prohibit investing in bonds, so will not see any changes unless they’re amended, which would require investor consent. However, a small number .......
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Risk transfer round-up - 3 July
CRT sector developments and deal news
Details have emerged of three corporate capital relief trades issued by Barclays last month. The risk transfer transactions are the lender’s first following the coronavirus crisis. The combined first loss tranches total US$380m and reference a US$3.8bn global portfolio.
....... News 3 July 2020
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Support measures
Guarantee programmes hinder SME ABS comparability
European SME ABS comparability is being hindered by the diverging terms and conditions of guaranteed loan programmes across the region. Ultimately, the impact of the coronavirus fallout on SME ABS asset quality will depend on the path of economic recovery.
Beka Bakuradze, associate lead analyst at Moody’s, says: “Generally, SMEs have fewer financing options relative to large corporate .......
News Analysis 3 July 2020
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Spanish SRT inked
BBVA launches capital relief trade
BBVA has completed an €87m mezzanine guarantee with the EIF. Dubbed Vela Four, the transaction references a static €1.25bn Spanish SME and mid-cap portfolio and has a simpler structure compared to previous capital relief trades from the same programme.
According to Pablo Sanchez Gonzalez, structured finance manager at the EIF: “We have used a much simpler structure this .......
News Analysis 3 July 2020
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Consistently attractive CMBS
CMBS is still the TALF favourite, but overall take-up could increase
Some 58% of loans requested under TALF 2.0 during the first subscription period, or $145m, were for CMBS purchases and the relative popularity of this asset class is not expected to diminish in the second subscription period beginning July 6, say CMBS analysts.
Spreads in CMBS are still generally more elevated than in other areas of the ABS universe, and .......
News 2 July 2020
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Fast amortisation
SSPAIN deleveraging highlighted
Scope Ratings has published a monitoring report for Santander’s 2019 US auto significant risk transfer deal SSPAIN (see SCI’s capital relief trades database). The assigned ratings remain the same and the rated notes have benefited from deleveraging and lower than expected portfolio losses. However, back-loaded default scenarios are plausible, given Covid-19 uncertainties - although the impact of the .......
News 2 July 2020
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Consumer considerations
Borrower relief aids performance
The downward trend of 30-plus delinquency rates for US marketplace lending, auto and credit cards continued into May. Higher delinquent levels were mitigated by borrower relief programmes.
Melvin Zhou, senior director, consumer ABS at KBRA, says: “30-plus delinquency rates for MPL, auto and credit cards were either stable or turning down in March and April, regardless of credit .......
News 1 July 2020
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Risk transfer round-up - 1 July
CRT sector developments and deal news
NatWest is rumoured to be readying a capital relief trade backed by mid-market corporate loans for 3Q20. The transaction would be the issuer’s first post-Covid significant risk transfer deal, following the announcement of Project Grasshopper in December 2019. The latter deal referenced project finance loans (see SCI’s capital relief trades database).
....... News 1 July 2020
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Tentative TALF 2.0
The next TALF subscription date is July 6, but no fireworks expected
The second TALF 2.0 subscription period begins on July 6, and it is expected to be even more anaemic than the one that concluded on June 17th, say those close to the market.
Investors requested $252m of loans in the first period, of which $145m used CMBS assets as collateral, but, with spreads continuing to tighten across the board, there is little .......
News Analysis 26 June 2020
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Structuring negotiations
CRT origination trends evolving
Investors appear to be able to extract more than they used to during structuring negotiations for capital relief trades, following the coronavirus-driven repricing of risk. Portfolio composition is also evolving, reflecting concerns over industries that are perceived to be riskier, according to SCI’s latest CRT Research Report.
Frank Benhamou, md and head of funding and capital solutions at .......
News Analysis 26 June 2020
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Investment democratisation
Stan Perromat, co-founder of Privatam, answers SCI's questions
Q: How and when did Privatam become involved in the securitisation market?
A: Privatam was founded in 2014 with the aim of shaking up customised investments for wealth managers. Our four founders saw an opportunity to introduce technology and flexibility into a still quite traditional industry with no real independent actors.We wanted to simplify the process of customised .......
The Structured Credit Interview 25 June 2020
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Subprime auto performance eyed
Sector developments and company hires
Subprime auto performance eyed
Market Moves 25 June 2020
Davis & Gilbert’s latest Credit Chronometer subprime auto study indicates that Covid-era market participants generally believe that the most reliable indicator of a subprime auto securitisation’s success is its projected performance - and they hold this belief even more strongly than in the past. The survey suggests that since 2019, the importance of credit ratings as a .......
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RFC issued on NPL ABS treatment
Sector developments and company hires
RFC on NPL ABS treatment
Market Moves 24 June 2020
The Basel Committee has published a technical amendment in connection with the capital treatment of non-performing loan securitisations. This proposal, which the Committee started developing before the onset of the Covid-19 pandemic, addresses a gap in the regulatory framework and sets out a prudent treatment for NPL ABS. The technical amendment establishes a 100% risk weight .......
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NPL platform launched
Debitos announces doValue partnership
DoValue has established an online NPL trading platform dubbed doLook, via an exclusive partnership in Italy with Debitos. The platform has been announced amid a pick-up in the secondary market for Italian non-performing loans.
Debitos designed the platform for doValue, which will facilitate the sale of Italian NPLs and real estate assets, serviced by both doValue and third .......
News 24 June 2020
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QM price-based approach mooted
Sector developments and company hires
QM price-based approach mooted
Market Moves 23 June 2020
The CFPB has issued two notices of proposed rulemaking (NPRMs) to address the impending expiration of the GSE patch, which is scheduled to expire in January 2021 (or when the GSEs exit conservatorship, if that happens first). The bureau estimates that, absent regulatory action, approximately 957,000 mortgage loans would be affected by the expiration of the .......