ABS
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On hold
Italian NPL ABS to pick up next year
Italian non-performing loan securitisations are anticipated to drop by 50%-70% this year, compared to 2019, as the Covid-19 fallout puts bank deleveraging plans on hold (SCI passim). However, NPL ABS issuance is expected to pick up next year.
According to Scope Ratings: “We do not expect Italian NPL securitisations to reach the levels of 2018-2019. Activity may increase .......
News 4 May 2020
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MBS overvaluation case settled
Sector developments and company hires
Overvaluation case settled
Market Moves 1 May 2020
The US SEC has accepted an offer of settlement from Semper Capital Management in connection with administrative and cease-and-desist proceedings against it. On the basis of the offer, the Commission finds that from July 2013 through May 2014, Semper overvalued certain odd lot positions in securities held by the Semper MBS Total Return Fund (SEMMX), which caused .......
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Risk transfer round-up - 1 May
CRT sector developments and deal news
Deutsche Bank is rumoured to be readying a large corporate capital relief trade for 2Q20. The bank’s last transaction was completed in January. Dubbed CRAFT 2020-1, the US$150m CLN paid Libor plus 9.5% (see SCI’s capital relief trades database).
....... News 1 May 2020
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Targeted action
Wholesale ratings downgrades questioned
The raft of negative rating actions currently hitting the securitisation market is perceived to be driven by the stress created by coronavirus containment efforts. To the extent that some credit ratings were heading for a downgrade before the pandemic, this stress may simply be hastening rating actions. However, there are some who question whether wholesale downgrades are helpful in the .......
News Analysis 1 May 2020
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Landmark guidance
Implicit support guidelines published
The EBA has published landmark implicit support guidelines as part of its post-coronavirus interventions. According to the paper, banks postponing or reducing payments due to payment moratoria wouldn’t automatically be regarded as providing implicit support, since - by definition - such moratoria are not aimed at reducing any actual or potential losses to investors. Nevertheless, banks will still have .......
News Analysis 1 May 2020
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Unlocking capital
Premod Thomas, ceo of Bayfront Infrastructure Management, answers SCI's questions
Q: Bayfront Infrastructure Management is seeking to help address an infrastructure financing gap in the Asia-Pacific region (SCI 29 April). Can you explain what you mean by this?
The Structured Credit Interview 30 April 2020
A: According to the Asian Development Bank, Asia will need approximately US$1.34trn annually in infrastructure financing between 2016 and 2020 to sustain economic growth. This represents approximately 6% of the region’s .......
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Prudential flexibility reiterated
Sector developments and company hires
Prudential flexibility reiterated
Market Moves 29 April 2020
The European Commission has adopted a package to help facilitate bank lending to households and businesses throughout the European Union that includes an Interpretative Communication on the EU's accounting and prudential frameworks, as well as targeted ‘quick fix’ amendments to the CRR, in order to maximise the ability of banks to lend and absorb losses related to .......
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Growth phase
Asian infrastructure loans eyed
Singapore-based Clifford Capital has established a holding company structure under Clifford Capital Holdings (CCH) to drive its next phase of growth. The firm plans to expand into new business lines, including the securitisation of infrastructure loans through Bayfront Infrastructure Management and the provision of private credit and mezzanine financing solutions through Keppel-Pierfront Private Credit Funds (SCI 1 April).
News 29 April 2020
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PEFF funds allocated
Sector developments and company hires
PEFF funds allocated
Market Moves 28 April 2020
The steering body of the World Bank’s Pandemic Emergency Financing Facility (PEFF) has allocated US$195.84m to 64 of the world’s poorest countries with reported cases of Covid-19 to fund critical lifesaving medical equipment and support for health workers on the frontlines of the crisis. The allocation represents the amount received when the PEFF insurance window triggered for .......
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Securitisation support
AOFM initiatives to boost volumes
The Australian Office of Financial Management has acted quickly to support the Australian securitisation market amid the coronavirus fallout. Indeed, a boost to both primary and secondary ABS volumes is expected as a result of its A$15bn Structured Finance Support Fund (SFSF) initiative (SCI 30 March) and the proposed Forbearance SPV respectively.
Martin Jacques, director, head of .......
News Analysis 28 April 2020
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Opportunistic buying
Covid-19 kicks off secondary SRT market
Capital relief trade secondary market activity has received a boost from the coronavirus fallout as primary issuance remains largely on hold until the second half of the year. The trend is driven by a variety of factors, including opportunistic buying and portfolio rebalancing (SCI 15 April).
“The secondary SRT market was similar to other fixed income markets. .......
News Analysis 28 April 2020
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European SME ABS struggling
Sector developments and company hires
European SME ABS struggling
Coronavirus-driven disruption is creating financial difficulties for European SMEs that heavily rely on securitisations for funding. Consequently, the crisis and subsequent recession will challenge the asset quality of SME ABS, according to a new report from Moody’s.“There is a widespread lack of financial strength and fewer financing options among SMEs, relative to large corporate .......
Market Moves 27 April 2020
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Inventory ABS prepped
Sector developments and company hires
Inventory ABS prepped
Market Moves 24 April 2020
Fintech platform Supply@ME Capital (SYME) has entered into an agreement with StormHarbour Securities for the issue, distribution and placing of a series of ABS that are guaranteed against inventories purchased directly by the platform's SPVs (SCI 15 April). Details of the securitisation programme are being finalised, but it is anticipated to cover - within 12 months .......
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NPL ABS eyed
Greek banks target HAPS, despite virus crisis
Greek banks are targeting over €30bn of non-performing loan securitisations in 2020 via the Hercules Asset Protection Scheme (HAPS). However, recent measures to curtail the spread of Covid-19 could render this task more difficult (SCI 9 April).
Among the banks readying NPL ABS deals is Alpha Bank, which intends to frontload the sale of its NPL exposures with a .......
News Analysis 24 April 2020
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Underperformance underlined
Italian NPL ABS ratings hit
Moody’s has downgraded and placed on review for further downgrade the ratings of two notes and placed on review for downgrade the ratings of 12 notes across 11 Italian non-performing loan securitisations. The downgrades reflect underperformance against initial assumptions and the rating reviews reflect the slower and potentially lower anticipated cashflows in the transactions, given the reduced functionality of the .......
News 24 April 2020
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Non-agency CMBS goes it alone
The non-agency CMBS market is an orphan of the storm
While a raft of measures to aid liquidity and forestall insolvency have been introduced by the US authorities to asset-backed markets in recent weeks, the non-agency CMBS sector remains outside the umbrella, leading to fears it faces huge losses.
GSE-backed CMBS are considered eligible as collateral under the terms of TALF 2.0, while in the private label sector .......
News Analysis 24 April 2020
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Recovery boost
Weatherford revolvers fully repay amid negative outlook
A new case study from SCI has revealed that oil and gas firm Weatherford International is referenced in a capital relief trade following the company’s successful emergence from bankruptcy in December 2019. The revolvers that backed the SRT deal have fully recovered after the chapter 11 restructuring, although the factors that led the company into bankruptcy - including low .......
News Analysis 24 April 2020
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Grandfathering for Dutch CLO issuers
Sector developments and company hires
Grandfathering for Dutch CLO issuers
Market Moves 23 April 2020
The Dutch tax authorities have provided written confirmation to CLO issuers domiciled in the Netherlands that their recently revised position on the VAT exemption (SCI 10 March) will not apply with retroactive effect. Further, the VAT exemption will continue to apply to transactions for a grandfathering period until 1 January 2021. Issuers are continuing a .......
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GSE advancing obligations aligned
Sector developments and company hires
GSE advancing obligations aligned
Market Moves 22 April 2020
The US FHFA has aligned Fannie Mae's and Freddie Mac's policies regarding servicer obligations to advance scheduled monthly principal and interest payments for single-family mortgage loans. Once a servicer has advanced four months of missed payments on a loan, it will have no further obligation to advance scheduled payments. When a mortgage loan is in an .......
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Accessing liquidity
Christoph Gugelmann, co-founder of Tradeteq, highlights the...
Access to liquidity is becoming more important than ever; many businesses – both large and small – need support in order to maintain exporting obligations. However, even if the global economy was not currently wrestling with the impact of Covid-19, there would still be a US$1.5trn trade finance gap between what banks can loan versus what businesses need.
Talking Point 22 April 2020
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Interest rate mismatches eyed
Sector developments and company hires
Interest rate mismatches eyed
Market Moves 17 April 2020
Moody’s suggests that loan repricing will increase interest rate mismatches for Chinese structured finance deals, posing a higher risk for RMBS than auto ABS, given the longer loan terms and the greater share of floating-rate loans. All Chinese financial institutions must reprice outstanding floating-rate loans to either loan prime rate (LPR)-indexed floating rates or fixed rates .......