ABS

  • NPL reductions eyed

    Greek liquidation law set to facilitate securitisation

    Non-performing loan securitisations are expected to be the primary tool for NPL reductions in Greece over the next 18 months, given the option of derecognising assets without incurring punitive capital charges, the HAPS guarantee and the tough NPL reduction targets that banks have to meet by the end of 2021. One factor that will help in this respect is .......

    News Analysis 6 March 2020

  • Virus-related volatility

    European ABS market update

    The European securitisation market appears to be being affected by coronavirus-related volatility. Spreads have widened and there seems to be reduced appetite for risk among participants, as evident from guidance on a couple of transactions being revised wider.

    For instance, PGIM has reportedly widened the guidance for the senior tranche of its Dryden 74 CLO from an initial 94bp-95bp to .......

    Market Reports 6 March 2020

  • Opaqueness premium

    Regulatory RWA variability highlighted

    In its latest Working Paper, the BIS unveils a new measure of risk-weighted asset variability – the variability ratio (VR) - that utilises market data to determine a market-implied estimate of a bank’s RWAs. Using this measure, the bank finds considerable variability in regulatory RWAs - both across banks and jurisdictions - and that market-implied RWA estimates are persistently .......

    News 4 March 2020

  • Bulgarian micro loan guarantees inked

    Sector developments and company hires

    Bulgarian guarantees
    The EIF has signed new guarantee agreements with Unicredit Bulbank, United Bulgarian Bank and ProCredit Bank (Bulgaria) to support the fast-growing documentary finance activity in Bulgaria. Under these agreements, the three EIF partner banks will finance Bulgarian small enterprises and small mid-caps with documentary credit lines, such as letters of credit, payment guarantees, advance payment guarantees and performance .......

    Market Moves 4 March 2020

  • Game changer?

    FDIC rule change to boost bank securitisation

    In what is seen as a fillip to bank issuers of securitised paper, the FDIC has relaxed its so-called safe harbor securitisation rules.

    The rule change, announced on 30 January, removes the requirement for bank sponsored 144a securitisations to be compliant with the SEC Regulation AB before they would be eligible for favourable safe harbour accounting treatment. This .......

    News 4 March 2020

  • IRPH index ruling 'credit negative'

    Sector developments and company hires

    CMBS property sales
    KBRA has been notified of the sale of 29 properties in the Eos (ELoC No. 35) CMBS. All of the properties are located in the Netherlands and nearly all (28) are industrial assets. As a result of the sale, an amount equal to €74.3m will be applied in mandatory prepayment of the senior loan, representing 17.9% of .......

    Market Moves 3 March 2020

  • Performance issues

    Italian NPL ABS business plans scrutinised

    A recent analysis of 19 Italian non-performing loan securitisations reveals that 15 of these transactions are overperforming in terms of closed borrowers’ profitability. The study suggests that onboarding processes and collection times impact performance.

    The analysis, undertaken by Scope, also states that seven out of the 19 transactions underperformed. On average closed borrowers represent less than 5% of .......

    News 3 March 2020

  • Green light

    OCC gives regulatory approval to JPM CRT

    JP Morgan Chase has won favourable regulatory treatment from the Office of the Comptroller of the Currency (OCC) for its innovatory CRT transaction priced in October, say well-placed sources.

    “The OCC blessed the deal and JP Morgan received the capital treatment it desired. There are multiple independent confirmations that it got green lit by the OCC,” says a .......

    News Analysis 3 March 2020

  • Pandemic cat bonds triggered

    World Bank ILS could encourage further issuance

    The current Coronavirus (COVID-19) outbreak will likely trigger pay-outs for US$132.5m in pandemic catastrophe bonds sponsored by the World Bank Group's (WBG) Pandemic Emergency Financing Facility (PEF), according to commentary from DBRS Morningstar. “This funding will be channelled to eligible countries to mitigate the impact of the outbreak and might validate the need for market-based mechanisms to deal with pandemics," .......

    News Analysis 3 March 2020

  • DLT litigation ABS on the cards

    Sector developments and company hires

    Acquisition
    Pretium Partners has acquired the investment management business of Latigo Partners. Latigo co-founders David Ford and David Sabath are joining Pretium as senior mds, members of the executive committee and remain as portfolio managers of Latigo’s investment vehicles. Additional investment professionals, as well as several key operational members of the Latigo team are also joining Pretium. Founded in 2005, .......

    Market Moves 2 March 2020

  • Provisioning hedge

    Landmark Italian SRT inked

    AmTrust International has completed its inaugural capital relief trade, which references a €1bn seasoned low-LTV residential mortgage portfolio originated by an undisclosed leading Italian bank. The transaction is believed to be a first for the European market in that the SRT mechanism is via an insurance policy, rather than a financial guarantee.

    “The solution highlights the increasing role .......

    News 2 March 2020

  • NPL recognition delayed

    Chinese SMEs supported amid Coronavirus outbreak

    Chinese regulators are allowing the country’s banks to delay the recognition of non-performing loans for SMEs faltering from the Coronavirus outbreak. The measures include tailored aid to SMEs but are further complemented by monetary policy instruments.

    Qualified SMEs nationwide with principal or interest due between 25 January and 30 June can apply for a delay to the end .......

    News 2 March 2020

  • Risk transfer round-up - 28 February

    CRT sector developments and deal news

    Banca Monte dei Paschi di Siena is rumoured to be readying an SME SRT for next month, with the counterparty allegedly already selected. The transaction would be the bank’s first synthetic securitisation and it was reportedly scheduled initially for 4Q19.

    ......

    News 28 February 2020

    Premium Content

  • Diversification offered

    European ABS market update

    The European ABS pipeline is swelling in the run-up to March. Newly announced deals are providing sought-after diversification, not only in terms of assets but also jurisdictions.

    Notably, Domivest is in the market with its second Dutch buy-to-let RMBS. Dubbed Domi 2020-1, the transaction is backed by a provisional €340m pool consisting of 1,288  mainly interest-only mortgage loans .......

    Market Reports 28 February 2020

  • Brexit question

    UK and EU STS regimes could diverge

    The end of the Brexit transition period on 31 December 2020 will call into question the STS status of UK securitisations for EU investors and of EU securitisations for UK investors. At the moment, under the forthcoming UK STS regime, EU STS securitisations will benefit from a two-year grandfathering period after Brexit - although no equivalence for UK STS .......

    News Analysis 28 February 2020

  • MSR subservicing transfer agreed

    Sector developments and company hires

    EMEA
    Michael Fiebig has been appointed coo at responsAbility Investments. Fiebig will be responsible for the firm’s regional offices and central functions, such as legal, finance and business technology. Previously, he was responsible for private equity investments at responsAbility.

    MSR transfer
    Ocwen Financial Corp is set to transfer the subservicing of agency loans currently subserviced by its subsidiary PHH Mortgage .......

    Market Moves 27 February 2020

  • Green ILS framework rolled out

    Sector developments and company hires

    EMEA
    Nick Holman has joined Kartesia to lead investments in the UK from the Kartesia Senior Opportunities (KSO) I fund. Holman joins Kartesia from Santander’s structured finance team, where he was a director. He will work alongside Javier Castillo, Charles-Henri Clappier and Thomas Poehler in the KSO senior team.

    Green ILS framework
    Generali has developed a ‘Green Insurance Linked Securities .......

    Market Moves 26 February 2020

  • Project Cairo prepped

    Eurobank applies for HAPS guarantee

    Eurobank has applied to the Greek government for a senior tranche guarantee under the Hercules Asset Protection Scheme (HAPS). The guarantee is sized at €1.65bn and concerns two non-performing loan securitisations dubbed Cairo One and Two. Further applications are expected following a series of announcements of pending HAPS NPL ABS deals by Greek systemic banks (SCI 4 February).

    News 26 February 2020

  • GM withdrawal from Aussie autos 'credit negative'

    Sector developments and company hires

    CMBS analytics platform
    Thetica Systems has launched a web platform for CMBS pricing and analytics tools, which can be used to quickly analyse bid lists, gather market colour and perform deep analysis. Clients control the requirements for access to inputs and calculations.

    EMEA
    PGGM recently promoted Youssef Sfaif to the position of director, credit and insurance linked investments. The role .......

    Market Moves 25 February 2020

  • UK SRT debuts

    Opel prepping full-stack auto ABS

    BNP Paribas is marketing Opel’s second full-stack auto ABS from the E-CARAT programme. Dubbed E-CARAT 11, the capital relief trade is the issuer’s first to reference UK auto loans.

    Boudewijn Dierick, head of ABS markets at BNP Paribas, notes: “The residual value is the novelty and main challenge here, as different investors take different views on UK RV .......

    News 25 February 2020

  • Social factors

    Positive ESG scores for post-crisis vintages

    ESG relevance scores (ESG.RS) are more likely to be negative for seasoned securitisations, according to Fitch. The most recent issuance vintages demonstrate a balance of positive and negative ESG factors.

    Weak transaction structures prior to the crisis are identified as a factor contributing to the negative ESG.RS found in those vintages. In addition, Fitch says: “Some governance issues .......

    News 24 February 2020
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