ABS
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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 .......
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Bottoming out
EU NPL ratios improve
Despite the significant decline in economic activity since the coronavirus outbreak, European banks are not at this point facing an asset-quality shock, according to the latest analysis. Non-performing loan ratios have improved and, indeed, they are expected to bottom out in 2021.
According to Scope Ratings estimates and EBA data, the EU NPL ratio declined from around 3% .......
News 22 April 2021
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Forbearance SPV availability ends
Sector developments and company hires
Forbearance SPV availability ends
The Australian Office of Financial Management has released an update on its Structured Finance Support Fund (SFSF) activities. As of 31 March 2021, total funds committed by the SFSF were A$3.8bn, including A$1.36bn public market investments and circa A$2.3bn across 45 individual warehouses sponsored by 34 eligible lenders.The AOFM notes that public securitisation market .......
Market Moves 21 April 2021
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Blockchain mortgage 'ecosystem' prepped
Sector developments and company hires
Blockchain mortgage ‘ecosystem’ prepped
Market Moves 20 April 2021
Liquid Mortgage has raised capital from and entered into a strategic partnership with Redwood Trust, marking the culmination of a months-long engagement, in which Redwood Trust tested Liquid Mortgage's technology and developed an actionable strategy to build a future-ready mortgage ecosystem. The partners share a common mission of utilising blockchain technology within the current market infrastructure, .......
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RWA boost
ECB reveals TRIM findings
The ECB has published the findings from its targeted review of internal models (TRIM). The exercise has resulted in a 12% RWA boost and confirmed the continued use of internal models, but for a certain number of models, restrictions or modifications in their use was considered appropriate to cover the underlying risk.
The TRIM exercise aims to reduce .......
News Analysis 20 April 2021
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Regional resilience
Structural enhancements for debut aircraft ABS
Falko Regional Aircraft has priced its debut aircraft ABS, marking the first post-pandemic securitisation to be exclusively backed by regional aircraft assets. Dubbed Regional 2021-1, the deal includes new structural features designed to address market concerns resulting from the adverse impact of Covid-19 on the aviation sector.
“The regional aircraft segment has demonstrated resilience in the last year, .......
News 19 April 2021
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Federal preemption challenges continue
Sector developments and company hires
Federal preemption challenges continue
Market Moves 15 April 2021
Two US courts have heard actions that are of significance to marketplace lenders and their funding sources so far this month, Chapman and Cutler reports. In Maryland, a state regulatory action purporting to require licensing of a sponsor bank and its fintech service providers has been removed to federal court. Conversely, a California federal court has dismissed .......