ABS

  • GSE results improve

    Sector developments and company hires

    GSE results improve
    Both Fannie Mae and Freddie Mac have reported sharply improved Q2 results, despite the ongoing housing market dislocation as a result of Covid-19. Fannie Mae said net comprehensive income was US$2.53bn, compared to US$476m in Q1, while Freddie Mac had income of US$1.94bn compared to US$620m in Q1. Both GSEs had much lower than usual profits in .......

    Market Moves 31 July 2020

  • Risk transfer round-up - 31 July

    CRT sector developments and deal news

    Caixabank is rumoured to be readying a capital relief trade backed by consumer loans for 2H20. The lender’s last significant risk transfer trade was finalised in May 2019 and was called Gaudi Synthetic Three (see SCI’s capital relief trades database).

    .......

    News 31 July 2020

  • Recovery vehicle

    European securitisation 'fixes' on the cards?

    The securitisation-related measures included in the European Commission’s capital markets recovery package have been welcomed for, among other things, removing the uncertainty regarding the EBA’s reluctance to recommend recalibrating the CRR for STS synthetics (SCI 24 July). However, the move could potentially also signal policymakers’ willingness to address the remaining securitisation ‘fixes’ that the industry has been calling .......

    News Analysis 31 July 2020

  • Execution risks?

    Hertz performance metrics improving

    Although Hertz Corporation’s interim settlement with investors holding Hertz Vehicle Financing II ABS notes (SCI 27 July) is “a step in the right direction”, Fitch believes the company still faces notable execution risks, due to ongoing coronavirus impact on the rental car sector and a challenging operating environment. The settlement consequently has no impact on the agency’s ratings .......

    News 31 July 2020

  • AGs fight Madden rule

    Sector developments and company hires

    AGs fight Madden rule
    The attorneys general of California, Illinois and New York have filed a suit against the OCC’s ‘valid when made’ rule (SCI 1 June), which they claim would allow the federal government to pre-empt state usury laws and allow third-party entities “to prey on vulnerable” borrowers. The AGs note that the ability to pre-empt state usury .......

    Market Moves 30 July 2020

  • Blockchain boost

    DLT opportunity for ABS market

    Coronavirus-related concerns are boosting the use of technology within the securitisation market. Blockchain is one area that is benefiting from this trend.

    John Evans, Vanguard’s head of blockchain strategy, says: “One area we feel that there is a good opportunity to modernise the plumbing of the markets is in the securitisation market, and ABS is a good example .......

    News Analysis 30 July 2020

  • CLO ETF prepped

    Sector developments and company hires

    CLO ETF prepped
    Janus Henderson Investors has filed a preliminary registration statement with the US SEC in connection with the Janus Henderson AAA CLO ETF (JAAA), which is expected to launch on 22 October and will be offered to US investors. The fund will be managed by portfolio managers John Kerschner and Nick Childs, while Jessica Shill will serve as .......

    Market Moves 29 July 2020

  • SRT boost

    BMO launches capital relief trade

    Bank of Montreal (BMO) has completed a five-year financial guarantee that references US and Canadian senior secured and senior unsecured corporate loans. Dubbed Manitoulin Muskoka series 2020-2, the transaction is the bank’s third significant risk transfer deal this year. All three trades bring BMO’s total SRT tranche notional issuance so far in 2020 to US$494m, the Canadian lender’s largest .......

    News 29 July 2020

  • ILS issuance remains resilient

    Sector developments and company hires

    ILS issuance remains resilient
    US$2.8bn of property catastrophe bond limit was placed in 2Q20, bringing the total issued year-to-date to US$6.5bn, according to Aon Securities’ latest ILS Update report. In comparison, 2019 saw a total of US$5.4bn in property cat bond limit placed for the entire year. The total amount of property cat bonds outstanding is marginally down on 2019 .......

    Market Moves 28 July 2020

  • CLO equity defies predictions

    Sector developments and company hires

    CLO equity defies predictions
    US CLO equity cashflow performance is defying pessimistic predictions, according to a new report from JPMorgan CLO research analysts. As of 23 July reporting, US CLO equity on average paid 8% cashflow year to date (based on 842 tranches or circa 70% of the universe) and the report estimates 89% of equity is paying, compared to .......

    Market Moves 27 July 2020

  • 'Switch' success

    Aussie non-bank issuance on the rise

    The Australian securitisation market has seen a rise in non-bank issuance post-coronavirus. Such activity has benefited from an adjustment to the AOFM’s Structured Finance Support Fund (SFSF) that funnelled secondary sellers into new primary deals.

    Martin Jacques, director, head of securitisation and covered bond strategy at Westpac Institutional Bank, says: “Since the onset of the pandemic, all of .......

    News Analysis 27 July 2020

  • 'Quick fix' for NPE, synthetic securitisation

    Sector developments and company hires

    ‘Quick fix’ for NPE, synthetic securitisation
    The European Commission has adopted a capital markets recovery package, as part of its overall coronavirus recovery strategy. The measures aim to make it easier for capital markets to support European businesses to recover from the crisis via targeted changes to capital market rules.

    Building on recent work by the EBA, the proposals .......

    Market Moves 24 July 2020

  • Funding diversity

    Non-bank lending 'credit neutral' for SME ABS

    Moody’s suggests that the emergence of non-bank lenders – such as Paypal, Amazon and Klarna – in Europe is credit neutral for SME securitisations because although they broaden funding sources, this is at the expense of increasing borrowers’ overall debt burden. Additionally, while technology-driven underwriting facilitates quick credit decisions and transparency, the use of alternative data is relatively untested .......

    News 24 July 2020

  • Qualitative approach?

    Covid complicating CRT analytical processes

    The Covid-19 fallout has complicated further the analytical process in connection with capital relief trades, given that the pandemic is having a skewed impact on different sectors of the economy. Against this backdrop, qualitative modelling approaches are gaining traction.

    Whether a CRT issuer uses EBA, CCAR or their own internal scenarios, the impact of Covid-19 on stress tests .......

    News Analysis 24 July 2020

  • Issuance boost

    Full-stack SRTs unlocked

    BBVA and Santander have reopened the full-stack significant risk transfer market with the issuance of an auto ABS apiece in June and July respectively. However, full-stack securitisations widely syndicated to private investors and referencing Northern European exposures remain to be seen post-coronavirus. Consequently, arrangers are looking to Chenavari’s recently priced Aurorus 2020 consumer ABS for guidance (SCI 21 July).

    News Analysis 24 July 2020

  • Italian trades inked

    Unicredit completes NPL pair

    Unicredit has sold two predominantly unsecured SME non-performing loan portfolios for a total of €1.54bn. The move comes as Italian banks step up their loan loss provisions to cover an anticipated rise in NPLs following the coronavirus crisis.

    The first batch of Unicredit NPLs was sold to Banca Ifis, Guber and Barclays for €840m, with Guber and Barclays .......

    News 23 July 2020

  • ReoCo restructuring in the works

    Sector developments and company hires

    ReoCo restructuring in the works
    The Leviticus SPV issuer is set to implement a ReoCo structure, having appointed Credito Fondiario as the servicer to carry out all core ReoCo activities. The main purpose of the ReoCo is to encourage third-party acquisitions at auctions above auction base prices or to repossess real estate assets at otherwise empty auctions and re-sell them .......

    Market Moves 23 July 2020

  • Canadian CMBS forbearance highlighted

    Sector developments and company hires

    Canadian CMBS forbearance highlighted
    As of the June 2020 remittance reports for the Canadian conduit CMBS sector, 48 loans totalling C$559.9m were on the servicer's watchlist for coronavirus-related relief, according to DBRS Morningstar. In most of these instances, the servicer’s commentary confirmed that borrowers were granted loan modifications and/or forbearances.

    The majority of these loans are secured by retail .......

    Market Moves 22 July 2020

  • Positive pick-up

    European ABS market update

    The positive tone across the European securitisation market appears to be continuing this week, following one that saw rare Dutch consumer (Aurorus 2020) and Portuguese auto (Silk Finance No. 5) paper placed. Indeed, two more relatively rare mandates were announced yesterday (20 July) – a new UK prime RMBS master trust and the first post-coronavirus UK CMBS.

    One .......

    Market Reports 21 July 2020

  • Carrots and sticks

    'Wide-ranging and ambitious' recommendations welcomed

    The recommendations put forward by the High Level Forum on Capital Markets Union (CMU) last month have been welcomed by the European securitisation industry (SCI 11 June). However, while these measures – if implemented – should provide the necessary framework for a healthy and robust ABS market, they are far from being a silver bullet.

    The High .......

    News Analysis 21 July 2020

  • UK Mortgages offer disclosed

    Sector developments and company hires

    UK Mortgages offer disclosed
    M&G Investment Management (MAGIM), on behalf of one of its managed funds - M&G Specialty Finance Fund (£) SCSp – has disclosed that it has made several approaches to the board of UK Mortgages Limited (UKML) with a view to making a recommended cash offer for UKML, all of which have been rejected. The most recent approach .......

    Market Moves 20 July 2020
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