ABS
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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 .......
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Impact SRTs eyed
Newmarket launches asset management business
Newmarket has launched its asset management business, which will focus on the nexus of structured solutions and impact investing. Newmarket has spun out of Mariner Investment Group and will build upon a history of risk transfer investing. Along with this launch, Newmarket has formally assumed the management of the IIFC strategy, launched seven years ago at Mariner.
Molly .......
News Analysis 23 June 2020
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MILN market set to reopen
Sector developments and company hires
MILN market set to reopen
Market Moves 22 June 2020
Arch has returned to the market with Bellemeade Re 2020-1, after it was pulled in March amid the Covid-19 fallout (SCI 29 May). Moody's has upgraded from A3 to A1 and from Baa3 to Baa1 the provisional ratings of the mortgage insurance credit risk transfer deal’s respective class M1A and M1B notes and assigned provisional .......
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Risk transfer round-up - 22 June
CRT sector developments and deal news
Deutsche Bank has completed a US$125.58m six-year CLN that references a US$1.932bn global corporate portfolio. Dubbed CRAFT 2020-3, the capital relief trade follows the lender’s first post-Covid SRT from the same programme that was completed earlier this month (SCI 12 June).
The transaction priced at three-month Libor plus 10.75%. It features a weighted average life equal to 3.5 years .......
News 22 June 2020
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Sicilian CRT launched
BAPR completes SME securitisation
The EIF and Banca Agricola Popolare di Ragusa (BAPR) have completed a synthetic securitisation referencing Sicilian SMEs. The €22m guarantee references an approximately €200m portfolio and is the Italian lender’s first capital relief trade.
“We are pleased to sign this agreement with Banca Agricola Popolare di Ragusa, a regional financial intermediary committed to supporting local SMEs. The operation .......
News 19 June 2020
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Lift off
Credit Suisse finalises SRT
Credit Suisse has priced an Sfr130.5m equity tranche that references a Sfr1.8bn blind pool of medium to large Swiss corporate borrowers. Dubbed Elvetia Finance Series 2020-1, the transaction is the Swiss lender’s first capital relief trade following the outbreak of the coronavirus.
The transaction’s pricing hasn’t been disclosed, but it’s believed to be in the double digits. The last Elvetia .......
News 19 June 2020
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CMBS scores in first TALF window
Sector developments and company hires
CMBS scores in first TALF subscription
Market Moves 18 June 2020
Investors requested US$252m in loans under the first TALF 2.0 subscription window. Of this total, US$145m was for CMBS purchases, with the remainder almost evenly split between premium finance and small business deals. Wells Fargo CMBS analysts note that although wider spreads in the CMBS sector relative to the ABS sector may continue to .......
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SRT debut
Sabadell completes first synthetic securitisation
Sabadell has completed a €96m mezzanine guarantee with the EIF. The transaction references a €1.6bn Spanish SME portfolio and is the Spanish lender’s first synthetic securitisation.
The guarantee will enable the issuer to provide €576m of financing, primarily to self-employed, SME and mid-cap borrowers. The structure comprises senior and mezzanine tranches that amortise on a pro-rata basis, and .......
News 18 June 2020