ABS

  • Liquidity concerns

    European ABS pipeline coming to a halt

    The European ABS primary market is grinding to a halt amid coronavirus-related volatility, with many transactions postponed. Among the relief measures implemented by the Bank of England and the ECB last week, the new UK Term Funding Scheme for SMEs (TFSME) could inhibit UK RMBS volumes further.

    “Spread levels are difficult to predict in the current environment,” says .......

    News Analysis 17 March 2020

  • Greencoat liquidator appointed

    Sector developments and company hires

    EMEA
    Ocorian has appointed Abigail Holladay as director of transaction management. Based in London, Holladay will manage restructuring transactions across Europe. She has previously held senior positions at Law Debenture and Deutsche Bank. Holladay has experience covering waivers, defaults, delegate/successor trusteeships and complex debt restructurings.

    Greencoat winding up
    In connection with the BUMF 4, 5, 6 and 7 CMBS, the .......

    Market Moves 16 March 2020

  • SCI Start the Week - 16 March

    A review of securitisation activity over the past seven days

    SCI NPL Securitisation Awards 2020
    As a result of COVID-19, the SCI NPL Securitisation seminar has unfortunately had to be postponed and along with it the inaugural SCI NPL Securitisation Awards ceremony. Nominations remain open and a revised deadline for them will be announced in due course. Further information and details of how to pitch can be found here.

    This week's stories
    AMC .......

    News 16 March 2020

  • Native blockchain securitisation debuts

    Sector developments and company hires

    Ares facility inked
    Non-Standard Finance (NSF) has entered into a new six-year securitisation facility totalling £200m, at pricing that is more favourable than its existing facility and is expected to result in a pre-tax saving of approximately £1m in the year ended 31 December 2020. On satisfaction of certain conditions, the new facility – which is provided by credit funds .......

    Market Moves 13 March 2020

  • AMC uncertainty

    Trade deal clouded by uncertainties for NPLs

    The US-China trade deal now finally allows foreign investors to acquire coveted local AMC licences that will in turn allow them to buy non-performing loans directly from banks. However, foreign investors remain in the dark about whether foreign-owned AMCs will be able to engage in the same activities as domestic ones.   

    According to King & Wood Mallesons (KWM), compared .......

    News 13 March 2020

  • Multi-tranching?

    Investor diversification raises triple-tranche prospects

    Seer Capital sees a future for triple tranche structures in significant risk transfer transactions. One driver is the market’s need to further diversify the investor base.

    According to Richard d’Albert, co-cio and cro at Seer Capital: “We are going to see more dual- and multi-tranche structures. It’s just a more efficient way for banks to execute thicker hedges .......

    News Analysis 13 March 2020

  • Definition debate

    Call for coalescence around ESG standards

    Impact is still being defined in the capital markets, both at a conceptual level and in terms of general product development. The terms ‘ethical’, ‘ESG’, ‘impact’ and ‘responsible’ mean different things to different participants. To avoid fragmentation and misunderstandings, the securitisation industry therefore needs to coalesce around specific ESG definitions and performance standards.

    Amitji Odedra, associate director at .......

    News Analysis 12 March 2020

  • Regulatory events

    Standard Chartered amends Gongga SRT terms

    Standard Chartered has amended the regulatory event definitions for the class A notes of a corporate SRT dubbed Gongga that was finalised last year (SCI 2 August 2019). The amendments exclude any reference to any requirement to disclose information about the underlying borrowers as per ESMA’s securitisation disclosure requirements, where doing so would be impossible or result .......

    News 12 March 2020

  • Mortgage moratoriums

    Impact of payment suspensions to be limited

    The Italian government and a trio each (at the time of writing) of lenders in Ireland and the UK are set to temporarily suspend mortgage payments for certain borrowers amid the disruption caused by COVID-19. The impact of these moratoriums is expected to be limited for RMBS bondholders, however, unless more sweeping or long-lasting programmes are introduced.

    In .......

    News 12 March 2020

  • AXA IM creates two key units

    Sector developments and company hires

    AXA IM restructuring
    AXA Investment Managers intends to create a new €137bn business unit - called AXA IM Alts - as part of a wider restructuring of the business into two key divisions, with the aim of creating a simplified and more focused organisation. The other new business unit would be known as AXA IM Core. Under the leadership of .......

    Market Moves 11 March 2020

  • Dutch VAT grace period mulled

    Sector developments and company hires

    Alhambra missed payment
    A borrower of a €10m loan securitised in the Alhambra SME Funding 2019-1 transaction has missed its February interest payment. The servicer says it is in “close contact” with the borrower and does not believe it is a defaulted loan, as defined in the prospectus. The borrower expects to receive funds in the coming weeks, which will .......

    Market Moves 10 March 2020

  • Insurance giants set to combine

    Sector developments and company hires

    Insurer combination agreed
    Aon and Willis Towers Watson have agreed to combine in an all-stock transaction with an implied combined equity value of approximately US$80bn. The strategic rationale behind the combination is to create a more innovative platform capable of delivering better outcomes for all stakeholders, including new solutions that more efficiently match capital with unmet client needs in high-growth areas like .......

    Market Moves 9 March 2020

  • Climate risk

    Climate impact reporting at early stages

    Banks have committed to disclose their climate risk exposures, as recommended three years ago by the Financial Stability Board’s (FSB) task force on climate-related financial disclosures (TCFD). However, standardised reporting of climate risks and opportunities and of their estimated financial impact is at early stages. Nevertheless, more banks are expected to disclose climate risks globally in response to growing .......

    News 6 March 2020

  • 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
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