Complete news archive
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A turning point for investors
KopenTech looks at US CLO trading trends in 2020 and their likely future impact
In a period defined by a pandemic, social turmoil and an election, CLO investors increased their use of electronic trading to engage in a more efficient exchange of securities.
With this increase in volume came an increase in data. We highlight some of the US CLO market trends, including how increases in trading volumes have been handled by investors, and expectations for .......
Talking Point 31 March 2021
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SOFR ABS model presented
Sector developments and company hires
SOFR ABS model presented
Market Moves 30 March 2021
The Alternative Reference Rates Committee (ARRC) has published a white paper that outlines a model for using SOFR in ABS products. The paper describes how new securitisation issuances could use 30-day average SOFR, with a monthly reset, set in advance of the interest accrual period. This methodology uses the actual SOFR rates from the 30-day period .......
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Structural protections
Buyer's market limiting Euro CMBS 2.0 defaults?
Lessons learned from the European CMBS 1.0 market are arguably helping in the post-pandemic environment, with far fewer defaults seen during the current crisis than occurred in the wake of the financial crisis. A buyer’s market has also meant that investors have a greater ability to dictate structural protections.
“Pre-credit crunch, banks were big CMBS investors, particularly in .......
News Analysis 30 March 2021
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Mission possible
Securitisation critical to UKAR success
UK Asset Resolution (UKAR) last month completed its final asset sale (SCI 26 February), marking the end of over a decade of state ownership of Bradford & Bingley (B&B) and Northern Rock Asset Management (NRAM) that saw the vast majority of the two lenders’ legacy mortgage loans securitised across 13 transactions. Indeed, without a functioning securitisation market, these assets .......
News Analysis 30 March 2021
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Show me the money
Debut US regional bank CRT yields too thin for traditional buyers
Traditional capital relief trade buyers would not have been attracted to the recent Texas Capital Bank deal, as the yield was insufficiently alluring, say investors.
“Libor plus 400bp is too low; we’re looking at an absolute return of 8%-12%. We’d have to use leverage to get it up to those levels and we don’t do that. This .......
News Analysis 29 March 2021
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Equity return boost touted
Sector developments and company hires
Equity return boost touted
US CLO equity is poised to deliver double-digit returns to investors this year, paring back the underperformance seen over the past four years, according to new research from Bank of America.Analysts at the bank base their expectations on the fact that CLO equity market prices continue to lag, despite CLO NAV and interest distributions .......
Market Moves 29 March 2021
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SCI Start the Week - 29 March
A review of securitisation activity over the past seven days
CLO pricing service selected
News 29 March 2021
SCI Valuations has been selected by Bloomberg's Enterprise Data business to provide daily CLO debt pricing to integrate with Bloomberg's Liquidity Assessment (LQA) tool. The integration of this data with LQA will enable Bloomberg customers to more effectively and easily view and manage their portfolios, the companies say.
SCI Valuations provides automated valuations for US and European CLO .......
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STS amendments passed
Sector developments and company hires
STS amendments passed
Market Moves 26 March 2021
The European Parliament has passed amendments to the existing STS Regulation and concomitant changes to the CRR, including allowing certain synthetic on-balance sheet securitisations to achieve STS status. PCS notes that to qualify for this status though, a synthetic securitisation will need to meet 145-160 criteria, depending on the type of transaction. The new rules also amend .......
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Flexible financing
Alternative auto ABS structures eyed
Due to the digitalisation of the auto finance industry, many buyers of vehicles are able to start and complete their purchases online, which is driving a switch from vehicle ownership to usage. Accelerated by the impact of the coronavirus pandemic, these changes could pave the way for alternative structural features in auto ABS.
New auto finance products have .......
News Analysis 26 March 2021
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Short-lived slowdown?
CLO primary volumes temporarily ease but set to return
The CLO primary market is slightly easing up into quarter-end, albeit from hitherto unseen volumes. However, any slowdown is likely to be short-lived as the market’s supply-demand dynamics kick back in in Q2, amid an increased ESG focus.
JPMorgan CLO research reports that to the end of last week, 19 March 2021, 199 US CLOs have priced year-to-date totalling US$90.3bn .......
News Analysis 26 March 2021
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CLO pricing service selected
Sector developments and company hires
CLO pricing service selected
SCI Valuations has been selected by Bloomberg’s Enterprise Data business to provide daily CLO debt pricing to integrate with Bloomberg’s Liquidity Assessment (LQA) tool. The integration of this data with LQA will enable Bloomberg customers to more effectively and easily view and manage their portfolios, the companies say.SCI Valuations provides automated valuations for US .......
Market Moves 25 March 2021
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Corporate failures
Default study sheds light on governance
Governance failures have been shown to be a contributing factor in a large percentage of corporate defaults, according to a new study. Nevertheless, economic downturns remain the driving factor for most defaults.
According to a new Fitch study, economic downturns are the driving factor for most corporate defaults. However, in the observed period, weaknesses in governance were also .......
News 25 March 2021
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Securitisation tax consultation underway
Sector developments and company hires
Securitisation tax consultation underway
The UK HMRC has launched a consultation seeking views on the taxation of securitisation companies. The UK government says it has identified - through ongoing dialogue with the industry - areas where it may be beneficial to make changes to such tax regulations and is therefore keen to explore the associated benefits and potential difficulties.Market Moves 24 March 2021
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Red Cross in humanitarian cat bond first
Sector developments and company hires
Red Cross in humanitarian cat bond first
Market Moves 23 March 2021
The first-ever humanitarian catastrophe bond covering pure volcanic eruption risk has been completed using a Guernsey ILS structure. Sponsored by the Danish Red Cross, the US$3m issuance was privately placed by Replexus and Howden Capital Markets via Dunant Re IC, an incorporated cell of Replexus ICC (Guernsey), which is managed in Guernsey by .......
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CLO fallback language reviewed
Sector developments and company hires
CLO fallback language reviewed
S&P has reviewed the indentures of the 870 CLOs it rates to assess Libor fallback language governing a transaction's liabilities. The majority (76%) of its rated CLO transactions closed between 2018 and 2020.ARRC-like fallback language can be found in 26% of the agency’s overall transactions, including 76% of the transactions that closed in 2020. .......
Market Moves 22 March 2021
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Landmark NPL ABS inked
Banca Ifis completes salary assignment securitisation
Banca Ifis has finalised a securitisation backed by a €1.3bn non-performing loan portfolio in gross book value terms. The transaction is the first Italian NPL ABS to be secured directly by salary and pension assignment loans.
Rated by Moody’s and Scope, the transaction consists of €158.7m A2/A- rated class Ax notes, €206.2m A2/A- rated class Ay notes, €74.4m B2/B+ rated class .......
News 22 March 2021
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Assessing arrears
Withdrawal of UK support measures eyed
Most UK residential mortgage borrowers who took coronavirus-related payment holidays in 2020 have restarted payments. Indeed, performance data for UK RMBS master trusts shows that prime mortgage arrears did not increase after payment holidays ended in 2H20.
During 4Q20, early-stage mortgage arrears for UK prime RMBS master trusts averaged 0.49%, which is lower than pre-pandemic arrears and unchanged .......
News 22 March 2021
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Manager maintenance
CRE CLO credit quality maintained by manager strategies
CRE CLOs have performed well through the pandemic, maintaining their OC cushions, largely as a result of their managers' actions. Those actions, including reinvestment loan workouts and credit risk exchanges, have been supported by the evolution to stronger structures in the sector since the financial crisis.
Deryk Meherik, svp/manager at Moody’s, says: “I have seen how the product, .......
News Analysis 22 March 2021
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SCI Start the Week - 22 March
A review of securitisation activity over the past seven days
Last week's stories
News 22 March 2021
Bifurcated bother
Stress for CMBS secured by ground fees, leaseholds
Diversification play
MPL platforms broadening product offerings
Greek synthetic debuts
Piraeus Bank finalises capital relief trade
Legislative hoops
Multiple layers of regulatory assent hinders US CRT development
Performance indicators
Footfall data, CMBS spread correlation highlighted
Record breakers?
Chart-topping CRT issuance volumes anticipated (Premium Content)
Target recalibration
UK SME synthetics to regain traction
Bank boost
US CLO .......
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