CLOs
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Exploiting inefficiencies
Jay Huang, md and head of structured credit investments at CIFC, answers SCI's questions
Q: How has investor perception changed around CLOs, given the resiliency of the asset class in 2021?
The Structured Credit Interview 8 December 2021
A: Three years ago, when I was visiting investors, I would have to bring up the resiliency of the CLO product. However, I have noticed a trend that when I come into investor meetings now, they are bringing up the resilience of the .......
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ESG data coverage scrutinised
Sector developments and company hires
The European Leveraged Finance Association (ELFA) has analysed coverage by three ESG data vendors for three debt indices - the CS Western European Leveraged Loan Index, the ICE BofAML Developed Markets High Yield Constrained Index and the BBG Global Aggregate Corporate Index – and found what it describes as “major discrepancies” in data coverage across asset classes. The research shows .......
Market Moves 7 December 2021
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Covid-19: Lessons for the CMBS market
Iona Misheva, partner at Allen & Overy, explores the lessons that the pandemic provided for the European CMBS market
Issuance has been at consistently high levels this year. This has shown that the asset class recovered quickly from the temporary forces of the pandemic, which resulted in very few deals coming to market in 2020. In contrast, 2021 has seen near record levels of .......
Talking Point 6 December 2021
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ESG countdown
ECB climate stress tests pending
The ECB’s pending climate stress tests are expected to offer some answers around the data and modelling challenges pertaining to the analysis of climate risks. Indeed, the stress tests could also prove definitive for ESG significant risk transfer issuance, given the presence of the same data challenges.
The two main challenges pertaining to the analysis of climate risks are data .......
News Analysis 3 December 2021
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Bosphorus CLOs transferred
Sector developments and company hires
Bosphorus CLOs transferred
Cross Ocean Adviser, an affiliate of Cross Ocean Partners Management, has assumed collateral management of the Bosphorus CLO IV, Bosphorus CLO V and Bosphorus CLO VI transactions from Commerzbank. Moody's has confirmed that the move will not impact its current ratings assigned to the affected notes. Under the terms of the associated novation, termination and amendment and .......
Market Moves 2 December 2021
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RFC issued on ABS tax policies
Sector developments and company hires
RFC issued on ABS tax policies
Market Moves 1 December 2021
HMRC is seeking feedback on two draft statutory instruments: the Taxation of Securitisation Companies (Amendment) Regulations 2022 and the Securitisation Companies and Qualifying Transformer Vehicles (Exemption from Stamp Duties) Regulations 2022. The UK government consulted on making changes to clarify or reform certain aspects of the taxation of securitisation companies and the stamp duty .......
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BWIC workgroup formed
Sector developments and company hires
Mortgage Industry Standards Maintenance Organization (MISMO) has formed a BWIC data development workgroup, with the aim of standardising the BWIC format to facilitate accuracy, liquidity and rapid pricing for MBS transactions. The initiative focuses on creating a standard format for MBS sellers to present BWIC data to security dealer desks. The workgroup intends to address the growing number of MBS .......
Market Moves 30 November 2021
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SCI forum: What are the benefits of forward flow structures for the securitisation market?
Our panel of market practitioners respond to readers' questions
Conor Houlihan, partner at DLA Piper, Ireland
Current dynamics in the banking sector are such that the opportunity for growth in non-bank lending in Europe is significant. In certain segments of the market, fintech lending platforms can be more agile and better-placed to deliver what the market wants.
Platforms with strong origination and underwriting capability can be an attractive partner through .......
Talking Point 26 November 2021
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Syon upgraded on stable performance
Sector developments and company hires
KBRA has completed a surveillance review of Lloyds’ synthetic RMBS Syon Securities 2020-2. The agency subsequently upgraded the class A and B notes by a notch to single-A minus and double-B plus respectively, in light of the fully ramped-up portfolio’s characteristics and the generally stable collateral performance. Syon 2020-2 is the third SRT transaction issued by Bank of Scotland referencing .......
Market Moves 25 November 2021
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Upgrades anticipated after CMBS updates
Sector developments and company hires
Moody’s has updated three commercial real estate sector methodologies, following requests for comments on the proposals in July. The rating agency has placed a number of US CMBS tranches on review for upgrade as a result.
One of the updates is in connection with Moody's methodology for rating US and Canadian conduit/fusion CMBS, which replaces the version from September 2020. .......
Market Moves 22 November 2021
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US expansion
John Fraser, the new chairman of Tikehau's global structured...
Q: Tikehau Capital launched its first US CLO in August. Could you explain the motivations for doing so?
The Structured Credit Interview 22 November 2021
A: Establishing a presence in the US CLO market is a key part of Tikehau Capital’s growth plans for its credit platform. The firm is already active in Europe with five CLOs outstanding and, with significant plans for future growth, it’s a natural extension .......
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GSE scorecard released
Sector developments and company hires
GSE scorecard released
The FHFA has released the 2022 Scorecard for Fannie Mae, Freddie Mac and Common Securitization Solutions (CSS). The purpose of the 2022 Scorecard is to hold the GSEs and CSS accountable for fulfilling their core mission requirements by promoting sustainable and equitable access to affordable housing and operating in a safe and sound manner.
The 2022 Scorecard focuses .......
Market Moves 18 November 2021
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Dutch mortgage alliance expanded
Sector developments and company hires
Dutch mortgage alliance expanded
Market Moves 16 November 2021
Achmea Bank is set to acquire a €500m mortgage portfolio from Dutch insurer a.s.r., which will continue to manage the mortgages for Achmea Bank. The two organisations have expressed the intention to conduct additional transactions of €500m in both 2022 and 2023. In addition, Achmea Bank will acquire roughly €190m of newly originated mortgages from a.s.r. .......
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Risk mitigation
Euro CLO wraps gaining traction
Assured Guaranty (Europe) SA this week closed a financial guarantee for a further European CLO, following the wraps it recently provided for the North Westerly V CLO and Tymon Park CLO deals (SCI 6 September). Financial guarantees are proving attractive to investors seeking to reduce regulatory capital consumption, both on existing exposures and new investments.
The latest .......
News Analysis 12 November 2021
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Sri Lanka eyes remittance securitisation
Sector developments and company hires
Sri Lanka eyes remittance securitisation
The government of Sri Lanka (GOSL) is requesting competitive proposals from banks and investors for consideration to be appointed as counterparts or arrangers for its proposed securitised financing arrangement (SFA). The arrangement would be backed by foreign currency receipts of the Central Bank of Sri Lanka (CBSL) under the mandatory sale of 10% of workers' .......
Market Moves 12 November 2021
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Indian securitisation market presents challenges
The Indian structured finance market has been around for ove...
The market revolves around Indian banks' targets for lending to priority sectors. Banks have traditionally been the largest investors in securitised debt, as they need to fulfil the Indian central bank’s requirements to lend a target percentage of their loan books to priority sectors, which are defined by the central bank and include minorities, agriculture, SMEs and export industries. The .......
Talking Point 11 November 2021
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First LBR PCC investor signed
Sector developments and company hires
First LBR PCC investor signed
Lloyds has announced that Ontario Teachers’ Pension Plan Board will be the first investor to support underwriting through its multi-insurance SPV, London Bridge Risk (LBR) PCC. LBR was established in January of this year with sponsorship from Lloyds, with ambitions to create a market that invites new forms of capital and allow for easier access .......
Market Moves 10 November 2021
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Multi-currency CLO closed
Sector developments and company hires
Multi-currency CLO closed
Barclays has closed a multi-currency managed cashflow balance sheet CLO. Dubbed Duke Global Funding, the £4bn-equivalent transaction is backed by 519 senior secured and senior unsecured loans extended predominantly to large corporate obligors in Western Europe and the US. The underlying loans are denominated in US dollars, sterling and euro.In terms of geographical diversification, the initial portfolio .......
Market Moves 9 November 2021
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US CLO equity outperforms
Sector developments and company hires
US CLO equity outperforms
US CLO Equity cashflows average 15.2% across 1,038 BSL transactions that have had four payment dates in 2021, according to a report from JPMorgan CLO research analysts. This is the highest since 2016, which averaged 19.6%.CLOs that were reset in 2021 fared best with a 22% average return driven in part by a small minority that .......
Market Moves 8 November 2021
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Fed set to reduce asset purchases
Sector developments and company hires
Fed set to reduce asset purchases
The New York Fed’s FOMC has increased the System Open Market Account (SOMA) holdings of Treasury securities by at least US$70bn per month and of agency MBS by at least US$35bn per month during the monthly purchase period beginning in mid-November. Additionally, SOMA holdings of Treasury securities will increase by at least US$60bn per .......
Market Moves 5 November 2021
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Servicers facing 'unprecedented' turnover
Sector developments and company hires
Servicers facing ‘unprecedented’ turnover
US commercial mortgage servicers are facing unprecedented turnover levels and filling open positions in the tight labour market may ultimately increase the cost of servicing loans, Fitch suggests. However, the agency notes that to date, there have not been any noted declines in servicing proficiency among Fitch-rated primary, master and special servicers.
Fitch reports lower-than-average employee .......
Market Moves 4 November 2021