Investors
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Auto turnover dampens DFP issuance
Sector developments and company hires
Auto turnover dampens DFP issuance
Market Moves 14 June 2021
Accelerated dealer auto inventory turnover has resulted in insufficient collateral available for US dealer floorplan (DFP) ABS master trusts in 2021, Fitch reports. The agency notes that this is indirectly accounted for by deal structures, for the most part, through the use of excess funding accounts (EFAs). EFAs are meant to protect trusts against inventory .......
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Execution queries
Questions linger over funded insurer SRTs
Originators of significant risk transfer transactions have welcomed the trio of innovative funded insurer trades from Credit Risk Transfer Solutions (SCI 27 May). Even though all three deals were successfully executed, questions have been raised about the potential cost and pricing of future transactions, however.
CRTS’s deals are generally mezzanine trades and involve an investment platform managed by the broker .......
News Analysis 11 June 2021
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Euro CLOs could still soften
Sector developments and company hires
Euro CLOs could still soften
European CLO new issue triple-A spreads are now out to 87bp-88bp from their post-Covid tights of 79bp-80bp. While there appears to be considerable support at current levels, technicals could yet push them to the low-90s, according to Bank of America European CLO research analysts.Offsetting factors currently at play include broader credit market direction, rates moves .......
Market Moves 7 June 2021
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ETL waiver requested following cyberattack
Sector developments and company hires
ETL waiver requested following cyberattack
Market Moves 28 May 2021
European truck lease provider Fraikin SAS was subject to a ransomware attack that started on 11 May. S&P notes that the credit quality of its two securitisations - FCT Eurotruck Lease II and FCT Eurotruck Lease III (ETL II and III) - is unlikely to be affected, providing the company can make a swift return .......
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End of the line?
SRT issuers mull dropping synthetic excess spread
The requirement to fully capitalise synthetic excess spread is expected to result in SRT issuers dropping the feature from their transactions. This CRT Premium Content article weighs the relative benefits of synthetic securitisations versus those of full-stack cash deals, in which originators can use excess spread.
The EBA and the European Commission’s decision last year to fully capitalise synthetic ......
News Analysis 28 May 2021Premium Content
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Landmark SRTs finalised
Cash collateralised insurer deals debut
Credit Risk Transfer Solutions (CRTS) has executed three synthetic securitisations that have broken new ground in the market. Indeed, the firm has structured the first cash collateralised capital relief trades that involve insurer counterparties.
According to Andy Garston, director at CRTS: ‘’Most SRT deals require cash investors, which is problematic for insurers. But we now have a structure .......
News Analysis 27 May 2021
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Missed opportunity
ESA report disappoints on securitisation treatment
The recent European Supervisory Authorities (ESA) report on the implementation and functioning of the EU Securitisation Regulation (SCI 17 May) disappointed many in the industry, since it avoided tackling long-standing issues in the treatment of securitisations. In particular, the lack of a level playing field in terms of disclosure and due diligence remains a concern.
The ESA .......
News Analysis 27 May 2021
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Actuarial approach
Alphidem co-founder Ken Sutter outlines how the quantitative...
In light of the current regulatory and interest rate environment, it could be assumed that capital relief trades enjoy great popularity, even outside of the dedicated investor community. However, despite growth and positive market trends, the asset class still leads a niche existence and sticks to its esoteric label. This is even more astonishing considering that many alternative credit managers .......
Talking Point 25 May 2021
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CLO conflicts of interest eyed
Sector developments and company hires
CLO conflicts of interest eyed
Market Moves 24 May 2021
IOSCO has issued four questionnaires for industry participants on conduct risks in leveraged loans (LLs) and CLOs targeting bank lenders, CLO investors, CLO managers and LL sponsors. Through its Committee 3 on Regulation of Market Intermediaries and its Committee 5 on Investment Management, IOSCO is conducting work to understand the potential conflicts of interest and .......
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Strategic credit commitment inked
Sector developments and company hires
Strategic credit commitment inked
Market Moves 20 May 2021
The Investment Management Corporation of Ontario (IMCO) has closed a US$500m commitment with a new strategic partner, Ares Management Corporation. IMCO has allocated US$400m of the commitment to a fund of one structure and US$100m to Ares Pathfinder Fund, a flagship global alternative credit fund. Pathfinder pursues a differentiated strategy of providing tailored financial solutions for .......
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Revving up
Strong demand continues for CRE CLOs
Sentiment in the US CRE CLO market remains relatively positive (SCI 10 May), with the multifamily sector in particular seeing robust demand. The outlook for the office sector is mixed, however.
“The CRE CLO market is hitting all cylinders. There is strong investor demand for new issuance and issuers have a strong origination pipeline,” says John Amman, .......
News Analysis 20 May 2021
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Data centre leverage 'inconsistent' with ratings
Sector developments and company hires
Data centre leverage ‘inconsistent’ with ratings
Market Moves 19 May 2021
A number of wholesale data centre securitisations issued in recent years carry elevated leverage that is inconsistent with the single-A rating category, Fitch suggests. The rating agency states that these transactions have weaker credit characteristics and substantially higher leverage multiples than other comparable digital real estate securitisations, such as wireless tower transactions, and higher .......
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Blue investable markets study underway
Sector developments and company hires
Blue investable markets study underway
The European Commission and the EIB Group have increased their cooperation to implement a new EU Sustainable Blue Economy policy. Under the agreement, both institutions will work jointly with EU Member States to meet financing needs to reduce pollution in European seas and support investment for blue innovation and blue bioeconomy.As such, the .......
Market Moves 18 May 2021
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Gaining momentum
European solar ABS issuance tipped to emerge
The development of a European solar ABS market is gaining momentum, with the first few securitisations potentially anticipated to emerge over the next 12-18 months. The first structures to market are expected to have many of the features observed on US solar transactions.
“We could envisage a situation where we would see the inaugural public transaction in the .......
News Analysis 18 May 2021
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Virtuous circle?
Bullish sentiment underpins securitisation opportunity
A strong rebound in global growth appears to be underpinning the opportunity in securitised credit, notwithstanding the ongoing impact of the coronavirus pandemic. As economic activity picks up and more collateral is available to be securitised, further supply should hit the market and generate increased interest from investors.
Sentiment in the securitisation market remains bullish, according to Mark .......
News 14 May 2021
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Lone Star rising
A soup to nuts profile of TCBI's inaugural CRT
It took Texas Capital Bank nine months to finalise its landmark capital relief trade, becoming the first US regional bank to tap the risk transfer market (SCI passim). This CRT Premium Content article tracks the deal’s progress from inception to launch.
When Texas Capital Bank began to contemplate issuing a capital relief trade in late spring of ......
News Analysis 13 May 2021Premium Content
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Asset managers partner on pensions initiative
Sector developments and company hires
Asset managers partner on pensions initiative
DWS has launched the DWS Secured Income Fund, aimed at small to medium-sized defined benefit pension plans seeking stable, long-term returns. The fund provides a diversified portfolio of secured income assets, including ABS and CLO bonds.Over half of UK defined benefit pension plans are in deficit, with insufficient assets to meet their .......
Market Moves 13 May 2021
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Iberian RMBS investment disclosed
Sector developments and company hires
Iberian RMBS investment disclosed
Market Moves 12 May 2021
The EIB has disclosed that it invested €50m in UCI’s latest RMBS, Prado VIII, aimed at promoting the renovation of existing residential buildings in Spain and Portugal, as well as the purchase of new near zero energy housing. The project is expected to contribute to climate change mitigation, delivering energy savings of almost 57GWh a year .......
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STS BTL RMBS prepped
Sector developments and company hires
STS BTL RMBS prepped
Domivest is in the market with the first-ever STS buy-to-let RMBS. Dubbed Domi 2021-1, the €352.2m transaction is backed by a €370.7m provisional pool of Dutch BTL mortgage loans, including €30.61m in prefunding.Interest-only loans comprise 93.5% of the pool, according to Moody’s. Loans with initial LTVs above 70% amortise linearly to either the 70% .......
Market Moves 11 May 2021