Investors
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Call for aircraft ABS protections
Sector developments and company hires
Call for aircraft ABS protections
Market Moves 26 January 2021
Fitch reports that a material number of aircraft failed to be novated to two aircraft ABS - START III and Lunar 2020-1 – last year, following closing. The failure of aircraft to novate in START III resulted in the asset count falling to just two aircraft from 19 initially, while six of 18 initial aircraft .......
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Supply issues
A tale of two markets for Dutch RMBS?
Dutch prime RMBS volumes hit a historic low of around €1.9bn in 2020, while the buy-to-let RMBS sector saw record issuance of around €1.4bn. Although activity is expected to pick up this year in both segments, the Dutch RMBS market remains characterised by a lack of supply.
Adjusting for the Covid-19 period, NIBC Bank portfolio manager Peter van .......
News Analysis 26 January 2021
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NPL pipeline builds
European asset disposals intensify
The European banking system’s disposal of non-performing loans intensified in 4Q20, particularly in December, closing the year at €38bn in NPLs sold. An additional €40bn of NPLs could be sold on the market in 2021, with around €30bn of this amount already announced for imminent disposal, according to the latest Banca Ifis Market Watch NPL report. Transaction volumes involving .......
News 26 January 2021
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CLO outlook updated
Sector developments and company hires
CLO outlook updated
Market Moves 25 January 2021
Fitch says it expects to change a significant portion of its CLO outlooks to stable from negative, following the revision of its CLO coronavirus stress scenario to assume half of the corporate exposure on negative outlook is downgraded by one notch instead of 100%. Approximately one-third of corporate issuers with loans in CLOs currently have a negative .......
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Litigation on the cards?
SLABS default rates causing concern
Rising US student loan ABS default rates have sparked concern among securitisation investors. In order to recover losses, investors may resort to lawsuits.
Philip Stein, partner and litigation practice group leader at Bilzin Sumberg, says: “Some uptick in litigation is likely as investors may want to use lawsuits, or at least the threat of lawsuits, as recourse to .......
News 22 January 2021
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'Unique' CMBX reflects Covid trends
Sector developments and company hires
‘Unique’ CMBX reflects Covid trends
The IHS Markit CMBX.14 index is expected to launch on 25 January, uniquely referencing 25 conduit CMBS issued between September 2019 and December 2020. All five of the 2019 deal constituents are also referenced in CMBX.13, creating collateral overlap between the two series.Morgan Stanley CMBS strategists note that on average, CMBX.14's original credit .......
Market Moves 21 January 2021
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Issuer substitutions
VAT reversal results in redomiciled CLOs
A number of CLO managers have redomiciled their European deals from the Netherlands to Ireland, following the change in interpretation of VAT law by the Dutch tax authorities in connection with CLO management and administration fees (SCI 24 February 2020). Most of the transactions affected by this change – estimated to account for around 30% of European CLO .......
News Analysis 21 January 2021
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CLO team finds new home
Sector developments and company hires
CLO team finds new home
Fidelity International has established a new private credit capability with experienced hires from AnaCap-owned MeDirect Bank. Concurrently, the firm has been awarded the delegation of management for the €400m Grand Harbour CLO 2019-1 transaction. Fidelity says it will continue to engage with MeDirect to explore further strategic opportunities.The private credit team will continue .......
Market Moves 20 January 2021
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Euro CLO equity yields dip
Sector developments and company hires
Euro CLO equity yields dip
Market Moves 18 January 2021
Annualised equity dividend yields across European CLOs averaged 12.9% in 2020, down from 15.1% in 2019 and below the 15% yearly average for the 2014-2020 2.0 era, according to research from Bank of America. However, the research suggests that in light of the pandemic disruption, the dip was moderate and mainly driven by a drop .......
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Expanding footprint
Jordan Milman, global head of structured products at Hayfin, answers SCI's questions
Q: How and when did Hayfin become involved in the structured credit market?
A: Hayfin launched a structured credit offering in 2012 and since then has invested over €1.7bn through more than 200 transactions, generating gross returns of 11.9% for 2H20.In June 2020, I joined the firm - along with John Hanisch - to lead the expansion of .......
The Structured Credit Interview 15 January 2021
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illimity inks NPL ABS duo
Sector developments and company hires
illimity inks NPL ABS duo
Market Moves 15 January 2021
illimity Bank has finalised two non-performing loan transactions, including the sale to Phinance Partners and SOREC involving a €129m GBV portfolio related to around 4,500 debtors. The portfolio consists of unsecured loans related to granular mainly retail exposures that were acquired by illimity during 2019 as part of an investment transaction in a large portfolio .......
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Lloyd's ILS platform unveiled
Sector developments and company hires
Lloyd’s ILS platform unveiled
Market Moves 14 January 2021
Lloyd's has established London Bridge Risk PCC, the first UK ILS structure to be approved by the PRA for use for multiple, market-wide transactions for Lloyd's members. Clifford Chance worked with Lloyd's and the regulators to devise a structure and set of market standard template documentation with flexibility to accommodate a range of individual investment models and .......
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Capital boost
Greek banks eye CRTs to tackle NPLs
SCI publishes regular in-depth analysis of trends and developments across the capital relief trades market, in addition to our usual news output. In this latest CRT Premium Content article, we explore how Greek banks are utilising synthetic securitisation to generate capital to offload their non-performing loans.
To upgrade your subscription to access all CRT premium content for a year, .......
News Analysis 14 January 2021
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Libor linkage
UK RMBS transition risks highlighted
A number of UK RMBS issuers are initiating consent solicitation processes to amend notes and swap contracts from Libor to SONIA ahead of the cessation of Libor. Legacy transactions without active sponsors or those comprising US dollar-denominated notes are at the highest risk of disorderly transition, according to Fitch.
Fitch expects logistical challenges to arise this year in .......
News 12 January 2021
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Ocwen, CFPB mediation unresolved
Sector developments and company hires
Ocwen, CFPB mediation unresolved
Ocwen Financial Corporation has issued a statement expressing its disappointment that settlement discussions with the CFPB have not been resolved (SCI 21 April 2017). The move is in response to the mediator’s notice that the company’s court-ordered mediation with the bureau has concluded, after the parties were unable to reach a settlement.The company .......
Market Moves 12 January 2021
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Landmark Pan-Asian ILS launched
Sector developments and company hires
Landmark Pan-Asian ILS launched
Market Moves 11 January 2021
MS Amlin Underwriting has launched Phoenix 1 Re, the first locally issued ILS to provide capacity to a local cedant, solely focused on the Pan-Asia region. The special purpose reinsurance vehicle (SPRV) is domiciled in Singapore and provides US$42m of collateralised capacity to support MS Amlin Syndicate 2001’s Asia reinsurance portfolio through its Singapore-based underwriting platform.
Phoenix .......
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Agricultural SRT priced
Lloyds finalises Fontwell II
Lloyds has priced the second transaction from its Fontwell programme. Dubbed Fontwell II Securities 2020, the eight-year synthetic securitisation is backed by a static £1.4bn portfolio of UK agricultural mortgages (SCI 17 December). Despite significant headwinds from the Brexit negotiations, the notes were successfully placed with UK and international investors.
Rated by Fitch and KBRA, the transaction consists of .......
News 24 December 2020
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Trilogue agreement finalised
Excess spread concerns highlighted
The trilogue agreement on the European Commission’s ‘quick fix’ proposals was finalised last week and has received an overall positive reception from capital relief trades players, given that it extends the STS framework to synthetic ABS structures and provides greater standardisation. However, market participants have raised concerns about the proposed treatment of excess spread as a first loss tranche.
News Analysis 24 December 2020