Investors
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Issuance boost
Full-stack SRTs unlocked
BBVA and Santander have reopened the full-stack significant risk transfer market with the issuance of an auto ABS apiece in June and July respectively. However, full-stack securitisations widely syndicated to private investors and referencing Northern European exposures remain to be seen post-coronavirus. Consequently, arrangers are looking to Chenavari’s recently priced Aurorus 2020 consumer ABS for guidance (SCI 21 July).
News Analysis 24 July 2020
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Italian trades inked
Unicredit completes NPL pair
Unicredit has sold two predominantly unsecured SME non-performing loan portfolios for a total of €1.54bn. The move comes as Italian banks step up their loan loss provisions to cover an anticipated rise in NPLs following the coronavirus crisis.
The first batch of Unicredit NPLs was sold to Banca Ifis, Guber and Barclays for €840m, with Guber and Barclays .......
News 23 July 2020
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ReoCo restructuring in the works
Sector developments and company hires
ReoCo restructuring in the works
Market Moves 23 July 2020
The Leviticus SPV issuer is set to implement a ReoCo structure, having appointed Credito Fondiario as the servicer to carry out all core ReoCo activities. The main purpose of the ReoCo is to encourage third-party acquisitions at auctions above auction base prices or to repossess real estate assets at otherwise empty auctions and re-sell them .......
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Green shoots
US middle market CLOs showing signs of recovery
As the broader CLO market sees increasingly significant levels of new issuance, middle market CLOs are also starting to see the green shoots of recovery. However, the sector still faces its own unique challenges, while providing some opportunities as well.
New middle market CLO deals have begun to reappear and the latest of which, Owl Rock’s US$440m Parliament .......
News Analysis 22 July 2020
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Canadian CMBS forbearance highlighted
Sector developments and company hires
Canadian CMBS forbearance highlighted
As of the June 2020 remittance reports for the Canadian conduit CMBS sector, 48 loans totalling C$559.9m were on the servicer's watchlist for coronavirus-related relief, according to DBRS Morningstar. In most of these instances, the servicer’s commentary confirmed that borrowers were granted loan modifications and/or forbearances.The majority of these loans are secured by retail .......
Market Moves 22 July 2020
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Second CLN references WaMu loans
Sector developments and company hires
Second CLN references WaMu loans
Market Moves 21 July 2020
JPMorgan is in the market with its second public synthetic RMBS, Chase Mortgage Reference Notes 2020-CL1. Principal payments on the notes are based on the actual payments received and performance of a US$2bn reference pool consisting of 8,683 prime-quality residential mortgage loans. According to Fitch, the majority of the loans were originally negative amortisation loans originated .......
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Carrots and sticks
'Wide-ranging and ambitious' recommendations welcomed
The recommendations put forward by the High Level Forum on Capital Markets Union (CMU) last month have been welcomed by the European securitisation industry (SCI 11 June). However, while these measures – if implemented – should provide the necessary framework for a healthy and robust ABS market, they are far from being a silver bullet.
The High .......
News Analysis 21 July 2020
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Support network
US CLO prices supported by a variety of factors
US CLO secondary market prices have come back a long way since the Covid-driven collapse in March. Spreads have softened a little since June’s tights, as summer lethargy seeps in, but are still benefiting – for now, at least – from positive broader credit market sentiment underpinned by government support for the wider economy and the CLO market’s own .......
News Analysis 21 July 2020
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UK Mortgages offer disclosed
Sector developments and company hires
UK Mortgages offer disclosed
Market Moves 20 July 2020
M&G Investment Management (MAGIM), on behalf of one of its managed funds - M&G Specialty Finance Fund (£) SCSp – has disclosed that it has made several approaches to the board of UK Mortgages Limited (UKML) with a view to making a recommended cash offer for UKML, all of which have been rejected. The most recent approach .......
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Euro CLO par burn rises
Sector developments and company hires
Euro CLO par burn rises
Market Moves 16 July 2020
After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built par in 2020 YTD by an average +19bp, while the remaining 30 managers burnt par by an average -41bp. .......
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Seeking clarity
Call to reassess repo language
The AG MIT CMO versus Royal Bank of Canada case, which recently settled (SCI 3 June), highlights how Covid-19 disruption has caused confusion over what constitutes a ‘recognised market’ for the purpose of selling securities. Indeed, the lawsuit underscores the need for greater clarity in securitisation repurchase agreements.
In the case, AG Mortgage Investment Trust argued that RBC .......
News 16 July 2020
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Conflict-free trading
Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions
Q: How and when did Meraki Global Advisors become involved in the securitisation market?
A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outsourced trading and operations firm that was launched in April 2019.We identified a need among the more sophisticated multi-asset hedge fund community .......
The Structured Credit Interview 16 July 2020
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Structural changes
New US CLO docs anticipating Volcker
Most of the US CLOs currently marketing are already being structured to incorporate changes resulting from the revised Volcker rule (SCI 26 June). At the same time, new deal documentation is also enabling greater flexibility for managers to participate in restructurings.
Despite the Volcker rule changes not being effective until 1 October, new deals are already being .......
News Analysis 15 July 2020
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LCX platform expanded
Sector developments and company hires
LCX platform expanded
Market Moves 13 July 2020
LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled the company to sell previously originated loans at, above or below par, from its balance sheet. For the first time, LendingClub .......
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OC ratios examined
Sector developments and company hires
OC ratios examined
Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P. It finds that average senior and junior OC cushions declined between February and May by 1% to remain healthy at over 8% and 3% respectively.However, S&P says: “We are seeing a wider dispersion of OC cushions across .......
Market Moves 10 July 2020
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Spanish CP vehicle formed
Sector developments and company hires
Spanish CP vehicle formed
ODF Energía has registered on MARF the first issuance of commercial paper, sized at €30m, from its innovative new Spanish securitisation fund. Dubbed HT Suministros, the fund is a multi-compartment vehicle with a maximum issuance amount of €200m, secured by the successive purchase of credit rights belonging to different companies or private businesses groups.The .......
Market Moves 9 July 2020
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CPR for CRT from Freddie
Freddie Mac's new upsized STACR shows market is healthy
Freddie Mac has demonstrated that reports of the death of the CRT bond market are greatly exaggerated with its upsized $1.1bn STACR 2020-DNA3 deal priced at the end of last week and announced on Monday, July 6. This was the first single family GSE CRT offering since March.
The deal was worth $500m at launch but was more than doubled to $1.1bn due .......
News Analysis 9 July 2020
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Restructuring events?
Uncertainty over CRE values weighs on CRTs
Restructuring credit events in capital relief trades backed by commercial real estate loans will likely occur over the next six months, following an end to coronavirus-related payment holiday schemes. Given uncertainty over the long-term impact of the pandemic on CRE collateral values, disagreements between banks and investors over the appropriate workout strategy and the related issue of control rights .......
News Analysis 9 July 2020
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Pricing recalibration
NPL ABS market growth pending?
The EBA’s opinion (SCI 24 October 2019) and more recently the Basel Committee’s consultation (SCI 24 June) on removing impediments to the securitisation of non-peforming loans have been welcomed for addressing the key points that would help to make the tool more attractive. However, the growth of the NPL ABS market could be inhibited in the near .......
News Analysis 9 July 2020
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Polish SRT inked
Santander completes capital relief trade
Santander has completed a synthetic securitisation of Polish leasing receivables with the EIF. The transaction references an approximately PLN2bn (€450m) portfolio and is Santander’s first significant risk transfer transaction following the coronavirus crisis.
Georgi Stoev, head of CEE and Northern European securitisation at the EIF, notes: “The coronavirus crisis has led to negative rating migrations in portfolios and .......
News 9 July 2020
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CQS portfolio refinanced
Sector developments and company hires
CQS portfolio refinanced
Market Moves 8 July 2020
AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m. Originated by a large Italian bank, these loans were initially securitised in 2016. In July 2019, AnaCap acquired the equity in the securitisation and in June 2020 it exercised its right to acquire the .......