Investors
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Discounted opportunities
Insurers target SRT secondary market
Insurers are now targeting the capital relief trades secondary market in search of discounted opportunities with an attractive risk profile following the coronavirus crisis. Secondary trades offer diversification and an existing track record of performance, although insurers are primarily eyeing mezzanine and senior tranches jointly with hedge funds, who will be in a position to gain junior exposure.
News 16 April 2020
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Bilateral activity
Opportunistic capital redeployment underway
The European ABS market appears poised to diverge between central bank-eligible issuance and opportunistic capital. Risk-off sentiment dominates, but pockets of bilateral activity are occurring.
“It's an interesting market at the moment. But quite different to the early global financial crisis in that because the central banks reacted so quickly and strongly, there is a sense that some .......
News Analysis 15 April 2020
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REMIC tax status clarified
Sector developments and company hires
REMIC revenue procedure
Market Moves 14 April 2020
The US Internal Revenue Service has issued a revenue procedure that permits loans subject to certain forbearances and related modifications as a result of the Covid-19 pandemic to be contributed to, and held in, REMICs and grantor trusts without jeopardising the tax status of these vehicles. Cadwalader notes that under the revenue procedure: a mortgage loan’s LTV does .......
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Risk transfer reboot
Large corporate SRTs prepped
Capital relief trade issuance is set for a comeback in 2Q20 as a handful of banks are readying large corporate transactions. The reboot in issuance is largely driven by government and central bank programmes and the need to manage bank capital as companies draw down their revolvers.
According to one SRT investor: “Large corporate deals are easier to .......
News Analysis 14 April 2020
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TALF 2.0 eligibility expanded
Sector developments and company hires
TALF 2.0 eligibility expanded
Market Moves 9 April 2020
The US Fed has expanded the range of assets that are eligible collateral for TALF 2.0 to include the triple-A rated tranches of both legacy conduit CMBS and newly issued static CLOs. The size of the facility will remain US$100bn and it will continue to support the issuance of ABS that fund a wide range of .......
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HAPS halt?
Greek NPE ABS plans disrupted
The non-performing exposure reduction plans of the four systemic Greek banks are expected to be delayed by deteriorating market conditions. The banks had been ramping up preparations to execute around €32.5bn of securitisation volume in the coming quarters via the Hercules Asset Protection Scheme (HAPS).
The NPE securitisation plans announced by Alpha Bank, Eurobank, National Bank of Greece .......
News 9 April 2020
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EIF calls for guarantee applications
Sector developments and company hires
EIF calls for guarantee applications
Market Moves 8 April 2020
The European Commission has unlocked €1bn from the European Fund for Strategic Investments (EFSI) that will serve as a guarantee to the EIF and allow it to issue special guarantees to incentivise lenders to provide liquidity to at least 100,000 European SMEs and small mid-cap companies hit by the economic impact of the coronavirus pandemic, .......
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Improving sentiment
European ABS market update
European ABS secondary market sentiment improved last week, with the return of investor appetite, and spreads across most sectors stabilised or tightened. However, the primary market remains on hold, with no new publicly distributed transactions sold or added to the pipeline.
“Spreads are much tighter than they have been since late-February. It does present a pretty interesting opportunity .......
Market Reports 7 April 2020
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Negative outlook for asset performance
Sector developments and company hires
Negative outlook for asset performance
Market Moves 6 April 2020
Fitch is updating its rating assumptions for all global structured finance sectors to incorporate the economic impact of the coronavirus and related mitigation measures. The agency expects the global pandemic to result in an unprecedented economic contraction and while the rating effects will vary meaningfully across asset classes, asset performance deterioration is anticipated in almost .......
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ESG catalyst?
Positive impact SRTs gaining traction
Significant risk transfer is primarily associated with achieving favourable capital treatment. However, the utility of the instrument as a catalyst for ESG/positive impact financings - by enabling banks to redeploy capital from legacy ‘dirty’ assets into new ‘clean’ assets - is gaining traction, according to SCI’s latest CRT Research Report.
“The capital relief trade market has a .......
News Analysis 3 April 2020
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MBS market buffeted
'Unsustainable' hedges called out
MBS spreads to Treasuries widened again yesterday (1 April), giving those hedging margin calls on TBA shorts a breather. But it is not thought that the US Fed has been frightened off by the MBA’s letter on Sunday admonishing its actions in the previous week.
Agency MBS spreads have backed up again, but volatility continues to be the .......
News Analysis 2 April 2020
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Real asset focus
Stephane Delatte, ceo and cio of Pierfront Capital, answers SCI's questions
Q: How and when did Pierfront Capital become involved in investment?
The Structured Credit Interview 1 April 2020
A: Pierfront Capital was established in 2016. We have deep experience and expertise in structuring private credit investments in the Asia Pacific, with an investment team with an average of 15-20 years of relevant experience, with specific expertise across the real assets sectors. Our first fund, PCMF, which was .......
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Advancing assistance programme prepped
Sector developments and company hires
Advancing assistance mooted
Market Moves 31 March 2020
Ginnie Mae is tailoring the existing disaster pass-through assistance programmes to more suitably scale to the needs of mortgage issuers in response to the Covid-19 liquidity squeeze (SCI 30 March). The GSE anticipates implementing within the next two weeks - via an All Participants Memorandum (APM) - a Pass-Through Assistance Program (PTAP), through which issuers with .......
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Pressure drop
European CLO market update
Margin call pressures on European CLO warehouses appear to be subsiding. However, pricing levels remain volatile.
The leveraged loan market experienced a sharp repricing in recent weeks, due to coronavirus disruption. As of last week, European loan prices had dropped by circa 20% on average, while the percentage of distressed loans trading less than 90% and less than .......
Market Reports 31 March 2020
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Basel 3 implementation deferred
Sector developments and company hires
APAC fund launch
Market Moves 30 March 2020
Pierfront Capital Fund Management has been awarded its capital market services license for fund management by the Monetary Authority of Singapore. It has also announced the first close of the Keppel-Pierfront Private Credit Fund, which aims to provide debt solutions to corporates or projects predominantly in the real asset sectors of the Asia-Pacific region. Sponsored by Pierfront .......
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Capacity constraints
Covid-19 not yet posing solvency issues
Government and central bank actions have kept both the financial system and the real economy afloat in the short-term, amid the coronavirus disruption. The severity of this crisis for company and household finances will depend on the length of the current outbreak and political will, however.
According to Rabobank credit analysts: “Covid-19 is now an imminent issue for .......
News Analysis 30 March 2020
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Testing times
MPL platforms addressing coronavirus impact
As an expansion-era product, marketplace lending securitisation is expected to be tested for the first time by the Covid-19 fallout. Joseph Cioffi, partner and chair of the insolvency, creditors’ rights and financial products practice group at Davis & Gilbert and author of Credit Chronometer, tells SCI how platforms are preparing for a potential recession.
Q: Why and how .......
Talking Point 27 March 2020
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UK WBS hit expected
Sector developments and company hires
APAC
Frontier Advisors has appointed Joe Clark as senior consultant in its alternatives and derivatives research team, based in Melbourne, Australia. Clark was previously senior portfolio manager in QIC’s global multi-asset team and has also worked at Suncorp Investment Management. He has experience in ILS manager and investment research.North Dock debuts
Market Moves 26 March 2020
Barclays Private Bank has closed North Dock No. .......
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Cloudy outlook
RMBS perseveres amid market volatility
LendInvest last week closed Mortimer BTL 2020-1, a £285m UK buy-to-let RMBS, in the face of unprecedented levels of volatility in credit markets. Virus-related uncertainties are not the only concern for UK RMBS this year, however.
The triple-A rated senior tranche of Mortimer BTL 2020-1 priced at Sonia plus 1.07%, 23bp tighter than LendInvest’s previous deal, Mortimer BTL .......
News Analysis 26 March 2020
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Closing the gap
Audentia Global investor relations head Sophia Vanco and chi...
Q: How and when did Audentia Global become involved in the capital relief trades market?
The Structured Credit Interview 26 March 2020
NM: Audentia was founded 2.5 years ago by its co-chief investment officers Fasil Nasim and Chris Newman, who had previously worked together in commodity finance at BNP Paribas, in response to the global trade finance market’s US$1.5trn funding gap (as per Asian Development Bank figures). Their .......
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Call for TALF expansion
Sector developments and company hires
BlackRock hired
Market Moves 25 March 2020
The New York Fed has retained BlackRock Financial Markets Advisory as a third-party vendor to operationalise its purchases of agency CMBS and transact with primary dealers on behalf of the SOMA. BlackRock was selected on a short-term basis to serve as an investment manager after considering its expertise in trading and analysing agency CMBS in the secondary market, .......